203.432.5948

Professor of Finance

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 Awards
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

Selected 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)

"Discounts for Illiquid Stocks: Evidence from China" (with P. Xiong)

"Stock Valuation and Investment Strategies" (with M. Dong)

"Stock Valuation in Dynamic Economies" (with G. Bakshi)

"Viable Costs and Equilibrium Prices in Frictional Securities Markets"

"Market Frictions and the Preferred Habitat Theory of the Term Structure of Interest Rates" (with G. Bakshi)

Education
PhD Yale University, 1990
MS Changsha Institute of Technology, China, 1986
BS Central-South University of Technology, China, 1983