Jian Chen

Xiamen University - School of Economics

422 Siming Nan Road

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 7,672

SSRN RANKINGS

Top 7,672

in Total Papers Downloads

12,300

TOTAL CITATIONS
Rank 2,050

SSRN RANKINGS

Top 2,050

in Total Papers Citations

309

Scholarly Papers (15)

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 3,719 (6,544)
Citation 88

Abstract:

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

2.

ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?

Olin Business School Center for Finance & Accounting Research Paper No. 2023/18
Number of pages: 79 Posted: 20 Dec 2023 Last Revised: 30 Apr 2025
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 Tsinghua University - School of Economics & Management
Downloads 2,737 (10,623)
Citation 6

Abstract:

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LLMs, ChatGPT, DeepSeek, Textual Analysis, Return Predictability

3.
Downloads 1,331 (32,642)
Citation 8

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 1,164 (39,059)
Citation 8

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 167 (381,178)

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

4.

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, Xiamen University and Renmin University
Downloads 1,182 (38,804)
Citation 197

Abstract:

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

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 978 (50,885)

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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 406 (155,856)
Citation 1

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

7.

Do Labor Flows Matter in the Stock Market?

Number of pages: 48 Posted: 28 Jan 2022 Last Revised: 02 Jan 2025
Xiamen University - School of Economics, University of Toronto - Rotman School of Management, Jinan University - Management School, Washington University in St. Louis - John M. Olin Business School and South China University of Technology
Downloads 381 (168,251)

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

8.

Taming the Global Factor Zoo *

Number of pages: 56 Posted: 13 Dec 2024
Xiamen University - School of Economics, University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics and School of Finance, Central University of Finance and Economics
Downloads 367 (174,421)

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JEL classifications: G12, G14 Global Factor Models, Machine Learning, International Asset Pricing, Anomalies

9.

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, Xiamen University, Southwestern University of Finance and Economics (SWUFE) and Jinan University - Management School
Downloads 319 (203,075)
Citation 5

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Return Predictability, International Stock Markets, Skewness, Market Crash

10.

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, Xiamen University, Xiamen University - School of Management and Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students
Downloads 308 (210,950)
Citation 1

Abstract:

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

11.

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 Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students
Downloads 255 (256,580)

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

12.

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, Xiamen University, The Chinese University of Hong Kong and Zhejiang University - School of Management
Downloads 140 (441,787)
Citation 3

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

13.
Downloads 111 (533,029)

Macro Tail Risk and Stock Returns

Number of pages: 50 Posted: 09 Jan 2025
Xiamen University - School of Economics, Wenzhou Business College, Xiamen University - School of Management and Hunan University - College of Finance and Statistics
Downloads 83 (655,320)

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Macro Tail Risk, Return Predictability, Out-of-sample, Partial Least Squares (PLS)

Macro Tail Risk and Stock Returns

Number of pages: 57 Posted: 08 Apr 2025
Xiamen University - School of Economics, Wenzhou Business College, Xiamen University - School of Management and Hunan University - College of Finance and Statistics
Downloads 28 (1,077,374)

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Macro Tail Risk, Return Predictability, Out-Of-Sample, Partial Least Squares (PLS)

14.

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 66 (729,465)

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Recursive utility, Fanning effect, Jump risk, Option smirk

15.

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, Xiamen University and Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students

Abstract:

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