Joseph Chen

University of California, Davis - Graduate School of Management

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 1,677

SSRN RANKINGS

Top 1,677

in Total Papers Downloads

23,778

SSRN CITATIONS
Rank 776

SSRN RANKINGS

Top 776

in Total Papers Citations

720

CROSSREF CITATIONS

703

Scholarly Papers (15)

1.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 3,291 (4,425)
Citation 21

Abstract:

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asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect

2.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,153 (4,765)
Citation 7

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book-to-market effect, value effect, conditional CAPM, momentum effect, reversal effect, time-varying beta

3.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Andrew Ang and Joseph Chen
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,019 (5,131)
Citation 50

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carry trade, cross section of foreign exchange rates, predictability, term structure, uncovered interest rate parity

4.

Intertemporal CAPM and the Cross-Section of Stock Returns

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 56 Posted: 03 Mar 2002
Joseph Chen
University of California, Davis - Graduate School of Management
Downloads 2,249 (8,260)
Citation 111

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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Number of pages: 47 Posted: 03 Jan 2000
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 1,877 (10,902)
Citation 22

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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Number of pages: 49 Posted: 16 May 2000 Last Revised: 17 Oct 2010
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 221 (175,872)
Citation 57

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6.
Downloads 2,053 ( 9,595)
Citation 126

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 1,480 (15,890)
Citation 10

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asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments

Downside Risk

Number of pages: 53 Posted: 20 Feb 2006 Last Revised: 24 Oct 2021
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Downloads 573 (60,415)
Citation 32

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Downside Risk

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

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7.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings
Number of pages: 56 Posted: 19 May 2000
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 1,844 (11,409)
Citation 82

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8.

Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization

American Economic Review, Vol. 94, No. 5, 2004
Number of pages: 51 Posted: 27 Feb 2003 Last Revised: 12 Feb 2010
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,777 (12,142)
Citation 171

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9.
Downloads 1,159 ( 23,297)
Citation 81

Breadth of Ownership and Stock Returns

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 03 Jan 2001
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 996 (28,610)
Citation 81

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Breadth of Ownership and Stock Returns

Number of pages: 49 Posted: 08 Mar 2001 Last Revised: 11 Apr 2021
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 163 (231,475)
Citation 1

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10.

Does Fund Size Erode Performance? Liquidity, Organizational Diseconomies and Active Money Management

Number of pages: 44 Posted: 20 Jun 2003
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,043 (27,166)
Citation 32

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11.

Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance

Number of pages: 58 Posted: 19 Mar 2006 Last Revised: 30 Aug 2012
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, CUHK Business School, The Chinese University of Hong Kong and Syracuse University - Department of Economics
Downloads 980 (29,711)
Citation 31

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12.

Strategic Mutual Fund Tournaments

Number of pages: 61 Posted: 17 Mar 2012 Last Revised: 13 May 2018
Joseph Chen, Eric N. Hughson and Neal Stoughton
University of California, Davis - Graduate School of Management, Claremont McKenna College - Robert Day School of Economics and Finance and Vienna University of Economics and Business
Downloads 371 (102,898)
Citation 4

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tournaments, mutual funds, risk

13.

CAPM Over the Long Run: 1926-2001

Number of pages: 54 Posted: 24 Jan 2006 Last Revised: 12 Jul 2010
Joseph Chen and Andrew Ang
University of California, Davis - Graduate School of Management and BlackRock, Inc
Downloads 286 (136,483)
Citation 6

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14.

Downside Risk and the Momentum Effect

Number of pages: 48 Posted: 14 Dec 2001 Last Revised: 15 Aug 2021
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 245 (159,614)
Citation 7

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15.

Do Hedge Funds Profit from Mutual-Fund Distress?

Number of pages: 49 Posted: 08 Feb 2008 Last Revised: 03 Sep 2021
University of California, Davis - Graduate School of Management, Harvard University - Business School (HBS), Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics
Downloads 210 (184,856)

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