Chunchi Wu

SUNY at Buffalo - School of Management

M&T Chair Professor in Banking and Finance

Jacobs Management Center

Buffalo, NY 14222

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 12,614

SSRN RANKINGS

Top 12,614

in Total Papers Downloads

2,916

CITATIONS
Rank 18,662

SSRN RANKINGS

Top 18,662

in Total Papers Citations

17

Scholarly Papers (17)

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

Number of pages: 45 Posted: 22 Mar 2007
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Michigan - Stephen M. Ross School of Business, Youngstown State University - Williamson College of Business Administration and SUNY at Buffalo - School of Management
Downloads 562 (36,200)
Citation 4

Abstract:

Callable bond, reduced-form

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 25 Mar 2008 Last Revised: 12 Oct 2008
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Michigan - Stephen M. Ross School of Business, Washington State University - Vancouver and SUNY at Buffalo - School of Management
Downloads 312 (74,765)
Citation 4

Abstract:

2.

Liquidity, Information Risk, and Asset Pricing: Evidence from the U.S. Government Bond Market

AFA 2006 Boston Meetings Paper
Number of pages: 60 Posted: 23 Mar 2005
Chunchi Wu, Haitao Li, Yan He and Junbo Wang
SUNY at Buffalo - School of Management, University of Michigan - Stephen M. Ross School of Business, Indiana University Southeast - School of Business and affiliation not provided to SSRN
Downloads 751 (23,574)
Citation 1

Abstract:

Information risk, Liquidity risk, PIN, asset pricing, order imbalance

3.

Liquidity, Default, Taxes and Yields on Municipal Bonds

FEDS Working Paper No. 2005-35
Number of pages: 51 Posted: 23 Mar 2005
SUNY at Buffalo - School of Management, affiliation not provided to SSRN and Morgan Stanley
Downloads 596 (32,292)
Citation 3

Abstract:

liqudity, default, taxes, yields, maturity, municipal bonds

4.

Calibration of the Structural Model of Corporate Bond Spreads

Number of pages: 40 Posted: 15 Dec 2005
Peter Lerner and Chunchi Wu
Wenzhou-Kean University - Wenzhou Kean Business School and SUNY at Buffalo - School of Management
Downloads 177 (132,448)
Citation 1

Abstract:

Fixed income, structural model, corporate bonds

5.

Nondefault Components of Corporate Yield Spreads: Taxes or Liquidity?

Number of pages: 52 Posted: 13 Mar 2008
Hai Lin, Sheen Liu and Chunchi Wu
affiliation not provided to SSRN, affiliation not provided to SSRN and SUNY at Buffalo - School of Management
Downloads 138 (158,110)
Citation 1

Abstract:

6.

Term Structure of Interest Rates: Theory and Empirical Evidence

Handbook of Quantitative Finance and Risk Management, Forthcoming
Number of pages: 70 Posted: 14 Oct 2008
Hai Lin and Chunchi Wu
Victoria University of Wellington - School of Economics & Finance and SUNY at Buffalo - School of Management
Downloads 78 (233,794)

Abstract:

7.

Price Discovery in the Round-the-Clock U.S. Treasury Market

Journal of Financial Intermediation, Forthcoming
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 16 Dec 2009
Yan He, Hai Lin, Junbo Wang and Chunchi Wu
Indiana University Southeast - School of Business, Victoria University of Wellington - School of Economics & Finance, affiliation not provided to SSRN and SUNY at Buffalo - School of Management
Downloads 54 (288,930)
Citation 2

Abstract:

Price discovery, asymmetric information, liquidity provision, variance decomposition, after-hours trading

Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume

Journal of Business, Vol. 79, No. 5, 2006
Number of pages: 43 Posted: 03 Dec 2013
Jinliang Li and Chunchi Wu
Tsinghua University - School of Economics & Management and SUNY at Buffalo - School of Management
Downloads 36 (363,689)
Citation 3

Abstract:

Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume

Journal of Business, Forthcoming
Posted: 11 Apr 2005 Last Revised: 06 Jul 2009
Jinliang Li and Chunchi Wu
Tsinghua University - School of Economics & Management and SUNY at Buffalo - School of Management

Abstract:

Volume, volatility, latent variable

9.

What Explains the Bid-Ask Spread Decline after Nasdaq Reforms?

Financial Markets, Institutions & Instruments, Vol. 12, pp. 347-376, December 2003
Number of pages: 30 Posted: 26 Nov 2003
Yan He and Chunchi Wu
Indiana University Southeast - School of Business and SUNY at Buffalo - School of Management
Downloads 26 (395,710)
Citation 2

Abstract:

10.

Does Momentum Exist in Bonds of Different Ratings?

Number of pages: 58 Posted: 21 Nov 2016 Last Revised: 15 Dec 2016
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - Olin School of Business
Downloads 0 (195,492)

Abstract:

trends; moving averages; cross-sectional predictability; corporate bond returns; momentum strategies

11.

Microstructure of the Bid-Ask Spreads of Russian Sovereign Bonds (1996-2000): Spreads as Indicators of Liquidity

EMERGING MARKETS: PERFORMANCE, ANALYSIS AND INNOVATION, Greg N. Gregoriou, ed., Chapman & Hall/CRC, June 2009
Posted: 21 Dec 2007 Last Revised: 07 Mar 2012
Peter Lerner and Chunchi Wu
Wenzhou-Kean University - Wenzhou Kean Business School and SUNY at Buffalo - School of Management

Abstract:

Informed trading, microstructure of emerging markets, Russian Federation debt, bond spreads, Brock-Dechert-Scheinkman (BDS), Stock-Watson and Chow tests

12.

Price Volatility and Market Frictions

STOCK MARKET VOLATILITY, Greg N. Gregoriou, ed., Chapman & Hall/CRC, April 2009
Posted: 21 Dec 2007 Last Revised: 07 Mar 2012
Peter Lerner and Chunchi Wu
Wenzhou-Kean University - Wenzhou Kean Business School and SUNY at Buffalo - School of Management

Abstract:

Price volatility, market friction, informed trading, tick size, sovereign bonds

13.

Time and Dynamic Volume-Volatility Relation

Journal of Banking and Finance, Vol. 30, No. 5, pp. 1535-1558, 2006
Posted: 21 Mar 2006 Last Revised: 17 Mar 2011
Seton Hall University, Youngstown State University and SUNY at Buffalo - School of Management

Abstract:

Time duration, Volatility-volume dynamics, Informed trading, Bid-ask spreads

14.

Duration, Default Risk, and the Term Structure of Interest Rates

Journal of Financial Research, Forthcoming
Posted: 22 Nov 2004
Yan Alice Xie, Sheen Liu and Chunchi Wu
University of Michigan at Dearborn, Youngstown State University - Williamson College of Business Administration and SUNY at Buffalo - School of Management

Abstract:

Default risk, bond pricing, duration, term structure

15.

The Effects of Decimalization on Return Volatility Components, Serial Correlation and Trading Costs

Journal of Financial Research, Forthcoming
Posted: 06 Apr 2004
Yan He and Chunchi Wu
Indiana University Southeast - School of Business and SUNY at Buffalo - School of Management

Abstract:

Decimalization, volatility components, microstructure

16.

The Post-Reform Disparity between Nasdaq and the NYSE

Journal of Financial Research, Forthcoming
Posted: 28 Jun 2002
Yan He and Chunchi Wu
Indiana University Southeast - School of Business and SUNY at Buffalo - School of Management

Abstract:

17.

Further Evidence on Mean Reversion in Index Basis Changes

Financial Review, February 2001
Posted: 16 Oct 2001
Yan He and Chunchi Wu
Indiana University Southeast - School of Business and SUNY at Buffalo - School of Management

Abstract: