Zhanhui Chen

Hong Kong University of Science & Technology (HKUST) - Department of Finance

Clear Water Bay, Kowloon

Hong Kong

SCHOLARLY PAPERS

8

DOWNLOADS

928

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Risk Aversion Sensitive Real Business Cycles

Number of pages: 48 Posted: 08 Oct 2012 Last Revised: 16 May 2019
Hong Kong University of Science & Technology (HKUST) - Department of Finance, BI Norwegian Business School, BI - Norwegian Business School and BI Norwegian Business School
Downloads 266 (138,682)
Citation 1

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State-contingent technology; Time-varying risk aversion; Conditional volatility of investment; Predictability of returns

2.

Time-to-Produce, Inventory, and Asset Prices

Journal of Financial Economics (JFE), 2015
Number of pages: 61 Posted: 01 Dec 2010 Last Revised: 29 Jun 2015
Zhanhui Chen
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 235 (156,613)
Citation 2

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time-to-build, time-to-produce, inventory, recursive preferences, asset pricing

3.

Back to the Beginning: Does Investor Diversification Affect the Firm's Cost of Equity?

Number of pages: 57 Posted: 15 Dec 2014 Last Revised: 10 Oct 2015
Zhanhui Chen and Lei Zhang
Hong Kong University of Science & Technology (HKUST) - Department of Finance and City University of Hong Kong
Downloads 133 (257,500)
Citation 1

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Institutional investors; Marginal Investor; Investor Diversification; Cost of Equity

4.

Decoding the Pricing of Uncertainty Shocks

Number of pages: 72 Posted: 30 Nov 2020
Hong Kong University of Science & Technology (HKUST) - Department of Finance, University of Virginia (UVA) - McIntire School of Commerce and Nanyang Business School
Downloads 89 (339,760)
Citation 1

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macro uncertainty, micro uncertainty, expected investment growth factor

5.

In Search of Preference Shock Risks: Evidence from Longevity Risks and Momentum Profits

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 93 Posted: 27 Nov 2017 Last Revised: 23 Jan 2019
Zhanhui Chen and Bowen Yang
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Nanyang Business School, Nanyang Technological University
Downloads 68 (396,576)
Citation 3

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time-preference shocks, longevity risk, momentum profits, equity durations, consumption-based models

6.

Duration-Hedging Trades and Return Momentum: An Examination of Long-Term Strategic Investors

Nanyang Business School Research Paper No. 20-27
Number of pages: 59 Posted: 28 Feb 2020 Last Revised: 05 Apr 2021
Zhanhui Chen, Pingyi Lou and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Fudan University - School of Economics and Nanyang Business School, Nanyang Technological University
Downloads 56 (436,894)

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momentum; stock duration; longevity risk; pensions; life insurers

7.

Managing Weather Risk with a Neural Network-Based Index Insurance

Nanyang Business School Research Paper No. 20-28
Number of pages: 79 Posted: 24 Mar 2020 Last Revised: 05 Apr 2021
Zhanhui Chen, Yang Lu, Jinggong Zhang and Wenjun Zhu
Hong Kong University of Science & Technology (HKUST) - Department of Finance, Dept. Maths & Statis, Concordia University, Nanyang Business School, Nanyang Technological University and Nanyang Business School, Nanyang Technological University
Downloads 46 (475,688)

Abstract:

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weather risk; index insurance; basis risk; neural networks; machine learning

8.

Inferring Equity Durations Around FOMC Surprises: Estimates and Implications

Zhanhui Chen. 2020. Inferring Stock Durations Around FOMC Surprises: Estimates and Implications. Journal of Financial and Quantitative Analysis, forthcoming.
Number of pages: 75 Posted: 23 Sep 2018 Last Revised: 06 Sep 2020
Zhanhui Chen
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 35 (525,854)
Citation 1

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FOMC announcements, effective equity duration, equity yield curve, monetary policy risk

Other Papers (1)

Total Downloads: 7
1.

Fundamental Risk Sources and Pricing Factors

Number of pages: 92 Posted: 24 Jan 2019 Last Revised: 07 Oct 2020
Zhanhui Chen and Baek-Chun Kim
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Nanyang Business School
Downloads 7

Abstract:

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productivity shocks, production-based asset pricing, pricing factors, empirical asset pricing models