Yong Chen

Texas A&M University - Department of Finance

David R. Norcom Professor of Finance

360 Wehner Building

College Station, TX 77843-4218

United States

http://mays.tamu.edu/directory/yong-chen

  • Texas A&M University - Department of Finance

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 4,772

SSRN RANKINGS

Top 4,772

in Total Papers Downloads

16,706

TOTAL CITATIONS
Rank 2,718

SSRN RANKINGS

Top 2,718

in Total Papers Citations

352

Scholarly Papers (22)

Actions:
Email selected abstracts
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 2,121 (14,960)
Citation 40

Abstract:

Loading...

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: 17 Jan 2023
Charles Cao, Yong Chen, Bing Liang and Andrew W. Lo
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,654 (22,108)
Citation 87

Abstract:

Loading...

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

3.

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Downloads 1,526 (24,970)
Citation 7

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Journal of Financial Economics (JFE), Vol. 138, 2020, pp. 316–341, 29th Annual Conference on Financial Economics & Accounting 2018, Mays Business School Research Paper No. 3117188, Yale ICF Working Paper No. 2018-05
Number of pages: 53 Posted: 14 Feb 2018 Last Revised: 18 Dec 2020
Yong Chen, Bryan T. Kelly and Wei Wu
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University
Downloads 1,456 (26,295)
Citation 6

Abstract:

Loading...

Hedge funds, information environment, market efficiency, information acquisition, analyst coverage

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

NBER Working Paper No. w24552
Number of pages: 69 Posted: 02 May 2018 Last Revised: 01 Feb 2023
Yong Chen, Bryan T. Kelly and Wei Wu
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University - Mays Business School
Downloads 70 (661,455)
Citation 1

Abstract:

Loading...

4.

Sentiment Trading and Hedge Fund Returns

Journal of Finance, Vol. 76, No. 4, August 2021, pp. 2001–2033
Number of pages: 66 Posted: 14 Jan 2016 Last Revised: 20 Jul 2021
Yong Chen, Bing Han and Jing Pan
Texas A&M University - Department of Finance, University of Toronto, Rotman School of Management and Pennsylvania State University - Department of Accounting
Downloads 1,447 (27,020)
Citation 7

Abstract:

Loading...

Hedge funds, investor sentiment, sentiment beta, sentiment timing

5.

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 1,286 (32,161)
Citation 17

Abstract:

Loading...

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

6.

Anomalies as New Hedge Fund Factors

Number of pages: 60 Posted: 10 Jan 2023 Last Revised: 16 Feb 2024
Yong Chen, Sophia Zhengzi Li, Yushan Tang and Guofu Zhou
Texas A&M University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI) and Washington University in St. Louis - John M. Olin Business School
Downloads 1,127 (38,864)

Abstract:

Loading...

Hedge funds, anomalies, risk factors, shrinkage techniques, performance evaluation

7.

Arbitrage Trading: The Long and the Short of It

Review of Financial Studies (RFS), Vol. 32, No. 4, April 2019, pp. 1608–1646
Number of pages: 82 Posted: 20 Feb 2015 Last Revised: 27 Sep 2019
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 939 (50,380)
Citation 45

Abstract:

Loading...

Arbitrage trading, hedge funds, short selling, stock anomalies, limits to arbitrage

8.

Hedge Funds and Stock Price Formation

Financial Analysts Journal, Vol. 74, No. 3, 2018, pp. 54–69
Number of pages: 30 Posted: 02 Aug 2012 Last Revised: 16 Aug 2018
Charles Cao, Yong Chen, William N. Goetzmann and Bing Liang
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 917 (52,059)
Citation 1

Abstract:

Loading...

Hedge funds, stock holdings, stock mispricing, investment value, arbitrage

9.

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 - College of Business
Downloads 827 (59,955)
Citation 33

Abstract:

Loading...

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

10.

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

Journal of Financial Economics (JFE), Vol. 130, 2018, pp. 48–73
Number of pages: 91 Posted: 02 Nov 2014 Last Revised: 26 Sep 2018
Yong Chen, Gregory W. Eaton and Bradley S. Paye
Texas A&M University - Department of Finance, University of Georgia and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 680 (77,393)
Citation 8

Abstract:

Loading...

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

11.

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 599 (90,944)
Citation 9

Abstract:

Loading...

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

12.

Short Selling Efficiency

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 15 Jun 2020 Last Revised: 20 Jul 2021
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 597 (91,306)
Citation 20

Abstract:

Loading...

Short Selling Efficiency, Return Predictability, Mispricing, Market Efficiency

13.

Measuring the Timing Ability and Performance of Bond Mutual Funds

Downloads 586 (93,442)
Citation 31

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 529 (104,978)
Citation 2

Abstract:

Loading...

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: 11 May 2023
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 57 (733,565)
Citation 29

Abstract:

Loading...

14.

Timing Ability in the Focus Market of Hedge Funds

Downloads 563 (98,423)
Citation 22

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 563 (97,189)
Citation 22

Abstract:

Loading...

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

Abstract:

Loading...

Hedge funds, market timing, focus market, performance persistence

15.

Shadow of Loss: Mutual Fund Tail Behavior and Investor Flows

Number of pages: 80 Posted: 13 Oct 2020 Last Revised: 02 Aug 2024
Yong Chen and Wenting Dai
Texas A&M University - Department of Finance and Nankai University - School of Finance
Downloads 491 (116,358)
Citation 3

Abstract:

Loading...

Mutual fund, investor flow, tail behavior, memory, household investment

16.

Large Funds and Corporate Bond Market Fragility

Number of pages: 70 Posted: 27 Apr 2022 Last Revised: 10 Nov 2024
Yong Chen, Mengqiao Du and Zheng Sun
Texas A&M University - Department of Finance, Business School, National University of Singapore and University of California, Irvine - Paul Merage School of Business
Downloads 422 (139,206)
Citation 2

Abstract:

Loading...

Bond fund, large fund, price fragility, liquidity, economics of scale

17.

A Hiding Place? Diversification, Financialization, and Return Comovement in Commodity Markets

Number of pages: 46 Posted: 02 Jan 2019 Last Revised: 18 Mar 2022
Yong Chen, Wenting Dai and Sorin M. Sorescu
Texas A&M University - Department of Finance, Nankai University - School of Finance and Texas A&M University
Downloads 351 (172,127)
Citation 2

Abstract:

Loading...

Commodity financialization, diversification, investor flows, return comovement

18.

Seeking Green? Mutual Fund Investment in ESG Stocks

Number of pages: 62 Posted: 08 Mar 2023
Yong Chen and Wenting Dai
Texas A&M University - Department of Finance and Nankai University - School of Finance
Downloads 279 (218,302)

Abstract:

Loading...

mutual funds, ESG investment, manager compensation, fund performance

19.

How Many Good and Bad Funds Are There, Really?

Number of pages: 89 Posted: 15 Aug 2015 Last Revised: 19 Oct 2018
Wayne E. Ferson and Yong Chen
University of Southern California and Texas A&M University - Department of Finance
Downloads 138 (413,925)
Citation 18

Abstract:

Loading...

Hedge Fund, Mutual fund, Fund performance, False discovery rates, Bayes rule, Bootstrap, Goodness of fit, Test power, Trading Strategies, Kernel Smoothing

20.

Do Hedge Funds Hedge? Evidence from Risk Gap

Number of pages: 50 Posted: 04 Apr 2024
Yong Chen and Hanjiang Zhang
Texas A&M University - Department of Finance and Washington State University - Carson College of Business
Downloads 89 (567,439)

Abstract:

Loading...

Hedge funds, risk gap, fund performance, tail risk, systemic risk

21.

Mispricing and Firm Investment

Number of pages: 64 Posted: 17 Jun 2024
Dora Horstman and Yong Chen
North Carolina State University and Texas A&M University - Department of Finance
Downloads 67 (665,052)

Abstract:

Loading...

Mispricing, anomaly, firm investment, market efficiency

22.

The Economics of Greenwashing Funds

Alan L. Zhang, Sean Cao, Han Xiao and Yong Chen
Florida International University (FIU), University of Maryland - Robert H. Smith School of Business, Chinese University of Hong Kong, Shenzhen and Texas A&M University - Department of Finance

Abstract:

Loading...

ESG, Greenwashing, Comment Letters, Fund Flows, Retail Investor, Sustainability, Mutual Funds