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专家简介 |
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| 工作单位：美国耶鲁大学 |
| 通讯地址：135 Prospect Street New Haven, CT 06520 |
| 电子邮件：zhiwu.chen@yale.edu |
| 个人简历： |
| 美国耶鲁大学金融经济学终身教授，普纳思经济管理研究院联合学术主席，国际著名金融学家、耶鲁大学金融学博士，美国价值引擎公司创办人，华尔街Zebra对冲基金公司的首席投资经理，金融学和金融资产定价领域最具有创造力和最活跃的学者之一，获得过美国默顿·米勒（诺贝尔经济学奖得主）研究奖、芝加哥期权交易所研究奖等多项重大奖励 |
| 工作简历： |
"耶鲁大学金融学教授、俄亥俄州立大学副教授/助理教授、威斯康辛大学助理教授
Professor of Finance, Yale University, July 1999 to present.
Associate Professor of Finance, The Ohio State University, July 1997 - July 1999.
Assistant Professor of Finance, The Ohio State University, July 1995 - July 1997.
Assistant Professor of Finance, University of Wisconsin-Madison, June 1990 -June 1995.
Courses taught: The Theory of Finance (Ph.D. level, 1992, 1993, 1994, 1995, 1996, 1997).
Investments: Theory and Practice (MBA and undergraduate levels, 1990, 1991, 1992).
Options and Futures (MBA and undergraduate levels, 1993, 1994, 1995, 1996, 1997). |
| 学历和学位： |
中南工业大学，计算机科学，学士(1983年)
国防科技大学，系统工程，硕士(1986年)
美国耶鲁大学，金融经济学，硕士(1988年)、博士(1990年) |
| 主要研究领域： |
| 市场监管、风险管理、资本市场、公司治理、现代金融理论、资产定价和投资管理、公司财务、期权定价模型和套期保值、资产证券化的运作 |
| 主要研究成果： |
RESEARCH PUBLICATIONS
1. "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Vol. 2, No. 2, November 2001, 297-323.
2. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?" with Gurdip Bakshi and Charles Cao, Review of Financial Studies, Vol. 13, pp 549-584, 2000.
3. "Pricing and Hedging Long-Term Options," with Gurdip Bakshi and Charles Cao, Journal of Econometrics, Vol. 94, 277-318, 2000.
4. "Models of Currency Option Pricing," with Gurdip Bkshi, in Advanced Fixed-Income Valuation Tools, edited by N. Jegadeesh and B. Tuckman, 2000, pp. 320-344.
5. "Empirical Performance of Alternative Option Pricing Models," with Gurdip Bakshi and Charles Cao, Journal of Finance, Vol. LII, No. 5, 2003-2049, 1997.
6. "Equilibrium Valuation of Foreign Exchange Claims," with Gurdip Bakshi, Journal of Finance, Vol. LII, No.2, 799-826, 1997.
7. "An Alternative Valuation Model for Contingent Claims," with Gurdip Bakshi, Journal of Financial Economics, Vol. 44, 123-165, 1997.
8. "The Spirit of Capitalism and Stock Market Prices", with Gurdip Bakshi, American Economic Review, Vol. 86, No. 1, 133-157, 1996.
9. "Portfolio Performance Measurement: Theory and Applications," with Peter Knez, Review of Financial Studies, Vol. 9, No. 2, 511-555, 1996.
10. "Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," with Gurdip Bakshi, Review of Financial Studies, Vol. 9, No. 1, 237-271, 1996.
11. "Financial Innovation and Arbitrage Pricing in Frictional Economies," Journal of Economic Theory, Vol. 65, No. 1, 117-135, 1995.
12. "Measurement of Market Integration and Arbitrage," with Peter Knez, Review of Financial Studies, Vol. 8, No. 2, 287-325, 1995.
13. "Production-Based Asset Pricing in Japan," with Gurdip Bakshi and Yuki Naka, Pacific-Basin Finance Journal, 3, 217-240, 1995.
14. "A Pricing Operator-Based Testing Foundation for a Class of Factor Pricing Models," with Peter Knez, Mathematical Finance, Vol. 4, 121-141, 1994.
15. "Baby Boom, Population Aging and Capital Markets," with Gurdip S. Bakshi, Journal of Business, Vol. 67, No. 2, 165-202, 1994.
16. "The Impossibility Theorem and the Concept of Democracy," Journal of Political Studies, 1985.
17. "On Western Rational Politics," Journal of Political Studies, 1986."
Publications in Chinese
1. "An Empirical Study of FaRenGu Stock Auctions," with Peng Xiong and Franklin Yang, 2001, forthcoming in New Fortune.
2. "Class Action Lawsuits and Shareholder Rights Protection: the securities fraud case of In re Cendant," forthcoming in New Fortune, November issue.
3. "Anti-fraud and Anti-manipulation Sections in the U.S. Securities Exchange Act," forthcoming in New Fortune, November issue. "
PAPERS under REVIEW
1. "Stock Valuation in Dynamic Economies," with Gurdip Bakshi, 2000,under second-round review for the Journal of Finance.
2. "Asset Pricing without Consumption or Market Portfolio Data," with Gurdip Bakshi, 2001, under second-round review by the Journal of Financial and Quantitative Aanlysis.
3. "Informed Trading in the Options Market," with Charles Cao and John Griffin, 2000, under review by the Review of Financial Studies "
WORKING PAPERS
1. "Discounts for Illiquid Stocks: Evidence from China," with Peng Xiong, 2001.
2. "The Value of a Stock's Marketability," with Peng Xiong (in Chinese), 2001.
3. "A Valuation Study of Stock-Market Seasonality and Firm Size," with Jan Jindra, 2001.
4. "Stock Valuation and Investment Strategies," with Ming Dong, 2001.
5. "Informed Trading in the Options Market," with Charles Cao and John Griffin, 2000.
6. "Stock Valuation in Dynamic Economies," with Gurdip Bakshi, 2000.
7. "Market Frictions and the Preferred Habitat Theory of the Term Structure of Interest Rates," with Gurdip Bakshi, 1994.
8. "Stochastic Dominance and Mutual Fund Separation in Multiperiod Securities Markets," 1990.
9. "Arbitrage and Optimal Security Design," 1992.
10. "Arbitrage in the Treasury Bond Market", with Mark Fedenia, 1993. "
PROFESSIONAL PRESENTATIONS
1. "Stock Valuation and Investment Strategies," with Ming Dong, presented at the 2000 American Finance Association Meeting in Boston, the 4th Prudential Securities Quantitative Conference in Boston, University of British Columbia, University of Connecticut, and Rutgers University.
2. "Stock Valuation in Dynamic Economies," with Gurdip Bakshi, presented at the 1998 Western Finance Association Meeting, Case Western Reserve University, Columbia University, the Federal Reserve Bank in New York, New York University, the Ohio State University, Stanford University, UC-Berkeley, UCLA, University of Houston, University of Massachusetts at Amherst, University of Michigan, University of North Carolina, Virginia Tech, Washington University in St. Louis, and Yale University.
3. "Pricing and Hedging Long-Term Options," with Gurdip Bakshi and Charles Cao, presented at the 1998 American Finance Association Meetings, the Ohio State University, Washington University in St. Louis.
4. "Can Markovian Models Explain Option Price Dynamics? - Lessons from High-Frequency Option Data," with Gurdip Bakshi and Charles Cao, presented at the 1997 Accounting and Financial Economics Conference at SUNY-Buffalo, the Second High-Frequency Finance Conference, the Federal Reserve Board, Vanderbilt University.
5. "An Alternative Valuation Model for Contingent Claims" (with Gurdip Bakshi), presented at Yale University, University of California-Berkeley, Dartmouth College, the 1996 Cornell-Queen's Derivatives Conference, and the 1996 Western Finance Association Meeting.
6. "Asset Pricing without Consumption or Market Portfolio Data" (with Gurdip Bakshi), presented at the 1997 Utah Winter Finance Conference, the 1998 American Finance Association Meetings, University of California - Los Angeles, University of Minnesota, University of Maryland, University of Wisconsin - Madison, and Pennsylvania State University.
7. "Empirical Performance of Alternative Option Pricing Models" (with Gurdip Bakshi and Charles Cao), presented at the 1997 Western Finance Association Meeting, the Ohio State University, Chinese University of Hong Kong, and the Hong Kong University of Science and Technology.
8. "Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," (with Gurdip Bakshi), presented at the 1995 European Finance Association Meetings, Italy.
9. "Market Frictions and the Preferred Habitat Theory of the Term Structure of Interest Rates," (with Gurdip Bakshi), presented at the Ohio State University, University of Wisconsin-Madison, and the 7th World Congress of the Econometric Society, Japan.
10. "Portfolio Performance Measurement: Theory and Applications," (with Peter Knez), presented at University of Chicago, University of Pennsylvania, University of Minnesota, and the 1994 American Finance Association Meetings.
11. "Measurement of Market Integration and Arbitrage" (with Peter Knez), presented at the 1994 Western Finance Meeting.
12. "Production-Based Asset Pricing in Japan" (with Gurdip Bakshi and Yuki Naka), presented at the Sixth PACAP Finance Conference in Jarkata, Indonesia, 1994.
13. "Financial Innovation and Arbitrage Pricing in Frictional Economies", presented at University of New Orleans, University of Hong Kong, and Hong Kong University of Science and Technology.
14. "Arbitrage in the Treasury Bond Market" (with Mark Fedenia), presented at the 1994 Allied Social Sciences Meetings.
15. "Arbitrage and Optimal Security Design," presented at the 1993 Rutgers Conference on Optimal Security Design and Innovations in Financing, Rutgers University.
16. "A Pricing Operator-Based Testing Foundation for a Class of Factor Pricing Models," (with Peter Knez), presented at the 1992 Western Finance Association Meeting.
17. "Market Innovation and Arbitrage Pricing in Frictional Economies," presented at Washington University in St. Louis.
18. "Consumer Behavior and Asset Prices when Taste Formation Depends on Wealth," presented at the University of California-Irvine, Columbia University, Emory University, and University of Wisconsin-Madison."
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