Jian Chen

Xiamen University - School of Economics

422 Siming Nan Road

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 11,680

in Total Papers Downloads

6,393

SSRN CITATIONS
Rank 2,015

SSRN RANKINGS

Top 2,015

in Total Papers Citations

97

CROSSREF CITATIONS

538

Scholarly Papers (13)

1.

Investor Attention and Stock Returns

Number of pages: 52 Posted: 26 Jun 2018 Last Revised: 24 Aug 2020
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 2,516 (8,422)
Citation 8

Abstract:

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Investor Attention, Stock Return Predictability, Partial Least Square (PLS), Principal Component Analysis (PCA), Out-of-sample Forecast

2.

Economic Policy Uncertainty in China and Stock Market Expected Returns

Number of pages: 33 Posted: 13 Jul 2016 Last Revised: 18 Jul 2017
Jian Chen, Fuwei Jiang and Guoshi Tong
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Renmin University
Downloads 1,016 (33,811)
Citation 5

Abstract:

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Return Predictability, Economic Policy Uncertainty, Out-of-sample Forecasting, Asset Allocation, Chinese Stock Market

3.
Downloads 820 (45,571)
Citation 2

Employee Sentiment and Stock Returns

Number of pages: 55 Posted: 22 Jun 2020 Last Revised: 06 Jul 2022
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 763 (49,540)
Citation 2

Abstract:

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

Employee Sentiment and Stock Returns

Number of pages: 55 Posted: 18 Oct 2022
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University and Washington University in St. Louis - John M. Olin Business School
Downloads 57 (547,402)

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

4.

Global Disaster Risk Matters

forthcoming in Management Science
Number of pages: 47 Posted: 05 Oct 2017 Last Revised: 11 Feb 2022
Xiamen University - School of Economics, Jinan University - Management School, Shandong University and Shanghai University of Finance and Economics
Downloads 633 (64,203)

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Rare Disaster, International Stock Markets, Global Disaster, Discount Rate Channel, Partial Least Square

5.

The World Predictive Power of U.S. Equity Market Skewness

Journal of International Money and Finance, Vol. 96, 2019
Number of pages: 47 Posted: 07 Mar 2017 Last Revised: 22 Jun 2019
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), Southwestern University of Finance and Economics (SWUFE) and Jinan University - Management School
Downloads 281 (164,111)
Citation 1

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Return Predictability, International Stock Markets, Skewness, Market Crash

6.

International Volatility Risk and Chinese Stock Return Predictability

Journal of International Money and Finance, 2017, Vol. 70, 183-203
Number of pages: 42 Posted: 17 Feb 2015 Last Revised: 18 Jul 2017
Jian Chen, Fuwei Jiang, Yangshu Liu and Jun Tu
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), Xiamen University - School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 271 (170,318)
Citation 1

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Return Predictability, Implied Volatility, Out-of-sample Forecasting, Chinese Stock

7.

Bid and Ask Prices of Index Put Options: Which Predicts the Underlying Stock Returns?

Number of pages: 30 Posted: 10 Dec 2018
Jian Chen and Yangshu Liu
Xiamen University - School of Economics and Xiamen University - School of Management
Downloads 225 (204,364)
Citation 1

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Implied Volatility, Option Bid Price, Option Ask Price, Stock Return Predictability

8.

Lotto, How to Win? Skew Timing Strategies

Number of pages: 46 Posted: 04 May 2016
Jian Chen, Yangshu Liu and Jun Tu
Xiamen University - School of Economics, Xiamen University - School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 215 (213,286)

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Mean-variance-skewness, Asset allocation, Realized skewness, Skewness forecasting

9.

Labor Flow Shocks Matter for Asset Pricing

Number of pages: 51 Posted: 28 Jan 2022 Last Revised: 28 Nov 2022
Xiamen University - School of Economics, South China University of Technology, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 191 (237,446)

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Labor flow, Labor friction, Hiring rate, Stock market, Return predictability

10.

Chinese Stock Market Volatility and the Role of U.S. Economic Variables

Pacific-Basin Finance Journal, 2016, No. 39, 70-83
Number of pages: 37 Posted: 04 May 2016 Last Revised: 17 Jul 2017
Jian Chen, Fuwei Jiang, Hongyi Li and Weidong Xu
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), The Chinese University of Hong Kong and Zhejiang University - School of Management
Downloads 107 (375,184)
Citation 3

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Volatility Forecasting, U.S. Economic Variables, Out-of-sample Forecasting, Combination Forecast, Chinese Stock Market

11.

Macro Tail Risk and Market Risk Premium

Number of pages: 57 Posted: 13 Sep 2022
Jian Chen, Cunfei Liao and Guohao Tang
Xiamen University - School of Economics, Nanjing University of Science and Technology - School of Economics and Management and Hunan University - College of Finance and Statistics
Downloads 68 (493,477)

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Macro Tail Risk, Return Predictability, Risk Premium, Partial Least Squares (PLS)

12.

Risk Aversion, Fanning Preference, and Volatility Smirk on S&P500 Index Options

Applied Economics, 2016, Vol 48, No. 35, 3277-3292.
Number of pages: 38 Posted: 04 May 2016 Last Revised: 29 Jun 2016
Jian Chen and Chenghu Ma
Xiamen University - School of Economics and Fudan University - School of Management
Downloads 50 (571,045)

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Recursive utility, Fanning effect, Jump risk, Option smirk

13.

Asset Allocation in Chinese Stock Market: The Role of Return Predictability

Journal of Portfolio Management, 2015, Vol. 41, No. 5, 71-83 , https://doi.org/10.3905/jpm.2014.41.5.071
Posted: 20 May 2019
Jian Chen, Fuwei Jiang and Jun Tu
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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Chinese Stock Market, Asset Allocation, Return Predictability, Combination Forecast