Shuaiyu Chen

Purdue University - Mitchell E. Daniels, Jr. School of Business

Assistant Professor of Management (Finance)

1310 Krannert Building

West Lafayette, IN 47907-1310

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 36,146

SSRN RANKINGS

Top 36,146

in Total Papers Downloads

2,428

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  I do theoretically-motivated empirical research on the following topics: 1) the informational efficiency of security prices; 2) the behavior and performance of asset managers; 3) short selling and securities lending  ”

Scholarly Papers (8)

1.

Market Power in the Securities Lending Market

Number of pages: 84 Posted: 10 May 2022 Last Revised: 27 Nov 2023
Shuaiyu Chen, Ron Kaniel and Christian C. Opp
Purdue University - Mitchell E. Daniels, Jr. School of Business, University of Rochester - Simon Business School and University of Rochester - Simon Business School
Downloads 657 (70,222)

Abstract:

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Short selling, market power, custodian lenders

2.

Volatility Timing Using ETF Options: Evidence from Hedge Funds

Number of pages: 45 Posted: 19 Oct 2022 Last Revised: 07 Nov 2023
George O. Aragon, Shuaiyu Chen and Zhen Shi
Arizona State University (ASU) - Finance Department, Purdue University - Mitchell E. Daniels, Jr. School of Business and Georgia State University
Downloads 617 (76,281)

Abstract:

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Hedge funds, Exchange-traded funds, Options, Volatility timing

3.

Mutual Fund Flows and Investor Disappointment

SMU Cox School of Business Research Paper No. 23-06
Number of pages: 68 Posted: 28 Apr 2023 Last Revised: 26 Oct 2023
W.P. Carey School of Business, Purdue University - Mitchell E. Daniels, Jr. School of Business, University of Utah - David Eccles School of Business, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department
Downloads 359 (144,533)

Abstract:

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Fund flow, fund returns, investor extrapolation

4.

Tomorrow Is Another Day: Stocks Overweighted by Active Mutual Funds Predict the Next-Day Market

Number of pages: 65 Posted: 16 Aug 2021 Last Revised: 04 May 2022
Shuaiyu Chen, Yixin Chen and Randolph B. Cohen
Purdue University - Mitchell E. Daniels, Jr. School of Business, University of Rochester - Simon Business School and Harvard University - Business School (HBS)
Downloads 336 (155,185)

Abstract:

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Market Predictability, Active Mutual Funds, Market Efficiency

5.

Machine-Learning about ESG Preferences: Evidence from Fund Flows

Number of pages: 46 Posted: 29 Jul 2023
George O. Aragon and Shuaiyu Chen
Arizona State University (ASU) - Finance Department and Purdue University - Mitchell E. Daniels, Jr. School of Business
Downloads 262 (201,717)

Abstract:

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ESG, Fund flow, Value-added, Machine learning

6.

Executive Pay-for-Performance Sensitivity and Stochastic Volatility

Number of pages: 45 Posted: 04 Aug 2022
Shuaiyu Chen, Ping Liu and Yan Liu
Purdue University - Mitchell E. Daniels, Jr. School of Business, Krannert School of Management, Purdue University and Purdue University
Downloads 114 (411,029)

Abstract:

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Executive compensation, Stochastic volatility, Pay-for-performance sensitivity, Principal-agent problem

7.

Hedge Fund Option Usage and Skewness Risk Premium

Number of pages: 58 Posted: 18 Oct 2023
Shuaiyu Chen and Shuaiqi Li
Purdue University - Mitchell E. Daniels, Jr. School of Business and City University of Hong Kong
Downloads 66 (586,575)

Abstract:

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Skewness risk premium, option, hedge fund

8.

Do Smartphones Transform Information Transmission in Financial Markets? Evidence from StockTwits

Number of pages: 45 Posted: 01 Dec 2023
Shuaiyu Chen and Yang Gao
Purdue University - Mitchell E. Daniels, Jr. School of Business and University of Illinois at Urbana-Champaign - Gies College of Business
Downloads 17 (931,240)

Abstract:

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Smartphones, social media, retail investors, information transmission, text mining