Jian Chen

Xiamen University - School of Economics

422 Siming Nan Road

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

13

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Top 9,895

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8,938

SSRN CITATIONS
Rank 2,055

SSRN RANKINGS

Top 2,055

in Total Papers Citations

326

CROSSREF CITATIONS

520

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 3,142 (7,506)
Citation 61

Abstract:

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

2.
Downloads 1,142 (35,722)
Citation 9

Employee Sentiment and Stock Returns

Journal of Economic Dynamics and Control, 2023
Number of pages: 53 Posted: 22 Jun 2020 Last Revised: 09 Mar 2023
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 1,019 (41,480)
Citation 4

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 123 (423,057)

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

3.

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 1,120 (36,681)
Citation 163

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

4.

ChatGPT, Stock Market Predictability and Links to the Macroeconomy

Olin Business School Center for Finance & Accounting Research Paper No. Forthcoming
Number of pages: 70 Posted: 20 Dec 2023 Last Revised: 18 Apr 2024
Jian Chen, Guohao Tang, Guofu Zhou and Wu Zhu
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and School of Economics and Management, Tsinghua University
Downloads 1,092 (38,302)

Abstract:

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LLMs, ChatGPT, Textual Analysis, NLP, Return Predictability

5.

Global Disaster Risk Matters

Management Science
Number of pages: 64 Posted: 05 Oct 2017 Last Revised: 08 Feb 2023
Xiamen University - School of Economics, Jinan University - Management School, Shandong University and Shanghai University of Finance and Economics
Downloads 812 (57,570)

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

6.

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

Number of pages: 37 Posted: 10 Dec 2018 Last Revised: 08 Feb 2023
Jian Chen and Yangshu Liu
Xiamen University - School of Economics and Xiamen University - School of Management
Downloads 334 (168,996)
Citation 1

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

7.

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 300 (189,394)
Citation 5

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Return Predictability, International Stock Markets, Skewness, Market Crash

8.

Do Labor Flows Matter in the Stock Market?

Number of pages: 58 Posted: 28 Jan 2022 Last Revised: 14 Sep 2023
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 294 (193,393)

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Labor flows, Hiring rate, Investor underreaction, Limited attention, Return predictability

9.

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 287 (198,305)
Citation 1

Abstract:

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

10.

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 237 (240,021)

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

11.

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 117 (437,725)
Citation 3

Abstract:

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

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 61 (652,104)

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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

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