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
