| Professor Zhiwu
Chen is an expert on finance theory, securities valuation,
emerging markets, and China's economy and capital markets.
Dr. Chen is a frequent contributor to top economics and
finance journals with research papers ranging from novel
means of valuing stocks and pricing options, to studies of
foreign exchange, market integration, mutual funds and
profitable investment strategies. In the last few years, Dr.
Chen has been actively doing research on market development
and institution-building issues in the context of China's
transition process and other emerging markets. What
institutions are necessary for markets to develop? What
roles do financial innovations play in a country's economic
development process? These are among the issues which Dr.
Chen's research focuses on. Dr. Chen's work has been
featured in The Wall Street Journal, The New York Times, The
Boston Globe, Barron's, Far-Eastern Economic Review, and
many newspapers and magazines in Hong Kong and China. He is
also a frequent contributor to newspapers and magazines in
China, on economic policy and legal reform issues.
Achievements and Honors
Pacesetter Research Award, Ohio State University, 1999
Merton Miller Prize, 1994
Chicago Board Options Exchange Competitive Research Award,
1994
PACAP Research Fellow, 1994-1995
Yale Fellowship, 1986-1990
Editorships
Editor:
Annals of Economics and Finance
Associate Editor:
Journal of Financial and Quantitative Analysis
Journal of Empirical Finance
Pacific-Basin Finance Journal
Recent Articles
“Viable Costs and Equilibrium Prices in Frictional
Securities Markets,” Annals of Economics and Finance,
Vol. 2, No. 2, 297-323, November 2002
“Do Call Prices and the Underlying Stock Always Move in
the Same Direction?”( with G. Bakshi and C. Cao), Review
of Financial Studies, Vol. 13, 549-584, 2000
"Pricing and Hedging Long-Term Options" (with G. Bakshi
and C. Cao), Journal of
Econometrics, 1998
"Empirical Performance of Alternative Option Pricing Models"
(with G. Bakshi and C. Cao),
Journal of Finance, Vol. LII, No. 5, 1997
"Equilibrium Valuation of Foreign Exchange Claims" (with
G. Bakshi), Journal of Finance,
Vol. LII, No. 2, 1997
"An Alternative Valuation Model for Contingent Claims"
(with G. Bakshi), Journal of Financial Economics, Vol. 44,
1997
"The Spirit of Capitalism and Stock Market Prices" (with
G. Bakshi), American Economic
Review, Vol. 86, No. 1, 1996
"Portfolio Performance Measurement: Theory and Applications"
(with P. Knez), Review of
Financial Studies, Vol. 9, No. 2, 1996
"Inflation, Asset Prices, and the Term Structure of Interest
Rates in Monetary Economies" (with G. Bakshi),
Review of Financial Studies,
Vol. 9, No. 1, 1996
Working Papers
"Price Impact Costs and the Limit of Arbitrage," (with W.
Stanzl and M. Watanabe), 2002
“Discounts for Illiquid Stocks: Evidence from China,”
(with P. Xiong), 2001
"Stock Valuation and Investment Strategies" (with M.
Dong), 2000
"Stock Valuation in Dynamic Economies" (with G. Bakshi),
1997
"Viable Costs and Equilibrium Prices in Frictional
Securities Markets," 1994
"Market Frictions and the Preferred Habitat Theory of the
Term Structure of Interest Rates" (with G. Bakshi), 1994
Education
Ph.D. Yale University, 1990
M.S. Changsha Institute of Technology, China, 1986
B.S. Central-South University of Technology, China, 1983 |
