Chunhua Lan

University of New Brunswick - Fredericton

Bailey Drive

P.O. Box 4400

Fredericton NB E3B 5A3

Canada

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 37,037

SSRN RANKINGS

Top 37,037

in Total Papers Downloads

1,234

SSRN CITATIONS
Rank 38,936

SSRN RANKINGS

Top 38,936

in Total Papers Citations

9

CROSSREF CITATIONS

6

Scholarly Papers (6)

1.

Holding Horizon: A New Measure of Active Investment Management

American Finance Association Meetings 2015 Paper, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 77 Posted: 31 Oct 2014 Last Revised: 26 Jun 2019
Chunhua Lan, Fabio Moneta and Russ Wermers
University of New Brunswick - Fredericton, Telfer School of Management, University of Ottawa and University of Maryland - Robert H. Smith School of Business
Downloads 448 (66,025)
Citation 6

Abstract:

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mutual funds, performance evaluation, investment horizons, selection skills

The Economic Value of Exploiting Time-Varying Return Moments

EFA 2008 Athens Meetings Paper
Number of pages: 53 Posted: 03 Mar 2008 Last Revised: 25 Nov 2008
Chunhua Lan
University of New Brunswick - Fredericton
Downloads 118 (245,870)

Abstract:

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Dynamic portfolio choices, real-time portfolio performance, out-of-sample portfolio performance

An Out-of-Sample Evaluation of Dynamic Portfolio Strategies

Forthcoming in the Review of Finance, EFA 2008 Athens Meetings Paper
Number of pages: 55 Posted: 25 Mar 2008 Last Revised: 25 Nov 2014
Chunhua Lan
University of New Brunswick - Fredericton
Downloads 111 (257,011)
Citation 3

Abstract:

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dynamic portfolio choice, real-time portfolio performance, out-of-sample portfolio performance

3.

Survey Forecasts and the Time-Varying Second Moments of Stock and Bond Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 93 Posted: 15 Mar 2012 Last Revised: 26 Jul 2016
Pierluigi Balduzzi and Chunhua Lan
Boston College - Carroll School of Management and University of New Brunswick - Fredericton
Downloads 208 (151,895)
Citation 3

Abstract:

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Campbell-Shiller decomposition, time-varying second moments, stock-bond covariance

4.

Cash-Flow Timing vs. Discount-Rate Timing: An Examination of Mutual Fund Market-Timing Skills

Finance Down Under 2016 Building on the Best from the Cellars of Finance , American Finance Association Meetings, 2017 Chicago
Number of pages: 89 Posted: 01 Oct 2015 Last Revised: 28 Oct 2019
Chunhua Lan and Russ Wermers
University of New Brunswick - Fredericton and University of Maryland - Robert H. Smith School of Business
Downloads 190 (165,196)

Abstract:

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Cash-flow timing, discount-rate timing, market timing

5.

Characterizing the Co-Movement of the Stock and Bond Markets

Number of pages: 44 Posted: 03 Mar 2008 Last Revised: 25 Nov 2008
Chunhua Lan
University of New Brunswick - Fredericton
Downloads 155 (197,376)
Citation 2

Abstract:

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time-varying covariance, stock market, bond market

6.

Stock Price Movements: Business-Cycle and Low-Frequency Perspectives

Forthcoming, Review of Asset Pricing Studies
Number of pages: 103 Posted: 16 Mar 2012 Last Revised: 31 Dec 2019
Chunhua Lan
University of New Brunswick - Fredericton
Downloads 4 (644,921)

Abstract:

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dividend growth predictability, multiperiod stock return predictability, price dynamics at business-cycle frequencies, price dynamics at low frequencies