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Chen Rui

Published:2017-11-07  Views:

Contact Information

School of Finance, Central University of Finance and Economics, 39 College South Road, Haidian District, Beijing, 100081

Email: r.chen@cufe.edu.cn

Research Area/Interests

Theoretical/Empirical Asset Pricing, Market Microstructure, Quantitative/High-Frequent Trading

Current Academic Position

Oct. 2017 - Present Associate Professor in Finance, Central University of Finance and Economics

Sep. 2016 - Present Research Fellow, China Academy of Asset Management, Central University of Finance and Economics

Sep. 2013 - Oct. 2017 Assistant Professor in Finance, Central University of Finance and Economics

Teaching

Financial Economics, Fixed-income Securities, Advanced Corporate Finance, Frontier in Asset Pricing

Education

Mar. 2009- Jun. 2013

Ph.D. in Finance, Business School, University of Sydney, Australia

Mar. 2007- Nov. 2008

M.A. in Finance, Business School, University of Sydney, Australia

Sep. 1999 - Jun. 2003

B.A. in Engineering, Department of Engineering Physics, Tsinghua University, China

Published Papers

A Generalised Arbitrage-Free Nelson-Siegel model: the Impact of Unspanned Stochastic Volatility, with Ke Du, Finance Research Letters, 2014

Forecasting the Government Bond Term Structure in Australia, with Jiri Svec, Maurice Peat, Australian Economics Papers, 2016

Chinese Stock Market Return Predictability: Adaptive Complete Subset Regressions, with Keqi Chen, Xueyong Zhang, Min Zhu, Asia-Pacific Journal of Financial Studies, 2016

Australian Bond Excess Return: An Asset Allocation Perspective, with Jiri Svec, Meng Wang, Australian Economics Papers, 2017

Mutual Fund Managers’ Prior Work Experience and Their Investment Skills, with Zhennan Gao, Xueyong Zhang, Min Zhu, Financial Management, 2017

Dividend Growth Predictability and Stock Price Movement, with Ke Du, Min Zhu, You-Gan Wang, International Review of Economics and Finance, 2018

Rational Expectations, Difference of Opinions and Asset Pricing, with Yimin Zhou, Applied Economics, 2018

Working Papers

Intertemporal Substitution, Precautionary Saving, and Currency Premium, with Ke Du, Jun Liu

Return Predictability along the Supply Chain: Evidence from the US-China Chain, with Zhennan Gao, Xueyong Zhang

Wealth Constraint, Heterogeneous Beliefs and Asset Price, with Wei Xu, Shiqi Zhang

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives, with Ke Du

Order Imbalance and Futures Price in High-frequency Trading: Evidence from China, with Wei Xu, Bohan Li

Industry Allocation of Equity Funds, with Adam Corbett, Min Zhu

Currency Risk Premia, with Ke Du, Xiaoneng Zhu

Predictability of Sovereign Credit Risk Premia from CDS Spreads: An Asset Allocation Perspective, with Jiri Svec, Di Zhang

Presentations

Seminars

Central University of Finance and Economics, Jiangxi University of Finance and Economics, Queensland University of Technology, Southwest University of Finance and Economics, Tsinghua University, University of Sydney, University of Technology, Sydney, Wuhan University.

Conferences/Workshops

China International Conference in Finance, 2016

China International Conference in Finance, 2018

Financial Management Association, Europe Conference, 2018

Academic Activities

American Finance Association

Financial Management Association



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