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

23

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5,081

SSRN CITATIONS
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SSRN RANKINGS

Top 19,460

in Total Papers Citations

41

CROSSREF CITATIONS

13

Scholarly Papers (23)

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 614 (53,302)
Citation 13

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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 444 (79,754)
Citation 3

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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 819 (36,644)
Citation 3

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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 701 (45,293)
Citation 9

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

4.

Cross-Sectional Predictability of Corporate Bond Returns

Number of pages: 68 Posted: 21 Nov 2016 Last Revised: 02 Dec 2020
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 687 (46,550)
Citation 3

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

5.

Investor Sentiment and the Cross-Section of Corporate Bond Returns

Number of pages: 71 Posted: 18 Aug 2018 Last Revised: 06 Jan 2021
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 417 (86,665)
Citation 1

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

6.

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 406 (89,437)
Citation 11

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

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 192 (193,764)

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 159 (228,032)

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9.

Predictive Information in Corporate Bond Yields

Number of pages: 70 Posted: 05 Mar 2021 Last Revised: 15 Jun 2021
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 150 (239,339)

Abstract:

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Yield Signals; Moving Averages; Cross-Sectional Predictability; Machine Learning; Corporate Bond Returns

10.

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 107 (308,168)

Abstract:

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11.

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 103 (316,203)

Abstract:

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

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 75 (388,389)

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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.

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 73 (389,924)
Citation 1

Abstract:

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

14.

Predicting Individual Corporate Bond Returns

Number of pages: 35 Posted: 30 Jun 2021
Xin He, Guanhao Feng, Junbo Wang and Chunchi Wu
City University of Hong Kong (CityUHK) - College of Business, City University of Hong Kong (CityUHK), Dept. of Economics and Finance, City Univ. of HK and SUNY at Buffalo - School of Management
Downloads 61 (428,416)

Abstract:

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Bond Characteristics, Individual Corporate Bonds, Machine Learning, Private Company Bonds, Return Decomposition, Return Predictability

15.

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

The Journal of Fixed Income 28 (4)
Number of pages: 66 Posted: 27 Jul 2017 Last Revised: 07 Jan 2020
Washington State University, SUNY at Buffalo - School of Management, Tunghai University-Department of Finance and Central Michigan University
Downloads 46 (485,830)
Citation 2

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

16.

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

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 (582,251)
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17.

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

18.

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

19.

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:

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

20.

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

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

21.

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

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

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Decimalization, volatility components, microstructure

22.

The Post-Reform Disparity between NASDAQ and the NYSE

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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23.

Further Evidence on Mean Reversion in Index Basis Changes

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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