Joseph Chen

University of California, Davis - Graduate School of Management

One Shields Avenue

Davis, CA 95616

United States

  • University of California, Davis - Graduate School of Management

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    • Tel: (530) 752-7155
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SCHOLARLY PAPERS

15

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23,360

SSRN CITATIONS
Rank 779

SSRN RANKINGS

Top 779

in Total Papers Citations

671

CROSSREF CITATIONS

702

Scholarly Papers (15)

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1.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 3,243 (4,036)
Citation 21

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asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect

2.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,140 (4,282)
Citation 7

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book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta

3.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 2,941 (4,794)
Citation 53

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carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity

4.

Intertemporal CAPM and the Cross-Section of Stock Returns

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 56 Posted: 03 Mar 2002
Joseph Chen
University of California, Davis - Graduate School of Management
Downloads 2,193 (7,823)
Citation 110

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5.

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Downloads 2,077 ( 8,538)
Citation 238

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Number of pages: 47 Posted: 03 Jan 2000
Joseph Chen, Harrison G. Hong and Jeremy C. Stein
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 1,863 (9,987)
Citation 22

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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

NBER Working Paper No. w7687
Number of pages: 49 Posted: 16 May 2000 Last Revised: 17 Oct 2010
Joseph Chen, Harrison G. Hong and Jeremy C. Stein
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 214 (168,605)
Citation 53

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6.

Downside Risk

Downloads 2,008 ( 9,038)
Citation 118

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 1,450 (14,867)
Citation 10

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asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments

Downside Risk

NBER Working Paper No. w11824
Number of pages: 53 Posted: 20 Feb 2006
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Downloads 558 (57,607)
Citation 31

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Downside Risk

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

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7.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings
Number of pages: 56 Posted: 19 May 2000
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 1,828 (10,490)
Citation 83

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8.

Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization

American Economic Review, Vol. 94, No. 5, 2004
Number of pages: 51 Posted: 27 Feb 2003 Last Revised: 12 Feb 2010
Joseph Chen, Harrison G. Hong, Ming Huang and Jeffrey D. Kubik
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,752 (11,231)
Citation 158

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9.

Breadth of Ownership and Stock Returns

Downloads 1,138 ( 21,912)
Citation 79

Breadth of Ownership and Stock Returns

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 03 Jan 2001
Joseph Chen, Harrison G. Hong and Jeremy C. Stein
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 986 (26,553)
Citation 79

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Breadth of Ownership and Stock Returns

NBER Working Paper No. w8151
Number of pages: 49 Posted: 08 Mar 2001 Last Revised: 16 Sep 2001
Joseph Chen, Harrison G. Hong and Jeremy C. Stein
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 152 (228,829)
Citation 1

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10.

Does Fund Size Erode Performance? Liquidity, Organizational Diseconomies and Active Money Management

Number of pages: 44 Posted: 20 Jun 2003
Joseph Chen, Harrison G. Hong, Ming Huang and Jeffrey D. Kubik
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,022 (25,627)
Citation 33

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11.

Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance

Number of pages: 58 Posted: 19 Mar 2006 Last Revised: 30 Aug 2012
Joseph Chen, Harrison G. Hong, Wenxi Jiang and Jeffrey D. Kubik
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, CUHK Business School, The Chinese University of Hong Kong and Syracuse University - Department of Economics
Downloads 965 (27,809)
Citation 31

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12.

Strategic Mutual Fund Tournaments

Number of pages: 61 Posted: 17 Mar 2012 Last Revised: 13 May 2018
Joseph Chen, Eric N. Hughson and Neal Stoughton
University of California, Davis - Graduate School of Management, Claremont McKenna College - Robert Day School of Economics and Finance and Vienna University of Economics and Business
Downloads 343 (104,128)
Citation 4

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tournaments, mutual funds, risk

13.

CAPM Over the Long Run: 1926-2001

NBER Working Paper No. w11903
Number of pages: 54 Posted: 24 Jan 2006 Last Revised: 12 Jul 2010
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 285 (127,189)
Citation 6

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14.

Downside Risk and the Momentum Effect

NBER Working Paper No. w8643
Number of pages: 48 Posted: 14 Dec 2001 Last Revised: 13 Feb 2021
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 235 (154,525)
Citation 8

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15.

Do Hedge Funds Profit from Mutual-Fund Distress?

NBER Working Paper No. w13786
Number of pages: 49 Posted: 08 Feb 2008 Last Revised: 04 Mar 2021
Joseph Chen, Samuel Gregory Hanson, Harrison G. Hong and Jeremy C. Stein
University of California, Davis - Graduate School of Management, Harvard University - Business School (HBS), Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 190 (188,585)

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