Zhanhui Chen

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Clear Water Bay, Kowloon

Hong Kong

SCHOLARLY PAPERS

8

DOWNLOADS

720

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Risk Aversion Sensitive Real Business Cycles

Number of pages: 48 Posted: 08 Oct 2012 Last Revised: 16 May 2019
Hong Kong University of Science & Technology (HKUST) - Department of Finance, BI Norwegian Business School, BI - Norwegian Business School and BI Norwegian Business School
Downloads 254 (133,654)
Citation 1

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State-contingent technology; Time-varying risk aversion; Conditional volatility of investment; Predictability of returns

2.

Time-to-Produce, Inventory, and Asset Prices

Journal of Financial Economics (JFE), 2015
Number of pages: 61 Posted: 01 Dec 2010 Last Revised: 29 Jun 2015
Zhanhui Chen
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 231 (146,755)
Citation 1

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time-to-build, time-to-produce, inventory, recursive preferences, asset pricing

3.

Back to the Beginning: Does Investor Diversification Affect the Firm's Cost of Equity?

Number of pages: 57 Posted: 15 Dec 2014 Last Revised: 10 Oct 2015
Zhanhui Chen and Lei Zhang
Hong Kong University of Science & Technology (HKUST) - Department of Finance and City University of Hong Kong
Downloads 126 (247,892)
Citation 1

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Institutional investors; Marginal Investor; Investor Diversification; Cost of Equity

4.

In Search of Preference Shock Risks: Evidence from Longevity Risks and Momentum Profits

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 93 Posted: 27 Nov 2017 Last Revised: 23 Jan 2019
Zhanhui Chen and Bowen Yang
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 59 (395,481)

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time-preference shocks, longevity risk, momentum profits, equity durations, consumption-based models

5.

Who Are the (Counter-) Momentum Traders? An Examination of Duration-Driven Trades

Number of pages: 57 Posted: 28 Feb 2020 Last Revised: 09 Sep 2020
Zhanhui Chen, Pingyi Lou and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Fudan University - School of Economics and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 27 (535,992)

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momentum; stock duration; longevity risk; pensions; life insurers

6.

Neural Network-based Design of Index Insurance

Number of pages: 82 Posted: 24 Mar 2020 Last Revised: 09 Sep 2020
Zhanhui Chen, Yang Lu, Jinggong Zhang and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Paris 13, Nanyang Technological University (NTU) - Nanyang Business School and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 13 (620,140)

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weather risk; index insurance; basis risk; neural networks; machine learning

7.

Inferring Equity Durations Around FOMC Surprises: Estimates and Implications

Zhanhui Chen. 2020. Inferring Stock Durations Around FOMC Surprises: Estimates and Implications. Journal of Financial and Quantitative Analysis, forthcoming.
Number of pages: 75 Posted: 23 Sep 2018 Last Revised: 06 Sep 2020
Zhanhui Chen
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 5 (677,695)

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FOMC announcements, effective equity duration, equity yield curve, monetary policy risk

8.

Decoding the Pricing of Uncertainty Shocks

Number of pages: 72
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Virginia (UVA) - McIntire School of Commerce and Nanyang Business School
Downloads 5

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macro uncertainty, micro uncertainty, expected investment growth factor

Other Papers (1)

Total Downloads: 0
1.

Local Gender Imbalance and Corporate Risk-Taking

Posted: 18 Aug 2020 Last Revised: 21 Sep 2020
Zhanhui Chen, Xiaoran Huang and Lei Zhang
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Xiamen University and City University of Hong Kong

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gender imbalance, male-female ratio, risk attitude, corporate risk-taking