Long Chen

Cheung Kong Graduate School of Business

Professor of Finance

Oriental Plaza, Tower E3

One East Chang An Avenue

Beijing, 100738

China

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 596

SSRN RANKINGS

Top 596

in Total Papers Downloads

28,625

CITATIONS
Rank 1,041

SSRN RANKINGS

Top 1,041

in Total Papers Citations

516

Scholarly Papers (20)

1.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Long Chen, Robert Novy-Marx and Lu Zhang
Cheung Kong Graduate School of Business, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 9,558 (327)
Citation 75

Abstract:

Anomalies, Alphas, Factor Regressions, Asset Pricing Tests

2.

On the Relation Between the Market-to-Book Ratio, Growth Opportunity, and Leverage Ratio

AFA 2005 Philadelphia Meetings
Number of pages: 19 Posted: 05 Mar 2004
Long Chen and Xinlei Shelly Zhao
Cheung Kong Graduate School of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 2,650 (2,673)
Citation 11

Abstract:

Capital structure, target leverage ratio, pecking order theory, market timing hypothesis, market-to-book ratio, growth opportunity

3.

Corporate Yield Spreads and Bond Liquidity

Number of pages: 42 Posted: 07 Feb 2004
Tulane University - A.B. Freeman School of Business, Cheung Kong Graduate School of Business and University of Toronto - Rotman School of Management
Downloads 2,127 (4,426)
Citation 145

Abstract:

4.

Profitability, Mean Reversion of Leverage Ratios, and Capital Structure Choices

Number of pages: 47 Posted: 15 Oct 2004
Long Chen and Xinlei Shelly Zhao
Cheung Kong Graduate School of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 2,073 (4,561)
Citation 11

Abstract:

Capital structure, tradeoff theory, pecking order theory, profitability

5.

What Drives Stock Price Movement?

Number of pages: 53 Posted: 18 Apr 2008 Last Revised: 24 Mar 2012
Long Chen, Zhi Da and Xinlei Shelly Zhao
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 1,647 (7,134)
Citation 19

Abstract:

Expected return, discount rate news, cash flow news, predictability, analyst forecast

6.
Downloads 1,378 ( 10,156)
Citation 30

Expected Returns, Yield Spreads, and Asset Pricing Tests

Simon School Working Paper No. FR 04-04, AFA 2005 Philadelphia Meetings
Number of pages: 48 Posted: 12 Dec 2004
Murillo Campello, Long Chen and Lu Zhang
Cornell University, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 1,120 (13,834)
Citation 30

Abstract:

Expected Returns, Risk Factors, Systematic Risk, Yield Spreads

Expected Returns, Yield Spreads, and Asset Pricing Tests

Review of Financial Studies, Forthcoming
Number of pages: 52 Posted: 07 Nov 2007
Murillo Campello, Long Chen and Lu Zhang
Cornell University, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 210 (117,717)
Citation 30

Abstract:

Expected returns, risk factors, systematic risk, yield spreads

Expected Returns, Yield Spreads, and Asset Pricing Tests

NBER Working Paper No. w11323
Number of pages: 41 Posted: 13 Jun 2005
Murillo Campello, Long Chen and Lu Zhang
Cornell University, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 48 (333,486)
Citation 30

Abstract:

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

AFA 2006 Boston Meetings Paper
Number of pages: 59 Posted: 16 Mar 2005 Last Revised: 01 Jul 2011
Cheung Kong Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 1,233 (11,888)
Citation 82

Abstract:

Equity premium, credit spread, habit formation model

On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle

Review of Financial Studies, Forthcoming
Posted: 12 Nov 2007
Cheung Kong Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management

Abstract:

8.
Downloads 1,069 ( 15,190)
Citation 45

Return Decomposition

AFA 2007 Chicago Meetings Paper
Number of pages: 45 Posted: 10 Sep 2005 Last Revised: 25 May 2008
Long Chen and Xinlei Shelly Zhao
Cheung Kong Graduate School of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 1,069 (14,895)
Citation 45

Abstract:

Return decomposition, discount rate news, cash flow news, value stock, growth stock

Return Decomposition

Review of Financial Studies, Forthcoming
Posted: 07 Sep 2008
Long Chen and Xinlei Shelly Zhao
Cheung Kong Graduate School of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division

Abstract:

return decomposition, discount rate, cash flow, value stock, growth stock

Return Decomposition

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5213-5249, 2009
Posted: 24 Nov 2009
Long Chen and Xinlei Shelly Zhao
Cheung Kong Graduate School of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division

Abstract:

G11, G12

9.
Downloads 992 ( 16,966)
Citation 26

The Expected Value Premium

AFA 2007 Chicago Meetings Paper, Ross School of Business Paper No. 1049
Number of pages: 39 Posted: 13 Mar 2006
Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of Business, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 624 (32,555)
Citation 26

Abstract:

The Value Premium, Expected Returns, Dividend Growth, Dividend Price Ratio

The Expected Value Premium

Forthcoming, Journal of Financial Economics (JFE)
Number of pages: 23 Posted: 09 Apr 2007
Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of Business, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 335 (71,161)
Citation 26

Abstract:

The Value Strategy, Expected Returns, Dividend Growth, Dividend Price Ratio, Capital Gains

The Expected Value Premium

NBER Working Paper No. w12183
Number of pages: 43 Posted: 23 May 2006
Long Chen, Ralitsa Petkova and Lu Zhang
Cheung Kong Graduate School of Business, Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business
Downloads 33 (386,609)
Citation 26

Abstract:

10.

Are Financial Constraints Priced? Evidence from Firm Fundamentals and Stock Returns

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 22 Posted: 19 Mar 2005 Last Revised: 18 Feb 2010
Murillo Campello and Long Chen
Cornell University and Cheung Kong Graduate School of Business
Downloads 879 (19,348)
Citation 3

Abstract:

Financial constraints, equity returns, credit spreads, systematic risk, macroeconomic shocks

11.
Downloads 869 ( 20,731)
Citation 8

Neoclassical Factors

Ross School of Business Paper No. 1088, AFA 2009 San Francisco Meetings Paper
Number of pages: 39 Posted: 25 Jun 2007 Last Revised: 16 Sep 2009
Lu Zhang and Long Chen
Ohio State University - Fisher College of Business and Cheung Kong Graduate School of Business
Downloads 813 (22,461)
Citation 8

Abstract:

The cross-section of returns, anomalies, neoclassical economics, factor regressions

Neoclassical Factors

NBER Working Paper No. w13282
Number of pages: 58 Posted: 23 Jul 2007
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 56 (309,704)
Citation 8

Abstract:

12.

Myopic Extrapolation, Price Momentum, and Price Reversal

Number of pages: 50 Posted: 04 Jul 2009 Last Revised: 10 Nov 2009
Cheung Kong Graduate School of Business, Securities and Exchange Commission (SEC) and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 707 (26,403)
Citation 3

Abstract:

Momentum, reversal, analyst forecast, earnings, expected return, realized return

13.

Dividend Smoothing and Predictability

Number of pages: 56 Posted: 12 Oct 2008 Last Revised: 16 Mar 2011
Long Chen, Zhi Da and Richard Priestley
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Norwegian Business School
Downloads 707 (26,614)
Citation 19

Abstract:

Dividend-price ratio, earning-price ratio, dividend growth, earnings growth, predictability, dividend smoothing

On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods

Number of pages: 53 Posted: 25 Mar 2008 Last Revised: 27 May 2008
Long Chen
Cheung Kong Graduate School of Business
Downloads 680 (28,962)
Citation 33

Abstract:

Dividend price ratio, equity return, dividend growth, predictability

On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods

Journal of Financial Economics (JFE), Forthcoming
Posted: 28 May 2008
Long Chen
Cheung Kong Graduate School of Business

Abstract:

Dividend yield, equity return, dividend growth, predictability

15.

Equity Market Volatility and Expected Risk Premium

Federal Reserve Bank St. Louis Working Paper No. 2006-007
Number of pages: 40 Posted: 31 Jan 2006
Long Chen, Hui Guo and Lu Zhang
Cheung Kong Graduate School of Business, University of Cincinnati - Department of Finance - Real Estate and Ohio State University - Fisher College of Business
Downloads 453 (48,415)
Citation 1

Abstract:

Expected return, equity market volatility, systematic risk, yield spreads

16.
Downloads 319 ( 75,816)
Citation 2

The Stock Market and Aggregate Employment

Number of pages: 40 Posted: 16 Jul 2009 Last Revised: 16 Sep 2009
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 310 (77,757)
Citation 2

Abstract:

Time-varying risk premiums, payroll growth, unemployment rate, search and matching, time-to-build

The Stock Market and Aggregate Employment

NBER Working Paper No. w15219
Number of pages: 41 Posted: 18 Aug 2009
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 9 (515,361)
Citation 2

Abstract:

17.

What Moves Aggregate Investment?

Number of pages: 56 Posted: 01 Oct 2009 Last Revised: 18 Mar 2010
Long Chen, Zhi Da and Borja Larrain
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 145 (155,605)
Citation 1

Abstract:

aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news.

18.

What Moves Investment Growth?

Number of pages: 42 Posted: 18 Mar 2011
Long Chen, Zhi Da and Borja Larrain
Cheung Kong Graduate School of Business, University of Notre Dame - Mendoza College of Business and Pontificia Universidad Catolica de Chile
Downloads 117 (173,492)

Abstract:

aggregate investment, variance decomposition, q-theory, earnings shocks, cash flow news, discount rate news

19.

Do Time-Varying Risk Premiums Explain Labor Market Performance?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 33 Posted: 25 Mar 2010
Long Chen and Lu Zhang
Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 75 (234,107)
Citation 2

Abstract:

Time-varying risk premiums, payroll growth, hiring rate, search and matching, time-to-build, time-to-plan

20.

Return Predictability in Corporate Bond Market Along the Supply Chain

Journal of Financial Markets, June 2016, Vol 29, 66-86
Number of pages: 52 Posted: 21 Apr 2014 Last Revised: 04 Jan 2017
Long Chen, Gaiyan Zhang and Weina Zhang
Cheung Kong Graduate School of Business, University of Missouri at St. Louis - College of Business Administration and Department of Finance, National University of Singapore
Downloads 67 (177,675)

Abstract:

Corporate Bonds; Cash Flow; Credit Rating; Credit Risk; Earnings; Information; Supply Chain; Return Predictability