Joseph Chen

University of California, Davis - Graduate School of Management

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 1,328

SSRN RANKINGS

Top 1,328

in Total Papers Downloads

22,801

SSRN CITATIONS
Rank 811

SSRN RANKINGS

Top 811

in Total Papers Citations

538

CROSSREF CITATIONS

700

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 3,183 (3,706)
Citation 21

Abstract:

Loading...

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 3,120 (3,826)
Citation 6

Abstract:

Loading...

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 2,853 (4,454)
Citation 50

Abstract:

Loading...

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 2,110 (7,380)
Citation 106

Abstract:

Loading...

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 1,829 (9,201)
Citation 22

Abstract:

Loading...

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 203 (163,270)
Citation 36

Abstract:

Loading...

6.
Downloads 1,938 ( 8,548)
Citation 107

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 1,408 (13,974)
Citation 8

Abstract:

Loading...

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 530 (55,774)
Citation 21

Abstract:

Loading...

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

Abstract:

Loading...

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 1,783 (9,774)
Citation 62

Abstract:

Loading...

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 1,713 (10,462)
Citation 142

Abstract:

Loading...

9.
Downloads 1,109 ( 20,456)
Citation 59

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 979 (24,191)
Citation 58

Abstract:

Loading...

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 130 (238,567)
Citation 1

Abstract:

Loading...

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 993 (24,087)
Citation 30

Abstract:

Loading...

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 947 (25,761)
Citation 26

Abstract:

Loading...

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 330 (99,442)
Citation 4

Abstract:

Loading...

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 283 (117,087)
Citation 6

Abstract:

Loading...

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 229 (145,185)
Citation 3

Abstract:

Loading...

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 University - Business School (HBS), Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 178 (183,349)

Abstract:

Loading...