Yong Chen

Yong Chen

Professor, Adam C. Sinn ’00 Department of Finance; David R. Norcom '73 Endowed Professorship in Business; Coordinator, Finance Ph.D. Program
Contact Areas of Expertise

Biography

Yong Chen is a Professor of Finance, the David R. Norcom ’73 Endowed Professor, and Coordinator of the Finance Ph.D. Program at Mays Business School, Texas A&M University. Prior to joining Mays Business School in 2012, he was on the faculty of Virginia Tech. Dr. Chen received B.A. and M.A. in Economics from Nankai University and Ph.D. in Finance from Boston College.

Dr. Chen’s research area is empirical asset pricing and investments with a focus on the interaction between the investment of hedge funds and the behavior of asset prices. 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.

Courses Taught:
FINC 688 Empirical Asset Pricing (Ph.D.)
FINC 665 Derivative Securities (MSF)
FINC 648 Advanced Investments (MSF)
FINC 448 Advanced Investments (BBA)
FINC 423 Options and Financial Futures (BBA)

Education

  • Ph.D., Finance, Boston College 2007
  • M.A., Economics, Nankai University 2001
  • B.A., Economics, Nankai University 1998

Publications

Interest in the Short Interest: The Rise of Private Sector Data
Interest in the Short Interest: The Rise of Private Sector Data (with Minjae Kim, John McInnis, and Wuyang Zhao), Contemporary Accounting Research, forthcoming.
Anomalies as New Hedge Fund Factors
Anomalies as New Hedge Fund Factors (with Sophia Zhengzi Li, Yushan Tang, and Guofu Zhou), Journal of Financial and Quantitative Analysis, forthcoming.
Short Selling Efficiency
Short Selling Efficiency (with Zhi Da and Dayong Huang), Journal of Financial Economics 145, 387–408, August 2022. - Winner of Global Association of Risk Professionals (GARP) Research Excellence Award
Sentiment Trading and Hedge Fund Returns
Sentiment Trading and Hedge Fund Returns (with Bing Han and Jing Pan), Journal of Finance 76, 2001–2033, August 2021.
Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment
Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment (with Bryan Kelly and Wei Wu), Journal of Financial Economics 138, 316–341, November 2020. - Winner of Best Paper Award at the 25th Finance Forum
Arbitrage Trading: The Long and the Short of It
Arbitrage Trading: The Long and the Short of It (with Zhi Da and Dayong Huang), Review of Financial Studies 32, 1608–1646, April 2019.
Micro(structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity
Micro(structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity (with Gregory Eaton and Bradley Paye), Journal of Financial Economics 130, 48–73, October 2018.
Hedge Funds: The Good, the Bad, and the Lucky
Hedge Funds: The Good, the Bad, and the Lucky (with Michael Cliff and Haibei Zhao), Journal of Financial and Quantitative Analysis 52, 1081–1109, June 2017.
The Behavior of Investor Flows in Corporate Bond Mutual Funds
The Behavior of Investor Flows in Corporate Bond Mutual Funds (with Nan Qin), Management Science 63, 1365–1381, May 2017.
Can Hedge Funds Time Market Liquidity?
Can Hedge Funds Time Market Liquidity? (with Charles Cao, Bing Liang, and Andrew Lo), Journal of Financial Economics 109, 493–516, August 2013. - Winner of Q Group Research Grant
Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry
Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry, Journal of Financial and Quantitative Analysis 46, 1073–1106, August 2011.
Measuring the Timing Ability and Performance of Bond Mutual Funds
Measuring the Timing Ability and Performance of Bond Mutual Funds (with Wayne Ferson and Helen Peters), Journal of Financial Economics 98, 72–89, October 2010.
Do Market Timing Hedge Funds Time the Market?
Do Market Timing Hedge Funds Time the Market? (with Bing Liang), Journal of Financial and Quantitative Analysis 42, 827–856, December 2007.
Hedge Funds and Stock Price Formation
Hedge Funds and Stock Price Formation (with Charles Cao, William Goetzmann, and Bing Liang), Financial Analysts Journal 74, 54–69, Third Quarter 2018. - Winner of Graham and Dodd Scroll Award
Timing Ability in the Focus Market of Hedge Funds
Timing Ability in the Focus Market of Hedge Funds, 2007, Journal of Investment Management 5, 66–98, Second Quarter 2007. - Winner of Foundation for Managed Derivatives Research Grant
How Many Good and Bad Fund Managers are There, Really?
How Many Good and Bad Fund Managers are There, Really? (with Wayne Ferson), Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Vol. 4, C.F. Lee and J. Lee (eds.), World Scientific Publishing, pp. 3753–3827, September 2020.

Research Interests

Asset Pricing

Investments

Investment Management

Financial Markets

Investor Behavior