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

21

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SSRN CITATIONS
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Top 22,701

in Total Papers Citations

22

CROSSREF CITATIONS

11

Scholarly Papers (21)

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 590 (45,372)
Citation 12

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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 368 (81,358)
Citation 1

Abstract:

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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 Dept. of Economics and Finance, City Univ. of HK
Downloads 810 (29,980)

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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, Dept. of Economics and Finance, City Univ. of HK and Morgan Stanley
Downloads 676 (38,360)
Citation 7

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

4.

Cross-Sectional Predictability of Corporate Bond Returns

Number of pages: 83 Posted: 21 Nov 2016 Last Revised: 13 Mar 2019
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 - John M. Olin Business School
Downloads 522 (53,786)
Citation 3

Abstract:

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trend signals; moving averages; cross-sectional predictability; corporate bond returns

5.

Volatility and the Cross-Section of Corporate Bond Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 45 Posted: 28 Jun 2018 Last Revised: 07 Nov 2018
Kee H. Chung, Junbo Wang and Chunchi Wu
State University of New York at Buffalo - School of Management, Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 288 (107,809)
Citation 2

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Aggregate Volatility Risk; Corporate Bond Pricing; Default Risk; Idiosyncratic Risk; Ratings

6.

Investor Sentiment and the Cross-Section of Corporate Bond Returns

Number of pages: 54 Posted: 18 Aug 2018 Last Revised: 23 Sep 2019
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
State University of New York at Buffalo, Victoria University of Wellington - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 192 (161,268)

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Sentiment; Residuals; Risk Factors; Cross-Section; Bond Returns

7.

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 189 (163,582)

Abstract:

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Fixed income, structural model, corporate bonds

8.

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 151 (198,678)

Abstract:

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9.

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 103 (265,626)

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10.

Iterated Combination Forecast and Treasury Bond Predictability

Number of pages: 52 Posted: 13 Aug 2018
Hai Lin, Wen-Rang Liu, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - School of Economics & Finance, National Taiwan University - Department of Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 82 (307,385)

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

11.

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, Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 68 (341,900)
Citation 1

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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 64 (357,563)

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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:

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Volume, volatility, latent variable

13.

What Drives Systemic Credit Risk? Evidence from the US State CDS Market

Number of pages: 66 Posted: 27 Jul 2017
Washington State University, SUNY at Buffalo - School of Management, Tunghai University-Department of Finance and Saginaw Valley State University
Downloads 32 (468,178)
Citation 2

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Systemic Credit Risk, State Fiscal Problems, Macroeconomic Fundamentals, Economic Beta, Credit Spread Comovement, Kalman Filter

14.

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 27 (493,267)
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15.

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:

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

16.

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:

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

17.

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

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

18.

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:

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Default risk, bond pricing, duration, term structure

19.

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:

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Decimalization, volatility components, microstructure

20.

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

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21.

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

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