Yong Chen

Texas A&M University - Department of Finance

Associate Professor of Finance

360 Wehner Building

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

11

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CITATIONS
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107

Scholarly Papers (11)

1.

Do Market Timing Hedge Funds Time the Market?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 42, No. 4, 2007, EFA 2005 Moscow Meetings
Number of pages: 47 Posted: 18 Mar 2005 Last Revised: 19 Apr 2010
Yong Chen and Bing Liang
Texas A&M University - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 1,609 (7,535)
Citation 36

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Hedge funds, Return timing, Volatility timing, Bootstrap, Persistence

2.

Can Hedge Funds Time Market Liquidity?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 18 Feb 2015
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,427 (10,172)
Citation 23

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Hedge funds, liquidity timing, investment value, liquidity reaction, performance persistence

3.

Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2008 Athens Meetings Paper
Number of pages: 49 Posted: 25 Mar 2008 Last Revised: 08 Feb 2010
Yong Chen
Texas A&M University - Department of Finance
Downloads 1,082 (14,732)
Citation 10

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Hedge funds, Derivatives use, Risk taking, Risk shifting, Liquidation risk, Flow-performance relation

Measuring the Timing Ability and Performance of Bond Mutual Funds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 12 Oct 2009
Yong Chen, Wayne E. Ferson and Helen Peters
Texas A&M University - Department of Finance, University of Southern California and Boston College - Department of Finance
Downloads 399 (60,841)
Citation 18

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Mutual funds, Market timing, Bond funds, Investment performance evaluation

Measuring the Timing Ability and Performance of Bond Mutual Funds

NBER Working Paper No. w15318
Number of pages: 50 Posted: 08 Sep 2009 Last Revised: 08 Oct 2009
Yong Chen, Wayne E. Ferson and Helen Peters
Texas A&M University - Department of Finance, University of Southern California and Boston College - Department of Finance
Downloads 24 (448,127)
Citation 18

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5.
Downloads 370 ( 67,161)
Citation 17

Timing Ability in the Focus Market of Hedge Funds

Number of pages: 49 Posted: 22 Mar 2005
Yong Chen
Texas A&M University - Department of Finance
Downloads 370 (66,532)
Citation 17

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Hedge funds, market timing, focus market, performance persistence

Timing Ability in the Focus Market of Hedge Funds

Journal of Investment Management, Vol. 5, No. 1, Second Quarter 2007
Posted: 30 May 2007 Last Revised: 16 Jun 2008
Yong Chen
Texas A&M University - Department of Finance

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Hedge funds, market timing, focus market, performance persistence

6.

The Behavior of Investor Flows in Corporate Bond Mutual Funds

Management Science, Vol. 63, No. 5, May 2017, pp. 1365-1381
Number of pages: 45 Posted: 15 Mar 2012 Last Revised: 18 Sep 2017
Yong Chen and Nan Qin
Texas A&M University - Department of Finance and College of Business, Northern Illinois University
Downloads 311 (81,974)

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Corporate bond funds, investor flows, flow-performance relation, predictability of flows, idiosyncratic flows

7.

Hedge Funds: The Good, the Bad, and the Lucky

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, No. 3, June 2017, pp. 1081-1109
Number of pages: 55 Posted: 24 Aug 2011 Last Revised: 18 Sep 2017
Yong Chen, Michael T. Cliff and Haibei Zhao
Texas A&M University - Department of Finance, Analysis Group and Lehigh University
Downloads 238 (52,622)
Citation 2

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Hedge funds, mixture Normal distributions, performance evaluation, EM algorithm, performance persistence

8.

The Role of Hedge Funds in the Security Price Formation Process

Number of pages: 53 Posted: 02 Aug 2012 Last Revised: 01 Mar 2016
Pennsylvania State University, Texas A&M University - Department of Finance, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 202 (51,160)
Citation 1

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Hedge funds, stock mispricing, investment value, costly arbitrage

9.

Arbitrage Trading: The Long and the Short of It

Number of pages: 54 Posted: 20 Feb 2015 Last Revised: 13 Nov 2015
Yong Chen, Zhi Da and Dayong Huang
Texas A&M University - Department of Finance, University of Notre Dame - Mendoza College of Business and University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics
Downloads 178 (64,289)

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Arbitrage trading, hedge fund holdings, short interest, stock return anomalies, limits to arbitrage

10.

Micro(structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 91 Posted: 02 Nov 2014 Last Revised: 29 Apr 2017
Texas A&M University - Department of Finance, Oklahoma State University - Stillwater - Department of Finance and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 65 (111,760)

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Stock market liquidity, stock return predictability, macroeconomic forecasts, transactions costs, equity premium

11.

Sentiment Risk, Sentiment Timing, and Hedge Fund Returns

Mays Business School Research Paper No. 2714580, Rotman School of Management Working Paper No. 2714580
Number of pages: 61 Posted: 14 Jan 2016
Yong Chen, Bing Han and Jing Pan
Texas A&M University - Department of Finance, University of Toronto, Rotman School of Management and University of Utah - School of Accounting and Information Systems, Students
Downloads 0 (77,497)

Abstract:

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Hedge funds, sentiment risk, sentiment timing, alpha, limits to arbitrage