Hui Chen

Massachusetts Institute of Technology

50 Memorial Drive

Cambridge, MA 02142

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 2,517

SSRN RANKINGS

Top 2,517

in Total Papers Downloads

18,222

SSRN CITATIONS
Rank 917

SSRN RANKINGS

Top 917

in Total Papers Citations

574

CROSSREF CITATIONS

670

Scholarly Papers (22)

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 30 Sep 2009
Hui Chen
Massachusetts Institute of Technology
Downloads 2,710 (6,194)
Citation 32

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capital structure, credit spread, default risk, business cycle, default losses

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

NBER Working Paper No. w16151
Number of pages: 59 Posted: 07 Jul 2010 Last Revised: 20 Aug 2021
Hui Chen
Massachusetts Institute of Technology
Downloads 94 (356,312)
Citation 29

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2.
Downloads 1,884 ( 11,349)
Citation 57

Market Timing, Investment, and Risk Management

AFA 2012 Chicago Meetings Paper
Number of pages: 59 Posted: 16 Mar 2010 Last Revised: 29 Mar 2012
Patrick Bolton, Hui Chen and Neng Wang
Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics
Downloads 1,826 (11,704)
Citation 55

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risk management, liquidity, financial crisis, market timing, investment, q theory

Market Timing, Investment, and Risk Management

NBER Working Paper No. w16808
Number of pages: 55 Posted: 28 Feb 2011 Last Revised: 06 Jun 2021
Patrick Bolton, Hui Chen and Neng Wang
Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics
Downloads 58 (469,073)
Citation 15

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Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Journal of Financial Economics, Forthcoming
Number of pages: 67 Posted: 21 Mar 2012 Last Revised: 27 Feb 2020
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, University of Delaware and Bank of Canada
Downloads 1,557 (15,080)
Citation 5

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credit risk, term structure, business cycle, maturity dynamics, liquidity

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

NBER Working Paper No. w18367
Number of pages: 62 Posted: 08 Sep 2012 Last Revised: 09 Sep 2021
Hui Chen, Yu Xu and Jun Yang
Massachusetts Institute of Technology, University of Delaware and Bank of Canada
Downloads 26 (636,007)
Citation 7

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A Unified Theory of Tobin's Q, Corporate Investment, Financing, and Risk Management

Journal of Finance, Forthcoming , AFA 2010 Atlanta Meetings Paper
Number of pages: 50 Posted: 19 Mar 2009 Last Revised: 12 Jul 2011
Patrick Bolton, Hui Chen and Neng Wang
Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics
Downloads 1,332 (19,078)
Citation 59

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investment, q theory, cash management, liquidity, hedging, payout, financing

A Unified Theory of Tobin's Q, Corporate Investment, Financing, and Risk Management

NBER Working Paper No. w14845
Number of pages: 57 Posted: 07 Apr 2009 Last Revised: 26 Jul 2010
Patrick Bolton, Hui Chen and Neng Wang
Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics
Downloads 197 (199,924)

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Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 24 Mar 2019
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 1,376 (18,144)
Citation 3

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Intermediary constraint, tail risk, SPX option, return predictability, supply shocks, leverage

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

NBER Working Paper No. w25573
Number of pages: 49 Posted: 26 Feb 2019 Last Revised: 17 Nov 2021
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 10 (765,202)
Citation 17

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Measuring 'Dark Matter' in Asset Pricing Models

Journal of Finance, Forthcoming, NBER Working Paper Series, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, The Wharton School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 25 Jan 2022
Hui Chen, Winston Dou and Leonid Kogan
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,167 (23,699)
Citation 17

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 79 Posted: 22 Jun 2012 Last Revised: 11 Aug 2020
Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School
Downloads 977 (30,128)
Citation 21

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mortgage refinancing, home equity, housing collateral, liquidity constraints, household consumption and saving decisions, leverage

Houses as Atms? Mortgage Refinancing and Macroeconomic Uncertainty

NBER Working Paper No. w19421
Number of pages: 76 Posted: 20 Sep 2013 Last Revised: 24 Jan 2022
Massachusetts Institute of Technology, University of Southern California - Marshall School of Business and University of Pennsylvania - The Wharton School
Downloads 21 (673,752)
Citation 5

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8.
Downloads 889 ( 34,901)

Debt, Taxes, and Liquidity

Columbia Business School Research Paper No. 14-17
Number of pages: 43 Posted: 13 Mar 2014 Last Revised: 22 Nov 2014
Patrick Bolton, Hui Chen and Neng Wang
Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics
Downloads 865 (35,715)

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Capital structure, liquidity, cash, financing frictions, marginal tax benefit of debt, tradeoff theory

Debt, Taxes, and Liquidity

NBER Working Paper No. w20009
Number of pages: 61 Posted: 31 Mar 2014 Last Revised: 04 Sep 2021
Patrick Bolton, Hui Chen and Neng Wang
Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics
Downloads 24 (650,833)

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Rare Disasters and Risk Sharing with Heterogeneous Beliefs

AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 18 Mar 2010 Last Revised: 02 Sep 2013
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 801 (39,791)
Citation 17

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Rare Disasters and Risk Sharing with Heterogeneous Beliefs

NBER Working Paper No. w16035
Number of pages: 52 Posted: 04 Jun 2010 Last Revised: 25 Oct 2021
Massachusetts Institute of Technology, University of Southern California - Department of Finance and Business Economics and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 44 (530,565)

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10.

Dynamic Asset Allocation with Ambiguous Return Predictability

AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 02 Mar 2009 Last Revised: 14 Apr 2011
Hui Chen, Nengjiu Ju and Jianjun Miao
Massachusetts Institute of Technology, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Boston University - Department of Economics
Downloads 779 (41,884)
Citation 25

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generalized recursive ambiguity utility, ambiguity aversion, model uncertainty, learning, portfolio choice, robustness, return predictability

11.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Hui Chen, Hao Wang and Hao Zhou
Massachusetts Institute of Technology, Tsinghua University and SUSTech Business School
Downloads 773 (42,373)
Citation 8

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Stock Return Volatility, Leverage Ratio, Surprise Shocks, Idiosyncratic Volatility, Uncertainty

12.
Downloads 753 ( 43,807)
Citation 38

Entrepreneurial Finance and Nondiversifiable Risk

Review of Financial Studies, Forthcoming
Number of pages: 64 Posted: 27 Mar 2009 Last Revised: 07 Jul 2010
Hui Chen, Jianjun Miao and Neng Wang
Massachusetts Institute of Technology, Boston University - Department of Economics and Columbia Business School - Finance and Economics
Downloads 700 (47,688)
Citation 9

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default, diversification benefits, entrepreneurial risk aversion, incomplete markets, idiosyncratic risk premium, hedging, capital structure, cash-out option, precautionary saving

Entrepreneurial Finance and Non-Diversifiable Risk

NBER Working Paper No. w14848
Number of pages: 45 Posted: 07 Apr 2009 Last Revised: 27 Jan 2022
Hui Chen, Jianjun Miao and Neng Wang
Massachusetts Institute of Technology, Boston University - Department of Economics and Columbia Business School - Finance and Economics
Downloads 53 (489,320)
Citation 1

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Generalized Transform Analysis of Affine Processes and Applications in Finance

Number of pages: 43 Posted: 17 Feb 2009 Last Revised: 22 Sep 2011
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 616 (56,415)
Citation 13

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option pricing, recovery risk, stochastic discount factor, characteristic function, Fourier transform

Generalized Transform Analysis of Affine Processes and Applications in Finance

NBER Working Paper No. w16906
Number of pages: 66 Posted: 28 Mar 2011 Last Revised: 12 Sep 2021
Hui Chen and Scott Joslin
Massachusetts Institute of Technology and University of Southern California - Department of Finance and Business Economics
Downloads 24 (650,833)

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14.

Feedback and Contagion through Distressed Competition

The Rodney L. White Center Working Papers Series at the Wharton School, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 05 Feb 2020 Last Revised: 10 Sep 2020
Hui Chen, Winston Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 576 (62,130)
Citation 2

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Stock and Bond Returns, Supergames, Predatory Price Wars, Collective Entry Prevention, Tacit Collusion, Financial Distress Anomaly

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-82, PBCSF-NIFR Research Paper
Number of pages: 80 Posted: 04 Dec 2018 Last Revised: 02 Nov 2021
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 516 (70,581)
Citation 7

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Pledgeability, haircut, repo, interbank and exchange markets, enterprise bonds, shadow cost of capital

Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

NBER Working Paper No. w26520
Number of pages: 81 Posted: 03 Dec 2019 Last Revised: 19 Dec 2021
Massachusetts Institute of Technology, Tsinghua University - PBC School of Finance, University of Chicago - Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and CITIC Securities
Downloads 10 (765,202)
Citation 1

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16.

Deep Structural Estimation: With an Application to Option Pricing

Number of pages: 57 Posted: 12 Mar 2021
Massachusetts Institute of Technology, Swiss Finance Institute, UNIL and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 386 (101,142)

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Deep Learning, Structural Estimation, Option Pricing, Parameter Stability

17.

The Debt-Equity Spread

Number of pages: 69 Posted: 25 Oct 2021 Last Revised: 15 Dec 2021
Hui Chen, Zhiyao Chen and Jun Li
Massachusetts Institute of Technology, The Chinese University of Hong Kong (CUHK) - Department of Finance and University of Texas at Dallas
Downloads 279 (143,063)

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credit risk, market integration, stock and bond return predictions, mispricing

18.

Macroeconomic Risk and Debt Overhang

Number of pages: 52 Posted: 12 Nov 2014
Hui Chen and Gustavo Manso
Massachusetts Institute of Technology and University of California, Berkeley - Haas School of Business
Downloads 208 (190,352)
Citation 16

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Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle

NBER Working Paper No. w20638
Number of pages: 61 Posted: 03 Nov 2014 Last Revised: 22 Nov 2021
Massachusetts Institute of Technology, University of Chicago - Finance, University of Chicago - Finance and Northwestern University - Kellogg School of Management - Department of Finance
Downloads 84 (378,968)
Citation 25

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Online Appendix for 'Feedback and Contagion through Distressed Competition'

Number of pages: 29 Posted: 27 Jul 2020 Last Revised: 08 Sep 2020
Hui Chen, Winston Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 46 (511,089)
Citation 3

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Stock and Bond Returns, Predatory Price Wars, Collective Entry Prevention, Tacit Collusion, Financial Distress Anomaly

21.

Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'

Number of pages: 45 Posted: 21 Oct 2019 Last Revised: 25 Jan 2022
Hui Chen, Winston Dou and Leonid Kogan
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 46 (511,089)
Citation 5

Abstract:

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

22.

Measuring “Dark Matter” in Asset Pricing Models

NBER Working Paper No. w26418
Number of pages: 61 Posted: 03 Dec 2019 Last Revised: 19 Dec 2021
Massachusetts Institute of Technology, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 41 (534,412)

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