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Details about Son-Nan Chen

Workplace:Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University, (more information at EDIRC)

Access statistics for papers by Son-Nan Chen.

Last updated 2014-11-07. Update your information in the RePEc Author Service.

Short-id: pch1380


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Journal Articles

2014

  1. Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
    Finance Research Letters, 2014, 11, (2), 161-172 Downloads View citations (2)

2013

  1. Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM
    Journal of Futures Markets, 2013, 33, (9), 827-867

2008

  1. Extend the debt as it is not deeply out-of-the-money
    Economics Bulletin, 2008, 7, (16), 1-6 Downloads View citations (2)

1998

  1. Mean reversion behavior of the returns on currency assets
    International Review of Economics & Finance, 1998, 7, (2), 185-200 Downloads View citations (4)

1997

  1. The Effect on a Firm's Financing and Investment Decisions of Differential Taxation as Barriers to International Investment
    Review of Quantitative Finance and Accounting, 1997, 8, (3), 191-209 Downloads

1996

  1. International real interest rate parity with error correction models
    Global Finance Journal, 1996, 7, (2), 129-151 Downloads View citations (1)

1994

  1. On selectivity and market timing ability of U.S.-based international mutual funds: Using refined Jensen's measure
    Global Finance Journal, 1994, 5, (1), 1-15 Downloads View citations (2)

1991

  1. Optimal Asset Abandonment and Replacement: Tax and Inflation Considerations
    The Financial Review, 1991, 26, (2), 157-77

1989

  1. A Study of Call Price Behavior under a Stationary Return Generating Process
    The Financial Review, 1989, 24, (3), 335-54 View citations (1)

1986

  1. An intertemporal capital asset pricing model under heterogeneous beliefs
    Journal of Economics and Business, 1986, 38, (4), 317-330 Downloads
  2. The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization
    Management Science, 1986, 32, (11), 1410-1421 Downloads View citations (3)

1985

  1. Uncertain Inflation and Optimal Portfolio Selection: A Simplified Approach
    The Financial Review, 1985, 20, (4), 343-56 View citations (2)

1984

  1. AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY
    Journal of Financial Research, 1984, 7, (2), 121-130 Downloads View citations (19)
  2. Capital budgeting and uncertain inflation
    Journal of Economics and Business, 1984, 36, (3), 335-344 Downloads View citations (1)
  3. Implementing the IRR Criterion When Cash Flow Parameters Are Unknown
    The Financial Review, 1984, 19, (4), 351-58
  4. Multi-Period Asset Pricing: The Effects of Uncertain Inflation
    The Financial Review, 1984, 19, (2), 208-21

1983

  1. Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1983, 38, (4), 1087-93 Downloads View citations (13)

1982

  1. An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas
    Journal of Financial and Quantitative Analysis, 1982, 17, (2), 265-286 Downloads View citations (30)
  2. Bayesian and mixed estimators of time varying betas
    Journal of Economics and Business, 1982, 34, (4), 291-301 Downloads View citations (5)
  3. Differencing interval and autocorrelation effects on portfolio diversification: Additive versus multiplicative assumptions
    Journal of Economics and Business, 1982, 34, (1), 39-50 Downloads
  4. Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach
    Journal of Financial and Quantitative Analysis, 1982, 17, (3), 425-440 Downloads View citations (2)

1981

  1. An Examination of the Relationship between Pure Residual and Market Risk: A Note
    Journal of Finance, 1981, 36, (5), 1203-09 Downloads View citations (2)
  2. Beta Nonstationarity, Portfolio Residual Risk and Diversification
    Journal of Financial and Quantitative Analysis, 1981, 16, (1), 95-111 Downloads View citations (10)
  3. Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note
    Journal of Finance, 1981, 36, (4), 941-47 Downloads View citations (13)
  4. The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions
    Management Science, 1981, 27, (6), 607-618 Downloads View citations (2)

1980

  1. Time Aggregation, Autocorrelation, and Systematic Risk Estimates–Additive versus Multiplicative Assumptions
    Journal of Financial and Quantitative Analysis, 1980, 15, (1), 151-174 Downloads

1979

  1. RE-EXAMINING THE MARKET MODEL GIVEN EVIDENCE OF HETEROSKEDASTICITY
    Journal of Financial Research, 1979, 2, (2), 111-118 Downloads
 
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