Author Page for Joseph Chen

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 3,532 (5,489)

Citation 21

Abstract:

2.

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 3,287 (6,173)

Citation 50

Abstract:

3.

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 3,207 (6,441)

Citation 10

Abstract:

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 2,419 (9,978)

Citation 140

Abstract:

5.

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 1,630 (18,386)

Citation 10

Abstract:

Downside Risk

NBER Working Paper No. w11824

Number of pages: 53 Posted: 20 Feb 2006 Last Revised: 24 Apr 2022

Joseph Chen, Andrew Ang and Yuhang Xing

University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

Downloads 773 (53,820)

Citation 32

Abstract:

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:

6.

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

Downloads 2,189 (11,769)

Citation 330

2

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

Number of pages: 47 Posted: 03 Jan 2000

Joseph Chen, Harrison G. Hong and Jeremy C. Stein

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 1,926 (14,138)

Citation 22

Abstract:

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: 02 Jan 2023

Joseph Chen, Harrison G. Hong and Jeremy C. Stein

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 263 (192,596)

Citation 57

Abstract:

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 1,910 (14,615)

Citation 82

Abstract:

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

Joseph Chen, Harrison G. Hong, Ming Huang and Jeffrey D. Kubik

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 1,909 (14,628)

Citation 241

Abstract:

9.

Breadth of Ownership and Stock Returns

Downloads 1,252 (27,750)

Citation 142

2

Breadth of Ownership and Stock Returns

AFA 2002 Atlanta Meetings

Number of pages: 48 Posted: 03 Jan 2001

Joseph Chen, Harrison G. Hong and Jeremy C. Stein

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 1,018 (36,785)

Citation 81

Abstract:

Breadth of Ownership and Stock Returns

NBER Working Paper No. w8151

Number of pages: 49 Posted: 08 Mar 2001 Last Revised: 10 Oct 2022

Joseph Chen, Harrison G. Hong and Jeremy C. Stein

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 234 (216,241)

Citation 1

Abstract:

10.

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

Number of pages: 44 Posted: 20 Jun 2003

Joseph Chen, Harrison G. Hong, Ming Huang and Jeffrey D. Kubik

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 1,133 (32,160)

Citation 32

Abstract:

11.

Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance

Number of pages: 58 Posted: 19 Mar 2006 Last Revised: 30 Aug 2012

Joseph Chen, Harrison G. Hong, Wenxi Jiang and Jeffrey D. Kubik

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 1,035 (36,467)

Citation 31

Abstract:

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 414 (118,825)

Citation 4

Abstract:

13.

CAPM Over the Long Run: 1926-2001

NBER Working Paper No. w11903

Number of pages: 54 Posted: 24 Jan 2006 Last Revised: 11 Jul 2022

Joseph Chen and Andrew Ang

University of California, Davis - Graduate School of Management and BlackRock, Inc

Downloads 325 (155,392)

Citation 6

Abstract:

14.

Downside Risk and the Momentum Effect

NBER Working Paper No. w8643

Number of pages: 48 Posted: 14 Dec 2001 Last Revised: 13 Feb 2022

Andrew Ang, Joseph Chen and Yuhang Xing

BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University

Downloads 299 (169,709)

Citation 7

Abstract:

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 2022

Joseph Chen, Samuel Gregory Hanson, Harrison G. Hong and Jeremy C. Stein

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 259 (196,520)

Joseph Chen

University of California, Davis - Graduate School of Management

15

Top 2,085

25,573

Top 657

1,254

702

Scholarly Papers (15)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: