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Introduction
Professor Chen is a visiting Professor at CKGSB and a Professor at Yale University.
Research Area
Dr. Chen's research expertise covers financial theory, securities design, derivatives, and China Economy and other asset pricing topics.
Achievements
Dr. Chen received numerous awards for his outstanding research and teaching performance. He received the Merton Miller Research Award in 1995 (for the best article published in Journal of business). His research has appeared in top international journals, including American Economic Review, Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Economic Theory, Journal of Business and Journal of Econometrics . Dr. Chen also has rich experiences on executive teaching and consulting in Mainland China, Japan and the United States.
Selected Publications
"Informational Content of Option Volume Prior to Takeovers”, with John Griffin, Journal of Business, 78, 1073-1109, 2005.
"Pricing and Hedging Long-Term Options", with Gurdip Bakshi and Charles Cao, Journal of Econometrics, Vol. 94, 277-318, 2000.
"Do Call Prices and the Underlying Stock Always Move in the Same Direction?", with Gurdip Bakshi and Charles Cao, Review of Financial Studies, Vol. 13, pp 549-584, 2000.
"Empirical Performance of Alternative Option Pricing Models", with Gurdip Bakshi and Charles Cao, Journal of Finance, Vol. LII, No. 5, 2003-2049, 1997.
"Equilibrium Valuation of Foreign Exchange Claims", with Gurdip Bakshi, Journal of Finance, Vol. LII, No.2, 799-826, 1997.
"An Alternative Valuation Model for Contingent Claims", with Gurdip Bakshi, Journal of Financial Economics, Vol. 44, 123-165, 1997.
"The Spirit of Capitalism and Stock Market Prices", with Gurdip Bakshi, American Economic Review, Vol. 86, No. 1, 133-157, 1996.
"Portfolio Performance Measurement: Theory and Applications", with Peter Knez, Review of Financial Studies, Vol. 9, No. 2, 511-555, 1996.
"Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies", with Gurdip Bakshi, Review of Financial Studies, Vol. 9, No. 1, 237-271, 1996.
"Financial Innovation and Arbitrage Pricing in Frictional Economies", Journal of Economic Theory, Vol. 65, No. 1, 117-135, 1995.
"Measurement of Market Integration and Arbitrage", with Peter Knez, Review of Financial Studies, Vol. 8, No. 2, 287-325, 1995.
"Baby Boom, Population Aging and Capital Markets", with Gurdip Bakshi, Journal of Business, Vol. 67, No. 2, 165-202, 1994.
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