Zhi-Wu Chen

 date:2010-8-4 10:52:00 source:BiMBA         

Professor of Finance, School of Management, Yale University


Research Area

Stocks, bonds, futures and options markets and macroeconomic


Education Background

1990, PhD Yale University

1986, MS Changsha Institute of Technology, China

1983, BS Central-South University of Technology, China

1994, Merton Miller Prize



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. 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 one of the three partners Zebra, Capital and Management, as well as the columnist and academic adviser of magazine New Fortune. As an expert of economics, he was invited to held lectures at Columbia University, Stanford University, New York University, University of Pennsylvania and many other universities. He also lectured at U.S. financial institutes, European Monetary Institute, the Federal Reserve Board, the World Econometric Society, as well as other national and regional universities.

Resent Research Papers in English

(1)   "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Vol. 2, No. 2, 297-323, November, 2002

(2)   "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

(3)   "Pricing and Hedging Long-Term Options" (with G. Bakshi and C. Cao), Journal of Econometrics, 1998

(4)   "Empirical Performance of Alternative Option Pricing Models" (with G. Bakshi and C. Cao), Journal of Finance, Vol. LII, No. 5, 1997

(5)   "Equilibrium Valuation of Foreign Exchange Claims" (with G. Bakshi), Journal of Finance, Vol. LII, No. 2, 1997

(6)   "An Alternative Valuation Model for Contingent Claims" (with G. Bakshi), Journal of Financial Economics, Vol. 44, 1997

(7)   "The Spirit of Capitalism and Stock Market Prices" (with G. Bakshi), American Economic Review, Vol. 86, No. 1, 1996

(8)   "Portfolio Performance Measurement: Theory and Applications" (with P. Knez), Review of Financial Studies, Vol. 9, No. 2, 1996

(9)   "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


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