Details about Son-Nan Chen

Access statistics for papers by Son-Nan Chen.

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

Short-id: pch1380

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 View citations (6)

2013

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

2008

3. Extend the debt as it is not deeply out-of-the-money
   Economics Bulletin, 2008, 7, (16), 1-6 View citations (3)

1998

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

1997

5. 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

1996

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

1994

7. 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 View citations (3)

1991

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

1989

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

1986

10. An intertemporal capital asset pricing model under heterogeneous beliefs
    Journal of Economics and Business, 1986, 38, (4), 317-330
11. 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 View citations (3)

1985

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

1984

13. AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY
    Journal of Financial Research, 1984, 7, (2), 121-130 View citations (18)
14. Capital budgeting and uncertain inflation
    Journal of Economics and Business, 1984, 36, (3), 335-344 View citations (2)
15. Implementing the IRR Criterion When Cash Flow Parameters Are Unknown
    The Financial Review, 1984, 19, (4), 351-58
16. Multi-Period Asset Pricing: The Effects of Uncertain Inflation
    The Financial Review, 1984, 19, (2), 208-21

1983

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

1982

18. 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 View citations (36)
19. Bayesian and mixed estimators of time varying betas
    Journal of Economics and Business, 1982, 34, (4), 291-301 View citations (6)
20. Differencing interval and autocorrelation effects on portfolio diversification: Additive versus multiplicative assumptions
    Journal of Economics and Business, 1982, 34, (1), 39-50
21. Investment Decisions under Uncertainty: Application of Estimation Risk in the Hillier Approach
    Journal of Financial and Quantitative Analysis, 1982, 17, (3), 425-440 View citations (2)

1981

22. An Examination of the Relationship between Pure Residual and Market Risk: A Note
    Journal of Finance, 1981, 36, (5), 1203-09 View citations (2)
23. Beta Nonstationarity, Portfolio Residual Risk and Diversification
    Journal of Financial and Quantitative Analysis, 1981, 16, (1), 95-111 View citations (12)
24. Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note
    Journal of Finance, 1981, 36, (4), 941-47 View citations (15)
25. 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 View citations (2)

1980

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

1979

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