Hui Chen

Massachusetts Institute of Technology

Sloan School of Management

50 Memorial Drive

Cambridge, MA 02142

United States

  • Massachusetts Institute of Technology

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SCHOLARLY PAPERS

30

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28,785

TOTAL CITATIONS
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Top 760

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765

Scholarly Papers (30)

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1.

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

Downloads 3,055 ( 8,786)
Citation 142

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 30 Sep 2009
Hui Chen
Massachusetts Institute of Technology
Downloads 2,916 (9,256)
Citation 32

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capital structure, credit spread, default risk, business cycle, default losses

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

NBER Working Paper No. w16151
Number of pages: 59 Posted: 07 Jul 2010 Last Revised: 18 Feb 2023
Hui Chen
Massachusetts Institute of Technology
Downloads 139 (435,849)
Citation 110

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2.

Measuring 'Dark Matter' in Asset Pricing Models

Downloads 2,184 (14,973)
Citation 17

Measuring 'Dark Matter' in Asset Pricing Models

Journal of Finance, Forthcoming, NBER Working Paper Series, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, The Wharton School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 25 Jan 2022
Hui Chen, Winston Wei Dou and Leonid Kogan
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,919 (18,137)
Citation 17

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

Measuring “Dark Matter” in Asset Pricing Models

NBER Working Paper No. w26418
Number of pages: 61 Posted: 03 Dec 2019 Last Revised: 09 Mar 2023
Hui Chen, Winston Wei Dou and Leonid Kogan
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 265 (240,291)

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3.

Market Timing, Investment, and Risk Management

Downloads 2,042 (16,670)
Citation 140

Market Timing, Investment, and Risk Management

AFA 2012 Chicago Meetings Paper
Number of pages: 59 Posted: 16 Mar 2010 Last Revised: 29 Mar 2012
Patrick Bolton, Hui Chen and Neng Wang
Imperial College London, Massachusetts Institute of Technology and Columbia University - Columbia Business School, Finance
Downloads 1,937 (17,842)
Citation 55

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risk management, liquidity, financial crisis, market timing, investment, q theory

Market Timing, Investment, and Risk Management

NBER Working Paper No. w16808
Number of pages: 55 Posted: 28 Feb 2011 Last Revised: 05 Jun 2023
Patrick Bolton, Hui Chen and Neng Wang
Imperial College London, Massachusetts Institute of Technology and Columbia University - Columbia Business School, Finance
Downloads 105 (543,606)
Citation 85

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4.

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Downloads 1,911 (18,577)
Citation 47

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Journal of Financial Economics, Forthcoming
Number of pages: 67 Posted: 21 Mar 2012 Last Revised: 27 Feb 2020
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, University of Delaware and Bank of Canada
Downloads 1,833 (19,476)
Citation 5

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credit risk, term structure, business cycle, maturity dynamics, liquidity

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

NBER Working Paper No. w18367
Number of pages: 62 Posted: 08 Sep 2012 Last Revised: 10 Mar 2023
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, University of Delaware and Bank of Canada
Downloads 78 (658,893)
Citation 42

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5.

A Unified Theory of Tobin's Q, Corporate Investment, Financing, and Risk Management

Downloads 1,728 (21,742)
Citation 59

A Unified Theory of Tobin's Q, Corporate Investment, Financing, and Risk Management

Journal of Finance, Forthcoming , AFA 2010 Atlanta Meetings Paper
Number of pages: 50 Posted: 19 Mar 2009 Last Revised: 12 Jul 2011
Patrick Bolton, Hui Chen and Neng Wang
Imperial College London, Massachusetts Institute of Technology and Columbia University - Columbia Business School, Finance
Downloads 1,476 (27,059)
Citation 59

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investment, q theory, cash management, liquidity, hedging, payout, financing

A Unified Theory of Tobin's Q, Corporate Investment, Financing, and Risk Management

NBER Working Paper No. w14845
Number of pages: 57 Posted: 07 Apr 2009 Last Revised: 25 Jul 2022
Patrick Bolton, Hui Chen and Neng Wang
Imperial College London, Massachusetts Institute of Technology and Columbia University - Columbia Business School, Finance
Downloads 252 (252,950)

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6.

The Debt-Equity Spread *

Number of pages: 62 Posted: 25 Oct 2021 Last Revised: 24 Dec 2024
Hui Chen, Zhiyao Chen and Jun Li
Massachusetts Institute of Technology, City University of Hong Kong (CityU) - Department of Economics and Finance and University of Texas at Dallas
Downloads 1,715 (21,944)
Citation 2

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JEL classification: G13, G31, G32, G33 credit risk, market segmentation, stock and bond return predictions, relative mispricing

7.

Deep Surrogates for Finance: With an Application to Option Pricing

Number of pages: 59 Posted: 12 Mar 2021 Last Revised: 29 Jan 2025
Hui Chen, Antoine Didisheim and Simon Scheidegger
Massachusetts Institute of Technology, University of Melbourne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,556 (25,438)
Citation 3

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surrogate, deep neural network, tail risk index, parameter instability, illiquidity, distribution of option return, VaR

8.

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

Downloads 1,533 (26,022)
Citation 52

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 24 Mar 2019
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 1,484 (26,826)
Citation 3

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Intermediary constraint, tail risk, SPX option, return predictability, supply shocks, leverage

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

NBER Working Paper No. w25573
Number of pages: 49 Posted: 26 Feb 2019 Last Revised: 18 May 2023
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 49 (837,619)
Citation 49

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9.

Feedback and Contagion through Distressed Competition

Downloads 1,526 (26,187)
Citation 16

Feedback and Contagion through Distressed Competition

Journal of Finance
Number of pages: 60 Posted: 05 Feb 2020 Last Revised: 09 Jan 2024
Hui Chen, Winston Wei Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School, The University of Hong Kong - University of Hong Kong and Hong Kong University of Science & Technology (HKUST)
Downloads 1,506 (26,251)
Citation 6

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Competition-distress feedback loop, Distress spillover, Predatory pricing, Price war, Profitability-leverage puzzle, Collusion.

Feedback and Contagion Through Distressed Competition

NBER Working Paper No. w30841
Number of pages: 61 Posted: 16 Jan 2023 Last Revised: 14 Apr 2023
Hui Chen, Winston Wei Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School, The University of Hong Kong - University of Hong Kong and Hong Kong University of Science & Technology (HKUST)
Downloads 20 (1,140,738)
Citation 10

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10.

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

Downloads 1,229 (36,010)
Citation 64

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 79 Posted: 22 Jun 2012 Last Revised: 11 Aug 2020
Hui Chen, Michael Michaux and Nikolai L. Roussanov
Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School
Downloads 1,174 (37,874)
Citation 21

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mortgage refinancing, home equity, housing collateral, liquidity constraints, household consumption and saving decisions, leverage

Houses as Atms? Mortgage Refinancing and Macroeconomic Uncertainty

NBER Working Paper No. w19421
Number of pages: 76 Posted: 20 Sep 2013 Last Revised: 25 Jan 2023
Hui Chen, Michael Michaux and Nikolai L. Roussanov
Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School
Downloads 55 (793,081)
Citation 43

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11.

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

Downloads 1,112 (41,747)
Citation 42

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 18 Mar 2010 Last Revised: 02 Sep 2013
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 958 (50,618)
Citation 17

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Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035
Number of pages: 52 Posted: 04 Jun 2010 Last Revised: 26 Apr 2023
Hui Chen, Scott Joslin and Ngoc-Khanh Tran
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 154 (400,672)
Citation 25

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12.

Debt, Taxes, and Liquidity

Downloads 1,057 (44,810)
Citation 3

Debt, Taxes, and Liquidity

Columbia Business School Research Paper No. 14-17
Number of pages: 43 Posted: 13 Mar 2014 Last Revised: 22 Nov 2014
Patrick Bolton, Hui Chen and Neng Wang
Imperial College London, Massachusetts Institute of Technology and Columbia University - Columbia Business School, Finance
Downloads 979 (49,132)
Citation 1

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Capital structure, liquidity, cash, financing frictions, marginal tax benefit of debt, tradeoff theory

Debt, Taxes, and Liquidity

NBER Working Paper No. w20009
Number of pages: 61 Posted: 31 Mar 2014 Last Revised: 05 Mar 2023
Patrick Bolton, Hui Chen and Neng Wang
Imperial College London, Massachusetts Institute of Technology and Columbia University - Columbia Business School, Finance
Downloads 78 (658,893)
Citation 2

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13.

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

Downloads 1,035 (46,168)
Citation 38

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-82, PBCSF-NIFR Research Paper, Journal of Finance, Forthcoming
Number of pages: 85 Posted: 04 Dec 2018 Last Revised: 24 Jun 2023
Hui Chen, Zhuo Chen, Zhiguo He, Jinyu Liu and Rengming Xie
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 981 (48,995)
Citation 13

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Pledgeability, haircut, repo, interbank and exchange markets, enterprise bonds, shadow cost of capital

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

NBER Working Paper No. w26520
Number of pages: 86 Posted: 03 Dec 2019 Last Revised: 27 Jun 2022
Hui Chen, Zhuo Chen, Zhiguo He, Jinyu Liu and Rengming Xie
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 54 (800,149)
Citation 25

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14.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Hui Chen, Hao Wang and Hao Zhou
Massachusetts Institute of Technology, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 1,024 (46,865)
Citation 8

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Stock Return Volatility, Leverage Ratio, Surprise Shocks, Idiosyncratic Volatility, Uncertainty

15.

Dynamic Asset Allocation with Ambiguous Return Predictability

AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 02 Mar 2009 Last Revised: 14 Apr 2011
Hui Chen, Nengjiu Ju and Jianjun Miao
Massachusetts Institute of Technology, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Boston University - Department of Economics
Downloads 860 (59,618)
Citation 25

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generalized recursive ambiguity utility, ambiguity aversion, model uncertainty, learning, portfolio choice, robustness, return predictability

16.

Entrepreneurial Finance and Nondiversifiable Risk

Downloads 841 (61,555)
Citation 10

Entrepreneurial Finance and Nondiversifiable Risk

Review of Financial Studies, Forthcoming
Number of pages: 64 Posted: 27 Mar 2009 Last Revised: 07 Jul 2010
Hui Chen, Jianjun Miao and Neng Wang
Massachusetts Institute of Technology, Boston University - Department of Economics and Columbia University - Columbia Business School, Finance
Downloads 754 (70,071)
Citation 9

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default, diversification benefits, entrepreneurial risk aversion, incomplete markets, idiosyncratic risk premium, hedging, capital structure, cash-out option, precautionary saving

Entrepreneurial Finance and Non-Diversifiable Risk

NBER Working Paper No. w14848
Number of pages: 45 Posted: 07 Apr 2009 Last Revised: 29 Jul 2022
Hui Chen, Jianjun Miao and Neng Wang
Massachusetts Institute of Technology, Boston University - Department of Economics and Columbia University - Columbia Business School, Finance
Downloads 87 (617,019)
Citation 1

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17.

Generalized Transform Analysis of Affine Processes and Applications in Finance

Downloads 811 (64,564)
Citation 13

Generalized Transform Analysis of Affine Processes and Applications in Finance

Number of pages: 43 Posted: 17 Feb 2009 Last Revised: 22 Sep 2011
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 752 (70,308)
Citation 13

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option pricing, recovery risk, stochastic discount factor, characteristic function, Fourier transform

Generalized Transform Analysis of Affine Processes and Applications in Finance

NBER Working Paper No. w16906
Number of pages: 66 Posted: 28 Mar 2011 Last Revised: 13 Mar 2022
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 59 (765,783)

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18.

The Dark Side of Circuit Breakers

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 05 Apr 2023
Hui Chen, Anton Petukhov, Jiang Wang and Hao Xing
Massachusetts Institute of Technology, MIT Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Boston University - Questrom School of Business
Downloads 752 (71,551)

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circuit breaker, volatility amplification, magnet effect, liquidity, welfare, skewness, trading volume

19.

Teaching Economics to the Machines

Number of pages: 62 Posted: 01 Dec 2023 Last Revised: 02 Jan 2025
Hui Chen, Yuhan Cheng, Yanchu Liu and Ke Tang
Massachusetts Institute of Technology, Tsinghua University, PBC School of Finance, Students, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 734 (73,834)

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transfer learning, structural model, deep neural networks, option pricing

20.

Process Intangibles and Agency Conflicts

MIT Sloan Research Paper No. 6927-23
Number of pages: 72 Posted: 09 Feb 2023 Last Revised: 16 May 2024
Hui Chen, Ali Kakhbod, Maziar Kazemi and Hao Xing
Massachusetts Institute of Technology, University of California, Berkeley, Arizona State University (ASU) - Finance Department and Boston University - Questrom School of Business
Downloads 502 (118,974)

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Process Intangibles, Intangible capital, Dynamic contracting, Compensation

21.

Market for Manipulable Information

Number of pages: 96 Posted: 18 Feb 2024
Hui Chen and Jian Sun
Massachusetts Institute of Technology and Lee Kong Chian School of Business, Singapore Management University
Downloads 307 (209,155)

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information market, manipulation, score design, ratings, impact investing

22.

Macroeconomic Risk and Debt Overhang

Number of pages: 52 Posted: 12 Nov 2014
Hui Chen and Gustavo Manso
Massachusetts Institute of Technology and University of California, Berkeley - Haas School of Business
Downloads 287 (222,944)
Citation 16

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23.

Out of the (Black)Box: AI as Conditional Probability

Number of pages: 40 Posted: 20 Dec 2024 Last Revised: 26 Feb 2025
Hui Chen, Antoine Didisheim and Luciano Somoza
Massachusetts Institute of Technology, University of Melbourne and ESSEC Business School
Downloads 236 (272,553)

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24.

Industry Distress Anomaly

The Wharton School Research Paper
Number of pages: 62 Posted: 26 Mar 2024
Hui Chen, Winston Wei Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School, The University of Hong Kong - University of Hong Kong and Hong Kong University of Science & Technology (HKUST)
Downloads 192 (329,815)

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Stock and Bond Returns, Supergames, Tacit Collusion, Financial Distress Anomaly (JEL: G12, L13, O33, C73)

25.

Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle

NBER Working Paper No. w20638
Number of pages: 61 Posted: 03 Nov 2014 Last Revised: 24 May 2023
Hui Chen, Rui Cui, Zhiguo He and Konstantin Milbradt
Massachusetts Institute of Technology, University of Chicago - Finance, Stanford University - Knight Management Center and Northwestern University - Kellogg School of Management - Department of Finance
Downloads 159 (389,660)
Citation 56

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26.

Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'

Number of pages: 45 Posted: 21 Oct 2019 Last Revised: 25 Jan 2022
Hui Chen, Winston Wei Dou and Leonid Kogan
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 135 (444,978)
Citation 11

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

27.

Online Appendix for 'Feedback and Contagion through Distressed Competition'

Number of pages: 33 Posted: 27 Jul 2020 Last Revised: 18 Aug 2023
Hui Chen, Winston Wei Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School, The University of Hong Kong - University of Hong Kong and Hong Kong University of Science & Technology (HKUST)
Downloads 117 (497,452)
Citation 1

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Competition-distress feedback loop, Distress spillover, Predatory pricing, Price war, Profitability-leverage puzzle, Collusion

28.

Internet Appendix for "Industry Distress Anomaly"

Number of pages: 21 Posted: 26 Mar 2024
Hui Chen, Winston Wei Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School, The University of Hong Kong - University of Hong Kong and Hong Kong University of Science & Technology (HKUST)
Downloads 62 (732,826)

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Stock and Bond Returns, Supergames, Tacit Collusion, Financial Distress Anomaly

29.

A Note on Additional Materials for 'Feedback and Contagion Through Distressed Competition'

Number of pages: 21 Posted: 31 Aug 2023 Last Revised: 22 Feb 2024
Hui Chen, Winston Wei Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, University of Pennsylvania - The Wharton School, The University of Hong Kong - University of Hong Kong and Hong Kong University of Science & Technology (HKUST)
Downloads 48 (826,074)

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Competition-distress feedback loop, Distress spillover, Predatory pricing, Price war, Profitability-leverage puzzle, Collusion

30.

A Dynamic Model of Private Asset Allocation

Number of pages: 52 Last Revised: 03 Mar 2025
Hui Chen, Giovanni Gambarotta, Simon Scheidegger and Yu Xu
Massachusetts Institute of Technology, Liberty Mutual Investments, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Delaware
Downloads 35

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alternative assets, business cycle, liquidity, machine learning, portfolio choice, private equity, return smoothing, risk-based capital