Publications by Zhiwu Chen

2013
Liquidity as an Investment Style
R. Ibbotson, Z. Chen, D. Kim and W. Hu
Financial Analysts Journal
Type: Article
2013
2011
Financial Strategies for Nation Building
Z. Chen
Type: Working Paper
2011
2010
Option pricing and hedging performance under stochastic volatility and stochastic interest rates
G. Bakshi, C. Cao and Z. Chen
Handbook of Quantitative Finance and Risk Management
Type: Article
2010
2005
Free Press Could Help China's Economy
Z. Chen
Financial Times
Type: Article
2005
Informational content of option volume prior to takeovers
C. Cao and Z. Chen, J. Griffin
Journal of Business
Type: Article
2005
Stock valuation in dynamic economies
G. Bakshi and Z. Chen
Journal of Financial Markets
Type: Article
2005
2003
Capital markets and legal development: The China case
Z. Chen
China Economic Review
Type: Article
2003
2002
The illiquidity discount in China
Z. Chen and P. Xiong
International Center for Financial Research, Yale University
Type: Article
2002
Price impact costs and the limit of arbitrage
Z. Chen, W. Stanzl and M. Watanabe
EFA 2002 Berlin Meetings Presented Paper
Type: Article
2002
2001
Discounts on Illiquid Stocks: Evidence from China
Z. Chen and P. Xiong
Type: Working Paper
2001
Stock Valuation and Investment Strategies
Z. Chen and M. Dong
Type: Working Paper
2001
A Valuation Study of Stock-Market Seasonality and Firm Size
Z. Chen and J. Jindra
Type: Working Paper
2001
Viable costs and equilibrium prices in frictional securities markets
Z. Chen
Annals of Economics and Finance
Type: Article
2001
2000
Do call prices and the underlying stock always move in the same direction?
G. Bakshi, C. Cao and Z. Chen
Review of Financial Studies
Type: Article
2000
Models of Currency Option Pricing
G. Bakshi and Z. Chen
Advanced Fixed-Income Valuation Tools
Type: Article
2000
Nonparametric Predictions of Future Stock Returns
Z. Chu & Y. Sun
Type: Working Paper
2000
Pricing and hedging long-term options
G. Bakshi, C. Cao and Z. Chen
Journal of Econometrics
Type: Article
2000
1998
Informed Trading in Options Markets
Z. Chen, C. Cao, J. Griffin
Type: Working Paper
1998
Investing with a Stock Valuation Model
Z. Chen, C. Chang, M. Dong
Type: Working Paper
1998
1997
An alternative valuation model for contingent claims
G. S. Bakshi and Z. Chen
Journal of Financial Economics
Type: Article
1997
Can Markovian Models Explain Option - Price Dynamics? Lessons from High-Frequency Option Data
Z. Chen, G. Bakshi & C. Cao
Type: Working Paper
1997
Empirical performance of alternative option pricing models
G. Bakshi, C. Cao and Z. Chen
The Journal of Finance
Type: Article
1997
Equilibrium valuation of foreign exchange claims
G. S. Bakshi and Z. Chen
The Journal of Finance
Type: Article
1997
1996
Asset Pricing without Consumption or Market Portfolio Data
Z. Chen and G. Bakshi
Type: Working Paper
1996
Inflation, asset prices, and the term structure of interest rates in monetary economics
G. S. Bakshi and Z. Chen
Review of Financial Studies
Type: Article
1996
Portfolio performance measurement: Theory and applications
Z. Chen and P. J. Knez
Review of Financial Studies
Type: Article
1996
The spirit of capitalism and stock-market prices
G. S. Bakshi and Z. Chen
The American Economic Review
Type: Article
1996
1995
Financial innovation and arbitrage pricing in frictional economies
Z. Chen
Journal of Economic Theory
Type: Article
1995
Measurement of market integration and arbitrage
Z. Chen and P. J. Knez
Review of financial studies
Type: Article
1995
Production-based asset pricing in Japan
G. S. Bakshi, Z. Chen and A. Naka
Pacific-Basin Finance Journal
Type: Article
1995
1994
Baby boom, population aging, and capital markets
G. S. Bakshi and Z. Chen
Journal of Business
Type: Article
1994
Market Frictions and the Preferred Habitat Theory of the Term Structure of Interest Rates
Z. Chen and G. Bakshi
Type: Working Paper
1994
A PRICING OPERATOR-BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
Z. Chen and P. J. Knez
Mathematical Finance
Type: Article
1994
1993
Arbitrage in the Treasury Bond Market
Z. Chen and M. Fedinia
Type: Working Paper
1993
1992
Arbitrage and Optimal Security Design
Z. Chen
Type: Working Paper
1992
1990
Stochastic Dominance and Mutual Fund Separation in Multiperiod Securities Markets
Z. Chen
Type: Working Paper
1990