Jian Chen

Xiamen University - School of Economics

422 Siming Nan Road

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

10

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Top 798

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46

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Scholarly Papers (10)

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 791 (29,694)
Citation 2

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

Economic Policy Uncertainty in China and Stock Market Expected Returns

Accounting & Finance, Vol. 57, Issue 5, pp. 1265-1286, 2017
Number of pages: 22 Posted: 27 Mar 2018
Jian Chen, Fuwei Jiang and Guoshi Tong
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Renmin University
Downloads 1 (684,310)
Citation 21
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Return predictability, Economic policy uncertainty, Out‐of‐sample forecasting, Asset allocation, Chinese stock market

2.

Investor Attention and Stock Returns

Number of pages: 64 Posted: 26 Jun 2018 Last Revised: 22 Aug 2019
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 539 (50,290)

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

3.

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 195 (155,365)
Citation 1

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

4.

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), Singapore Management University and Jinan University - Management School
Downloads 193 (156,867)

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Return Predictability, International Stock Markets, Skewness, Market Crash

5.

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 152 (193,267)

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

6.

The World Price of Rare Disaster

Number of pages: 42 Posted: 05 Oct 2017 Last Revised: 12 Jul 2018
Xiamen University - School of Economics, Jinan University - Management School, Shandong University and Shanghai University of Finance and Economics
Downloads 90 (283,603)

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International Equity Market, Rare Disaster, Return Predictability, Out-of-Sample

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 84 (296,143)

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

8.

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 72 (324,011)
Citation 1

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

9.

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 37 (436,459)

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Recursive utility, Fanning effect, Jump risk, Option smirk

10.

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

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