Jian Chen

Xiamen University - School of Economics

422 Siming Nan Road

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

11

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3,521

SSRN CITATIONS
Rank 927

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Top 927

in Total Papers Citations

165

CROSSREF CITATIONS

1,053

Scholarly Papers (11)

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 1,253 (19,224)
Citation 5

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

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 905 (30,515)
Citation 5

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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 (796,953)
Citation 82
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Return predictability, Economic policy uncertainty, Out‐of‐sample forecasting, Asset allocation, Chinese stock market

3.

Employee Sentiment and Stock Returns

Number of pages: 54 Posted: 22 Jun 2020 Last Revised: 18 Mar 2021
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 273 (135,009)
Citation 1

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

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), Southwestern University of Finance and Economics (SWUFE) and Jinan University - Management School
Downloads 231 (158,718)
Citation 1

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Return Predictability, International Stock Markets, Skewness, Market Crash

5.

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 231 (158,718)
Citation 1

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

6.

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 179 (200,775)

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

7.

Global Disaster Risk Matters

Number of pages: 47 Posted: 05 Oct 2017 Last Revised: 08 Mar 2021
Xiamen University - School of Economics, Jinan University - Management School, Shandong University and Shanghai University of Finance and Economics
Downloads 161 (219,701)

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

8.

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 158 (223,276)
Citation 1

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

9.

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 88 (341,036)
Citation 3

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

10.

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 41 (495,945)

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Recursive utility, Fanning effect, Jump risk, Option smirk

11.

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