Yale University
Ph.D. Financial Economics, December 1990
M.Phil. and M.A. Financial Economics, May 1990.
Changsha Institute of Technology, China
M.S. Systems Analysis, 1986.
Central-South University of Technology, China
B.S. Computer Science, 1983.
PROFESSIONAL EXPERIENCE
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).
HONORS
1. Merton Miller Prize 1994, for the paper entitled
"Baby Boom, Population Aging and Capital Markets",
published in the Journal of Business, Vol. 67, No.
2.
2. Chicago Board Options Exchange Competitive Research
Award, for the paper entitled "Production-Based
Asset Pricing in Japan" (with Gurdip Bakshi and
Yuki Naka), presented at the Sixth Annual PACAP Finance
Conference in Jarkata, Indonesia, 1994.
3. PACAP Research Fellow, the Pacific-Basin Capital
Markets Research Center, the University of Rhode Island,
1994 - 1995.
4. Yale Fellowship, 1986-1990.
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.
OTHER PROFESSIONAL ACTIVITIES
Co-editor, Annals of Economics and Finance, since
1999.
Associate Editor, Journal of Empirical Finance, since
2000.
Associate Editor, Pacific-Basin Finance Journal, since
1998.
Reviewer for:
Journal of Economic Theory
Review of Financial Studies
Journal of Finance
American Economic Review
Journal of Financial Economics
Journal of Business
Management Sciences
Mathematical Finance
Journal of Money, Credit and Banking
Journal of the American Real Estate and Urban Economics
Association
Journal of Financial and Quantitative Analysis
Journal of Economics and Business
Journal of the American Statistical Association
ZHIWU
CHEN 
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