Zhanhui Chen

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

Clear Water Bay, Kowloon

Hong Kong

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

SCHOLARLY PAPERS

10

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2,645

TOTAL CITATIONS
Rank 31,395

SSRN RANKINGS

Top 31,395

in Total Papers Citations

23

Scholarly Papers (10)

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1.

Managing Weather Risk with a Neural Network-Based Index Insurance

Management Science, accepted., Nanyang Business School Research Paper No. 20-28, HKUST Business School Research Paper No. 2023-114
Number of pages: 101 Posted: 24 Mar 2020 Last Revised: 30 Jun 2023
Zhanhui Chen, Yang Lu, Jinggong Zhang and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Department of Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 577 (97,493)
Citation 6

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

2.

Risk Aversion Sensitive Real Business Cycles

Number of pages: 48 Posted: 08 Oct 2012 Last Revised: 16 May 2019
Zhanhui Chen, Ilan Cooper, Paul Ehling and Costas Xiouros
Hong Kong University of Science & Technology (HKUST) - Department of Finance, BI Norwegian Business School, BI - Norwegian Business School and BI Norwegian Business School
Downloads 418 (143,622)
Citation 1

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

3.

Longevity Shocks and Corporate Debt Markets

HKUST Business School Research Paper , Nanyang Business School Research Paper No. 21-35
Number of pages: 70 Posted: 02 Aug 2021 Last Revised: 27 Mar 2024
Zhanhui Chen, Vidhan K. Goyal, Pingyi Lou and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Hong Kong University of Science and Technology, Fudan University - School of Economics and Nanyang Business School, Nanyang Technological University
Downloads 286 (217,130)

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debt maturity, duration risk, bond yields, longevity risk, life insurance companies

4.

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 281 (221,175)
Citation 6

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

5.

Duration-Hedging Trades, Return Momentum and Reversal

Nanyang Business School Research Paper No. 20-27
Number of pages: 59 Posted: 28 Feb 2020 Last Revised: 23 Aug 2021
Zhanhui Chen, Pingyi Lou and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Fudan University - School of Economics and Nanyang Business School, Nanyang Technological University
Downloads 234 (265,500)

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

6.

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 218 (284,078)
Citation 1

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

7.

Decoding the Pricing of Uncertainty Shocks

Number of pages: 72 Posted: 30 Nov 2020
Zhanhui Chen, Michael F. Gallmeyer and Baek-Chun Kim
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Virginia (UVA) - McIntire School of Commerce and National Chengchi University (NCCU) - Department of Money and Banking
Downloads 215 (287,877)
Citation 2

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macro uncertainty, micro uncertainty, expected investment growth factor

8.

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 (CityU)
Downloads 196 (313,736)
Citation 1

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

9.

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 Business School, Nanyang Technological University
Downloads 133 (436,129)
Citation 6

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

10.

Transition Risk under Capital Misallocation: The Deployment of Solar Power Plants in China

HKUST Business School Research Paper No. 2024-164
Number of pages: 54 Posted: 17 Jun 2024
Zhanhui Chen and Zhuang Chu
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 87 (589,145)

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Transition risk, Solar power plants, Capital misallocation, Spatial allocation, Crowding-out

Other Papers (1)

Total Downloads: 34
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1.

Fundamental Risk Sources and Pricing Factors

Number of pages: 92 Posted: 24 Jan 2019 Last Revised: 07 Oct 2020
Zhanhui Chen and Baek-Chun Kim
Hong Kong University of Science & Technology (HKUST) - Department of Finance and National Chengchi University (NCCU) - Department of Money and Banking
Downloads 34

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productivity shocks, production-based asset pricing, pricing factors, empirical asset pricing models