Yong Chen

Associate Professor of Finance
David R. Norcom ’73 Endowed Professor

Biography

Yong Chen is an associate professor of finance and the David R. Norcom ’73 Endowed Professor at Mays Business School of Texas A&M University. Prior to joining Mays Business School in 2012, he was an assistant professor of finance at Virginia Tech. Dr. Chen received his B.A. (1998) and M.A. (2001) in Economics from Nankai University and his Ph.D. (2007) in Finance from Boston College.

Dr. Chen’s research area is empirical asset pricing and investments with a focus on hedge funds and mutual funds. His research has been published in leading academic journals including the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, and Management Science and practitioner journals including Financial Analysts Journal and the Journal of Investment Management, as well as presented at numerous university workshops, academic and practitioner conferences, financial policymakers, and hedge funds. His research has received several awards and grants, such as the Graham and Dodd Scroll Award from the CFA Institute and a research grant from the Q group.

Dr. Chen has taught advanced investments, derivatives, portfolio management, and empirical asset pricing at the undergraduate, MBA, MSF, and doctoral levels.

His research papers can be viewed and downloaded from SSRN Author Page and Google Scholar.

Refereed Academic Publications

  1. Sentiment Trading and Hedge Fund Returns, with Bing Han and Jing Pan, 2020, Journal of Finance, conditionally accepted.
  2. Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment, with Bryan Kelly and Wei Wu, 2019, Journal of Financial Economics, forthcoming.
  3. Arbitrage Trading: The Long and the Short of It, with Zhi Da and Dayong Huang, 2019, Review of Financial Studies 32, 1608–1646.
  4. Micro(structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity, with Gregory Eaton and Bradley Paye, 2018, Journal of Financial Economics 130, 48–73.
  5. Hedge Funds: The Good, the Bad, and the Lucky, with Michael Cliff and Haibei Zhao, 2017, Journal of Financial and Quantitative Analysis 52, 1081–1109.
  6. The Behavior of Investor Flows in Corporate Bond Mutual Funds, with Nan Qin, 2017, Management Science 63, 1365–1381.
  7. Can Hedge Funds Time Market Liquidity?, with Charles Cao, Bing Liang, and Andrew Lo, 2013, Journal of Financial Economics 109, 493–516.
  8. Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry, 2011, Journal of Financial and Quantitative Analysis 46, 1073–1106.
  9. Measuring the Timing Ability and Performance of Bond Mutual Funds, with Wayne Ferson and Helen Peters, 2010, Journal of Financial Economics 98, 72–89.
  10. Do Market Timing Hedge Funds Time the Market?, with Bing Liang, 2007, Journal of Financial and Quantitative Analysis 42, 827–856.

Refereed Practitioner Publications

11. Hedge Funds and Stock Price Formation, with Charles Cao, William Goetzmann, and Bing Liang, 2018, Financial Analysts Journal 74, 54–69.

– Winner of Graham and Dodd Scroll Award

12. Timing Ability in the Focus Market of Hedge Funds, 2007, Journal of Investment Management 5, 66–98.

Research Interests

Asset Pricing; Investments; Asset Management; Hedge Funds and Mutual Funds; Investor Behavior

Research

Title Year Type

Micro (structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity

Journal of Financial Economics

2018 Article

Arbitrage Trading: The Long and the Short of It

Review of Financial Studies

2019 Article