Joseph Chen

University of California, Davis - Graduate School of Management

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 1,227

SSRN RANKINGS

Top 1,227

in Total Papers Downloads

22,128

CITATIONS
Rank 597

SSRN RANKINGS

Top 597

in Total Papers Citations

501

Scholarly Papers (15)

1.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 3,112 (3,369)
Citation 18

Abstract:

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asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect

2.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,106 (3,376)
Citation 24

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book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta

3.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 2,729 (4,203)
Citation 40

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carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity

4.

Intertemporal CAPM and the Cross-Section of Stock Returns

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 56 Posted: 03 Mar 2002
Joseph Chen
University of California, Davis - Graduate School of Management
Downloads 2,022 (6,953)
Citation 85

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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Number of pages: 47 Posted: 03 Jan 2000
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 1,807 (8,270)
Citation 6

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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

NBER Working Paper No. w7687
Number of pages: 49 Posted: 16 May 2000 Last Revised: 17 Oct 2010
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 184 (161,763)
Citation 203

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6.
Downloads 1,877 ( 7,909)
Citation 43

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 1,365 (13,015)
Citation 4

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asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments

Downside Risk

NBER Working Paper No. w11824
Number of pages: 53 Posted: 20 Feb 2006
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Downloads 512 (52,396)
Citation 90

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Downside Risk

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

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7.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings
Number of pages: 56 Posted: 19 May 2000
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 1,751 (8,860)
Citation 343

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8.

Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization

American Economic Review, Vol. 94, No. 5, 2004
Number of pages: 51 Posted: 27 Feb 2003 Last Revised: 12 Feb 2010
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,640 (9,853)
Citation 309

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9.
Downloads 1,089 ( 18,775)
Citation 119

Breadth of Ownership and Stock Returns

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 03 Jan 2001
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 972 (21,814)
Citation 307

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Breadth of Ownership and Stock Returns

NBER Working Paper No. w8151
Number of pages: 49 Posted: 08 Mar 2001 Last Revised: 16 Sep 2001
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 117 (235,584)

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10.

Does Fund Size Erode Performance? Liquidity, Organizational Diseconomies and Active Money Management

Number of pages: 44 Posted: 20 Jun 2003
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 940 (23,338)
Citation 60

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11.

Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance

Number of pages: 58 Posted: 19 Mar 2006 Last Revised: 30 Aug 2012
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, CUHK Business School, The Chinese University of Hong Kong and Syracuse University - Department of Economics
Downloads 913 (24,359)
Citation 52

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12.

Strategic Mutual Fund Tournaments

Number of pages: 61 Posted: 17 Mar 2012 Last Revised: 13 May 2018
Joseph Chen, Eric N. Hughson and Neal Stoughton
University of California, Davis - Graduate School of Management, Claremont McKenna College - Robert Day School of Economics and Finance and Vienna University of Economics and Business
Downloads 297 (100,946)
Citation 4

Abstract:

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tournaments, mutual funds, risk

13.

CAPM Over the Long Run: 1926-2001

NBER Working Paper No. w11903
Number of pages: 54 Posted: 24 Jan 2006 Last Revised: 12 Jul 2010
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 275 (109,262)
Citation 59

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14.

Downside Risk and the Momentum Effect

NBER Working Paper No. w8643
Number of pages: 48 Posted: 14 Dec 2001 Last Revised: 25 Oct 2010
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 221 (136,366)
Citation 16

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15.

Do Hedge Funds Profit from Mutual-Fund Distress?

NBER Working Paper No. w13786
Number of pages: 49 Posted: 08 Feb 2008 Last Revised: 03 Sep 2010
University of California, Davis - Graduate School of Management, Harvard Business School, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 165 (178,137)
Citation 1

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