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

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

    • Email
    • Tel: 5853198838
    • Fax: 47906-1744
SCHOLARLY PAPERS

11

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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  ”

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

    • Email
    • Tel: 5853198838
    • Fax: 47906-1744

Scholarly Papers (11)

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1.

Market Power in the Securities Lending Market

Number of pages: 84 Posted: 10 May 2022 Last Revised: 17 Mar 2024
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 942 (48,791)

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Short selling, market power, custodian lenders

2.

Volatility Timing Using ETF Options: Evidence from Hedge Funds

Number of pages: 47 Posted: 19 Oct 2022 Last Revised: 25 Mar 2024
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 774 (63,758)

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

3.

Mutual Fund Flows at Long Horizons

SMU Cox School of Business Research Paper No. 23-06
Number of pages: 74 Posted: 28 Apr 2023 Last Revised: 13 Jul 2024
Hendrik Bessembinder, Shuaiyu Chen, Michael J. Cooper, Jinming Xue and Feng Zhang
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 547 (99,261)

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Fund flow, Fund Return, Disappointment

4.

Machine-Learning about ESG Preferences: Evidence from Fund Flows

Number of pages: 60 Posted: 29 Jul 2023 Last Revised: 17 Aug 2024
George O. Aragon and Shuaiyu Chen
Arizona State University (ASU) - Finance Department and Purdue University - Mitchell E. Daniels, Jr. School of Business
Downloads 522 (105,068)

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ESG, Fund flow, Value-added, Machine learning JEL Codes: G10, G23

5.

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 385 (150,172)

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Market Predictability, Active Mutual Funds, Market Efficiency

6.

Wisdom or Whims? Decoding Investor Trading Strategies with Large Language Models

Number of pages: 58 Posted: 25 Jun 2024
Shuaiyu Chen, Lin Peng and Dexin Zhou
Purdue University - Mitchell E. Daniels, Jr. School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 341 (171,591)
Citation 1

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Social media, Retail investors, Herding, Large language models, AI, Technical analysis, Fundamental analysis

7.

Hedge Fund Option Usage and Skewness Risk Premium

Number of pages: 55 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 184 (314,998)

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Skewness risk premium, option, hedge fund

8.

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 149 (377,595)

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

9.

Unveiling Mutual Funds' Securities Lending Strategies: Value versus Volume

Number of pages: 48 Posted: 25 Jun 2024
Shuaiyu Chen, Anh Tran and Pingle Wang
Purdue University - Mitchell E. Daniels, Jr. School of Business, University of Connecticut and University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance
Downloads 125 (433,220)

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Mutual funds, Securities lending, Cash collateral reinvestment

10.

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 106 (489,673)

Abstract:

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

11.

What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts

Number of pages: 54 Posted: 23 Sep 2024
Shuaiyu Chen, T. Clifton Green, Huseyin Gulen and Dexin Zhou
Purdue University - Mitchell E. Daniels, Jr. School of Business, Emory University - Department of Finance, Mitchell E. Daniels, Jr School of Business, Purdue University and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 86 (561,635)

Abstract:

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Large language models, Generative AI, Return forecasts, Extrapolative expectations