Zhuo Chen

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing , Beijing 100083

China

SCHOLARLY PAPERS

16

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6,670

SSRN CITATIONS
Rank 7,435

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Top 7,435

in Total Papers Citations

126

CROSSREF CITATIONS

46

Scholarly Papers (16)

1.

Empirical Investigation of an Equity Pairs Trading Strategy

forthcoming, Management Science
Number of pages: 47 Posted: 17 Mar 2009 Last Revised: 09 Apr 2017
Fudan University - Fanhai International School of Finance (FISF), Connor, Clark, and Lunn Investment Management, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance, Shanghai Jiaotong University
Downloads 2,654 (5,697)
Citation 20

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2.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 786 (37,051)
Citation 3

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Factor, Beta, Characteristics, Performance Evaluation, Anomalies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 78 Posted: 22 Feb 2017 Last Revised: 27 Aug 2019
Zhuo Chen, Zhiguo He and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 589 (53,844)
Citation 16

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Local Government Financing Vehicles, Municipal Corporate Bonds, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-29, PBCSF-NIFR Research Paper
Number of pages: 78 Posted: 04 Mar 2019 Last Revised: 14 Jan 2021
Zhuo Chen, Zhiguo He and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 159 (220,343)
Citation 28

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Keywords: Local Government Financing Vehicles, Municipal Corporate Bonds, Political Cycle, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

NBER Working Paper No. w23598
Number of pages: 66 Posted: 25 Jul 2017 Last Revised: 12 Feb 2021
Zhuo Chen, Zhiguo He and Chun Liu
Tsinghua University - PBC School of Finance, University of Chicago - Finance and Tsinghua University - School of Economics and Management
Downloads 22 (614,317)
Citation 6

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4.

A Market-Based Funding Liquidity Measure

PBCSF-NIFR Research Paper No. 14-01
Number of pages: 60 Posted: 24 Jan 2014 Last Revised: 08 May 2018
Zhuo Chen and Andrea Lu
Tsinghua University - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 594 (53,897)
Citation 7

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Funding Liquidity, Margin Requirements, Traded Risk Factor

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-82, PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 04 Dec 2018 Last Revised: 29 Oct 2020
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 407 (84,921)
Citation 6

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Pledgeability, haircut, repo, interbank and exchange markets, enterprise bonds, shadow cost of capital

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

NBER Working Paper No. w26520
Number of pages: 70 Posted: 03 Dec 2019
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 3 (764,987)
Citation 1
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6.

Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets

PBCSF-NIFR Research Paper No. 13-03
Number of pages: 39 Posted: 13 Oct 2013 Last Revised: 27 Sep 2016
Zhuo Chen and Andrea Lu
Tsinghua University - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 370 (95,653)
Citation 4

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Momentum, Implied Volatility

7.

Growing Pains: International Instability and Equity Market Returns

PBCSF-NIFR Research Paper No. 12-02
Number of pages: 47 Posted: 02 May 2012 Last Revised: 27 Sep 2016
Zhuo Chen, Andrea Lu and Clair Yang
Tsinghua University - PBC School of Finance, The University of Melbourne - Department of Finance and University of Washington - Henry. M. Jackson School of International Studies
Downloads 281 (129,162)
Citation 1

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Asset Pricing, International Political Instability, Militarization

8.

Assessing and Addressing the Coronavirus-Induced Economic Crisis: Evidence From 1.5 Billion Sales Invoices

PBCSF-NIFR Research Paper, 2020
Number of pages: 52 Posted: 06 Aug 2020 Last Revised: 29 Mar 2021
Zhuo Chen, Pengfei Li, Li Liao and Zhengwei Wang
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 186 (194,112)
Citation 2

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COVID-19, pandemic, invoices, firm sales, economic stimulus

9.

Investor Sentiment and the Pricing of Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 167 (211,120)

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Factor beta, Investor sentiment, Mispricing, Risk

10.

Seeing the Unobservable from the Invisible:The Role of CO2 in Measuring Consumption Risk

PBCSF-NIFR Research Paper No. 12-03
Number of pages: 47 Posted: 16 Aug 2012 Last Revised: 19 Feb 2016
Zhuo Chen and Andrea Lu
Tsinghua University - PBC School of Finance and The University of Melbourne - Department of Finance
Downloads 129 (260,221)
Citation 5

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Consumption-Based Capital Asset Pricing Model (CCAPM), Durable Goods Service Flow, Carbon Dioxide Emissions

11.

Investor Sentiment and the Pricing of Macro Risks for Hedge Funds

PBCSF-NIFR Research Paper
Number of pages: 52 Posted: 24 Feb 2019 Last Revised: 08 Mar 2021
Zhuo Chen, Andrea Lu and Xiaoquan Zhu
Tsinghua University - PBC School of Finance, The University of Melbourne - Department of Finance and Tsinghua University, PBC School of Finance, Students
Downloads 74 (374,382)

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Hedge Funds, Macroeconomic Risks, Sentiment

12.

Carbon Dioxide and Asset Pricing: Evidence from International Stock Markets

PBCSF-NIFR Research Paper
Number of pages: 36 Posted: 10 Jan 2020
Zhuo Chen, Jinyu Liu, Andrea Lu and Libin Tao
Tsinghua University - PBC School of Finance, University of International Business and Economics (UIBE) - School of Banking and Finance, The University of Melbourne - Department of Finance and University of International Business and Economics - School of Banking and Finance
Downloads 73 (377,207)
Citation 1

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International Asset Pricing, Consumption-Based Capital Asset Pricing Model, Carbon Dioxide Emissions

13.

COVID-19 Vaccines: Saving Lives and the Global Stock Markets

Number of pages: 30 Posted: 16 Feb 2021 Last Revised: 12 Mar 2021
Kam Fong Chan, Zhuo Chen, Yuanji Wen and Tong Xu
The University of Western Australia, Tsinghua University - PBC School of Finance, The University of Western Australia - Department of Accounting and Finance and Renmin University of China - School of Business
Downloads 72 (383,017)

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COVID-19, pandemics, stock markets, vaccines

14.

Local Political-Turnover-Induced Uncertainty and Bond Market Pricing

Number of pages: 39 Posted: 21 Dec 2020
Tsinghua University - PBC School of Finance, The University of Melbourne - Department of Finance, Tsinghua University - PBC School of Finance and Tsinghua University, PBC School of Finance, Students
Downloads 37 (510,327)

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Political uncertainty, Implicit government guarantee, Municipal corporate bonds, Local investors

15.

A Performance Comparison of Large-n Factor Estimators

Review of Asset Pricing Studies, Volume 8, Number 1 (2018): 153-182.
Number of pages: 110 Posted: 18 Jan 2014 Last Revised: 24 May 2018
Tsinghua University - PBC School of Finance, London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University
Downloads 35 (520,009)
Citation 3

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Factor Model, Asymptotic Principal Components, Large-Scale Factor Model

16.

Leverage and Information: Are Short Sellers and Margin Traders Twin Sisters or Stepsisters?

Number of pages: 60 Posted: 18 Feb 2021
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and The Chinese University of Hong Kong, Shenzhen
Downloads 32 (535,466)

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Short selling, margin trading, future stock returns, international finance