Details about Zhiwu Chen

Access statistics for papers by Zhiwu Chen.

Last updated 2015-02-04. Update your information in the RePEc Author Service.

Short-id: pch1415

Working Papers

2006

1. Price Impact Costs and the Limit of Arbitrage
   Yale School of Management Working Papers, Yale School of Management View citations (19)

2005

2. Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures
   Working Papers in Economics, University of Gothenburg, Department of Economics View citations (1)

2004

3. Stock Valuation and Investment Strategies
   Finance, University Library of Munich, Germany
   Also in Yale School of Management Working Papers, Yale School of Management (2001) View citations (7)

2003

4. Informational Content of Option Volume Prior to Takeovers
   Yale School of Management Working Papers, Yale School of Management View citations (4)
   See also Journal Article Informational Content of Option Volume Prior to Takeovers, The Journal of Business, University of Chicago Press (2005) View citations (158) (2005)

2002

5. Discounts On Illiquid Stocks: Evidence From China
   Yale School of Management Working Papers, Yale School of Management View citations (10)

2001

6. A Valuation Study of Stock-Market Seasonality and Firm Size
   Yale School of Management Working Papers, Yale School of Management View citations (5)
7. Stock Valuation in Dynamic Economics
   Yale School of Management Working Papers, Yale School of Management View citations (6)
   See also Journal Article Stock valuation in dynamic economies, Journal of Financial Markets, Elsevier (2005) View citations (21) (2005)

1999

8. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
   Yale School of Management Working Papers, Yale School of Management View citations (1)
   See also Journal Article Do Call Prices and the Underlying Stock Always Move in the Same Direction?, The Review of Financial Studies, Society for Financial Studies (2000) View citations (77) (2000)

1998

9. Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies
   Yale School of Management Working Papers, Yale School of Management
   See also Journal Article Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies, The Review of Financial Studies, Society for Financial Studies (1996) View citations (91) (1996)
10. Portfolio Performance Measurement: Theory and Applications
    Yale School of Management Working Papers, Yale School of Management
    See also Journal Article Portfolio Performance Measurement: Theory and Applications, The Review of Financial Studies, Society for Financial Studies (1996) View citations (121) (1996)
11. Pricing and Hedging Long-Term Options
    Yale School of Management Working Papers, Yale School of Management View citations (9)
    See also Journal Article Pricing and hedging long-term options, Journal of Econometrics, Elsevier (2000) View citations (87) (2000)

1997

12. Empirical Performance of Alternative Option Pricing Models
    Yale School of Management Working Papers, Yale School of Management View citations (876)
    Also in Yale School of Management Working Papers, Yale School of Management (1997) View citations (879)
    See also Journal Article Empirical Performance of Alternative Option Pricing Models, Journal of Finance, American Finance Association (1997) View citations (875) (1997)

1996

13. An Alternative Valuation Model for Contingent Claims
    Yale School of Management Working Papers, Yale School of Management View citations (2)
    See also Journal Article An alternative valuation model for contingent claims, Journal of Financial Economics, Elsevier (1997) View citations (47) (1997)
14. Equilibrium Valuation of Foreign Exchange Claims
    Yale School of Management Working Papers, Yale School of Management View citations (1)
    Also in Research in Financial Economics, Ohio State University View citations (1)
    Yale School of Management Working Papers, Yale School of Management (1996) View citations (1)
    See also Journal Article Equilibrium Valuation of Foreign Exchange Claims, Journal of Finance, American Finance Association (1997) View citations (46) (1997)
15. The Spirit of Capitalism and Stock-Market Prices
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (214)
    See also Journal Article The Spirit of Capitalism and Stock-Market Prices, American Economic Review, American Economic Association (1996) View citations (217) (1996)

Undated

16. An Alternative Model for Contingent Claims
    Research in Financial Economics, Ohio State University

Journal Articles

2013

1. Capital Freedom in China as Viewed from the Evolution of the Stock Market
   Cato Journal, 2013, 33, (3), 587-601 View citations (1)

2005

2. Informational Content of Option Volume Prior to Takeovers
   The Journal of Business, 2005, 78, (3), 1073-1109 View citations (158)
   See also Working Paper Informational Content of Option Volume Prior to Takeovers, Yale School of Management Working Papers (2003) View citations (4) (2003)
3. Stock valuation in dynamic economies
   Journal of Financial Markets, 2005, 8, (2), 111-151 View citations (21)
   See also Working Paper Stock Valuation in Dynamic Economics, Yale School of Management Working Papers (2001) View citations (6) (2001)

2003

4. Capital markets and legal development: The China case
   China Economic Review, 2003, 14, (4), 451-472 View citations (31)

2001

5. Viable Costs and Equilibrium Prices in Frictional Securities Markets
   Annals of Economics and Finance, 2001, 2, (2), 297-323 View citations (4)

2000

6. Do Call Prices and the Underlying Stock Always Move in the Same Direction?
   The Review of Financial Studies, 2000, 13, (3), 549-84 View citations (77)
   See also Working Paper Do Call Prices and the Underlying Stock Always Move in the Same Direction?, Yale School of Management Working Papers (1999) View citations (1) (1999)
7. Pricing and hedging long-term options
   Journal of Econometrics, 2000, 94, (1-2), 277-318 View citations (87)
   See also Working Paper Pricing and Hedging Long-Term Options, Yale School of Management Working Papers (1998) View citations (9) (1998)

1997

8. An alternative valuation model for contingent claims
   Journal of Financial Economics, 1997, 44, (1), 123-165 View citations (47)
   See also Working Paper An Alternative Valuation Model for Contingent Claims, Yale School of Management Working Papers (1996) View citations (2) (1996)
9. Empirical Performance of Alternative Option Pricing Models
   Journal of Finance, 1997, 52, (5), 2003-49 View citations (875)
   See also Working Paper Empirical Performance of Alternative Option Pricing Models, Yale School of Management Working Papers (1997) View citations (876) (1997)
10. Equilibrium Valuation of Foreign Exchange Claims
    Journal of Finance, 1997, 52, (2), 799-826 View citations (46)
    See also Working Paper Equilibrium Valuation of Foreign Exchange Claims, Yale School of Management Working Papers (1996) View citations (1) (1996)

1996

11. Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies
    The Review of Financial Studies, 1996, 9, (1), 241-75 View citations (91)
    See also Working Paper Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies, Yale School of Management Working Papers (1998) (1998)
12. Portfolio Performance Measurement: Theory and Applications
    The Review of Financial Studies, 1996, 9, (2), 511-55 View citations (121)
    See also Working Paper Portfolio Performance Measurement: Theory and Applications, Yale School of Management Working Papers (1998) (1998)
13. The Spirit of Capitalism and Stock-Market Prices
    American Economic Review, 1996, 86, (1), 133-57 View citations (217)
    See also Working Paper The Spirit of Capitalism and Stock-Market Prices, CEMA Working Papers (1996) View citations (214) (1996)

1995

14. Financial Innovation and Arbitrage Pricing in Frictional Economies
    Journal of Economic Theory, 1995, 65, (1), 117-135 View citations (18)
15. Measurement of Market Integration and Arbitrage
    The Review of Financial Studies, 1995, 8, (2), 287-325 View citations (86)
16. Production-based asset pricing in Japan
    Pacific-Basin Finance Journal, 1995, 3, (2-3), 217-240 View citations (5)

1994

17. A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
    Mathematical Finance, 1994, 4, (2), 121-141
18. Baby Boom, Population Aging, and Capital Markets
    The Journal of Business, 1994, 67, (2), 165-202 View citations (135)

Chapters

2012

1. Financial Strategies for Nation Building
   A chapter in Capitalizing China, 2012, pp 313-333 View citations (1)