陈卓
助理教授
民生财富管理研究中心副主任

中国 北京（100083）
清华大学五道口金融学院
Email:chenzh@pbcsf.tsinghua.edu.cn

https://sites.google.com/site/zhuochenfinance/

简历





教育背景

2009-2014 美国西北大学，凯洛格管理学院，金融学，博士学位
2007-2009 美国杜克大学，经济学，硕士学位
2003-2007 北京大学，工程学和经济学，双学士学位

工作经历

2014.9 至今 清华大学五道口金融学院，助理教授
2016.11 至今 清华大学国家金融研究院民生财富管理研究中心，副主任


研究领域
中国资本市场，实证资产定价，金融市场摩擦，金融计量


教学经历
实证资产定价（博士生）
论文指导（硕士生）
公司金融（本科生）
公司财务理论基础（美国西北大学）


发表论文
1.The Financing of Local Government in China: Stimulus Loan Waves and Shadow Banking Waxes (with Zhiguo He and Chun Liu),Journal of Financial Economics, forthcoming
2.A Market-based Funding Liquidity Measure (with Andrea Lu),Review of Asset Pricing Studies, forthcoming
3.Empirical Investigation of an Equity Pairs Trading Strategy (with Huafeng Chen, Shaojun Chen, and Feng Li),Management Science65 (1), January 2019, pp. 370-389
4.A Performance Comparison of Large-n Factor Estimators (with Gregory Connor and Robert Korajczyk),Review of Asset Pricing Studies8 (1), June 2018, pp. 153-182
5. Seeing the Unobservable from the Invisible: The Role of CO2in Measuring Consumption Risk (with Andrea Lu),Review of Finance22 (3), May 2018, pp. 977-1009
6.Growing Pains: International Instability and Equity Market Returns (with Andrea Lu and Zhuqing Yang),Financial Management46 (1), Spring 2017, pp. 59-87
7.Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets (with Andrea Lu),Journal of Banking and Finance75, February 2017, pp. 98-108


工作论文
1.Pledgeability and Asset Prices: Evidence from Chinese Corporate Bond Markets (with Hui Chen, Zhiguo He, Jinyu Liu, and Rengming Xie), November 2018
2. Characteristics-based Factors (with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu),November2018
3.Decoding Leveraged Trading (with Pengfei Li, Zhengwei Wang, and Bohui Zhang), October 2018
4.Investor Sentiment and the Pricing of Macro Risks for Hedge Funds (with Andrea Lu and Xiaoquan Zhu), December 2018


论文进展
1.Carbon Dioxide Emissions and Asset Pricing: Evidence from International Stock Markets (with Jinyu Liu, Andrea Lu, and Libin Tao), March 2019
2.Investor Sentiment and the Pricing of Characteristics-Based Factors (with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu), February 2019


专业活动(*表示由论文的合作者讲解报告)
2019:
学术会议 – Finance Down Under, Financial Intermediation Research Society*, SFS Cavalcade North America*, Behavioral Finance Working Group Conference*, FMA Asia/Pacific Conference*, WEAI Conference*, Mitsui Finance Symposium*, Erasmus Liquidity Conference*, European Finance Association Annual Meeting, China International Conference in Finance, Mutual Funds and Factor Investing Conference at Lancaster University, The7^thIndonesian Financial Management Association International Conference*, NBER Summer Institute*, Northern Finance Association*, China Financial Research Conference*, Thirteenth Annual Risk Management Conference, The 6th Vietnam International Conference in Finance*
学术讲座 – Jinhe Center for Economic Research at Xi’an Jiaotong University, Institute of Financial Studies at Southwestern University of Finance and Economics, Central University of Finance and Economics
2018:
学术会议 – China International Conference in Finance, The Third Research in Behavioral Finance Conference, 2018 Policy Conference on Reforms and Liberalization of China’s Capital Market*, Guanghua International Symposium on Finance *
学术讲座 – Chinese University of Hong Kong (Shenzhen), Shanghai Advanced Institute of Finance
2017:
学术会议 – Conference on Globalization, Development, and Economic and Financial Stability*, HKUST Finance Symposium*, SFS Cavalcade Asia Pacific*, Summer Institute of Finance, China Financial Research Conference, China International Conference in Finance*, Asian Bureau of Finance and Economic Research 5th Annual Conference *, The 2nd IMF-Atlanta Fed Research Workshop*, NBER Chinese Economy Working Group Meeting*, The Nankai University School of Finance Annual Conference*, FMA Asia-Pacific Meeting*
学术讲座 – University of International Economics and Business School of Finance, Central University of Finance and Economics (School of Finance), Renmin University of China (School of Finance)
2016:
学术会议 – The 11th International Conference on Asia-Pacific Financial Markets*, The 29th Australasian Finance and Banking Conference*, China Financial Research Conference*,The 9th International Accounting and Finance Doctoral Symposium*, The 8th Paris Hedge Fund Research Conference*
学术讲座 – Central University of Finance and Economics (School of Finance), Renmin University of China (Hanqing), Seminar Series at Centre for Asian Business and Economics, University of Melbourne
2015:
学术会议 – Paris December Finance Meeting, Western Finance Association Annual Conference*, Asian Bureau of Finance and Economic Research 3rd Annual Conference
学术讲座 –Central University of Finance and Economics, Renmin University of China School of Business, Cheung Kong Graduate School of Business, Nanjing University Business School
2014:
学术会议 – The 9th International Conference on Asia-Pacific Financial Markets, Northern Finance Association Conference, ESMT Asset Management Conference, China International Conference in Finance, Financial Intermediation Research Society*, The 5th Risk Management Conference in Mont Tremblant, The 9th International Conference on Asia-Pacific Financial Markets, The 3rd International Conference on Futures and Derivatives Markets, The 3rd Luxembourg Asset Management Summit, Multinational Finance Society Conference*
学术讲座 – Peking University (GSM), Arizona State University (Carey), Purdue University (Krannert), PanAgora Asset Management, Citadel LLC, Moody’s Analytics, Georgetown University (McDonough), City University of Hong Kong, Shanghai Advanced Institute of Finance, Tsinghua University (PBCSF)
2013:
学术会议 – The 26th Australasian Finance and Banking Conference and PhD Forum, FDIC/JFSR 13th Bank Research Conference, Financial Management Association Conference, Chicago Quantitative Alliance Academic Competition*, PKU-Tsinghua-Stanford Conference in Quantitative Finance, European Finance Association Conference*, The 24th Annual Conference on Financial Economics and Accounting*, SoFiE Large-Scale Factor Models in Finance Conference*, Midwest Finance Association Conference*
学术讲座 – Northwestern University (Kellogg)
2012:
学术会议 – The 25th Australasian Finance and Banking Conference and PhD Forum*
学术讲座 – Northwestern University (Kellogg)


应邀学术讨论

“Political Uncertainty and Commodity Markets,” by Kewei Hou, Ke Tang, and Bohui Zhang, China International Conference in Finance, 2019
“Trend Factors in China,” by Yang Liu, Guofu Zhou, and Yingzi Zhu, China International Conference in Finance, 2019
“Borrower Ratings, Officer Incentives and Loan Contracting: Evidence from a State-Owned Bank,” by Hongqi Yuan, Yiyuan Zhou, and Hong Zou, China Financial Research Conference, 2019
“Implicit Credit Support, Wealth Management Products, and Bank Profitability,” by Kaihua Deng, The 3rd Summer Workshop in Finance RUC Hanqing, 2019
“Arbitrage Portfolios,” by Soohum Kim, Robert Korajczyk, and Andreas Neuhierl, Mutual Funds and Factor Investing Conference at Lancaster University, 2019
“The Diversification Benefits and Policy Risks of Accessing China’s Stock Market,” by Chenyu Shan, Dragon Yongjun Tang, Sarah Qian Wang, and Chang Zhang, Guanghua International Symposium on Finance, 2018
“The Value and Real Effects of Implicit Government Guarantees,” by Shuang Jin, Wei Wang, and Zilong Zhang, Summer Institute of Finance, 2018
“Strategic Complementarities and Monitoring: A Study of Mutual Fund Styles,” by Yijun Zhou, China International Conference in Finance, 2018
“Does Industry Concentration of the Money Market Funds Affect Their Risk-Taking Behavior?” (Chinese) by Jingjun Liu, China International Conference in Finance, 2018
“Liquidity of New OTC Market, Valuation, and Multiple-Layer Structure: Evidence from DID and RD Analyses,” (Chinese) by Jane Liu, Qi Liu, and Xinming Huang, China Financial Research Conference, 2018
“Better Bond Indices and Liquidity Gaming the Rest,” by Adriana Robertson and Matthew Spiegel, SFS Cavalcade Asia-Pacific, 2017
“Industry Competition, Credit Spreads, and Levered Equity Returns,” by Alexandre Corhay, China International Conference in Finance, 2017
“Prospective Book-to-Market Ratio and Expected Stock Returns,” by Kewei Hou, Yan Xu, and Yuzhao Zhang, China International Conference in Finance, 2017
“Implicit Guarantee and Shadow Banking: the Case of Trust Products,” by Franklin Allen, Xian Gu, Jun “QJ” Qian, and Yiming Qian, Central University of Finance and Economics School of Finance Workshop, 2017
“Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance,” by Patrick Gagliardini and Diego Ronchetti, Paris December Finance Meeting, 2015

“Tail Risk Hedging and Regime Switching,” by Markus Huggenberger, Peter Albrecht, and Alexandr Pekelis, China International Conference in Finance, 2015
“The Causal Effects of Margin Trading and Short Selling on Earnings Management: A Natural Experiment from China,” by Zhaojing Chen, Nathan Dong, and Ming Gu, China International Conference in Finance, 2015
“Fire Sales and Liquidity Provision in the Corporate Bond Market,” by Jay Wang, Hanjiang Zhang, and Xinde Zhang, China International Conference in Finance, 2015
“General Purpose Technologies, International Technology Diffusion, and the Cross Section of Stock Returns,” by Po-Hsuan Hsu and Wei Yang, China International Conference in Finance, 2015
“Cross-sectional Asset Pricing with Individual Stocks: Betas versus Characteristics,” by Tarun Chordia, Amit Goyal, and Jay Shanken, Asian Bureau of Finance and Economic Research 3rd Annual Conference, 2015
“Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium,” by Jieun Lee and Joseph Ogden, The 9th International Conference on Asia-Pacific Financial Markets, 2014
“Institutional Investors and Stock Return Anomalies,” by Roger Edelen, Ozgur Ince, and Gregory Kadlec, The 3^rdLuxembourg Asset Management Summit, 2014
“Jump Risk and Option Liquidity in an Incomplete Market,” by Pei-Lin Hsieh and Ya-Jun Wang, The 3^rdInternational Conference on Futures and Derivatives Markets, 2014
“Funding Liquidity Risk and the Cross-Section of Stock Returns,” by Jean-Se ?bastien Fontaine, Rene ? Garcia, and Sermin Gungor, Bank of Canada Conference on Collateral, Liquidity and Central Bank Operations, 2014
“Measuring Liquidity Mismatch in the Banking Sector,” by Jennie Bai, Arvind Krishnamurthy, and Charles-Henri Weymuller, China International Conference in Finance, 2014
“Systemic Risk and Market Liquidity,” by Kebin Ma, China International Conference in Finance, 2014
“Carry,” by Ralph Koijen, Tobias Moskowitz, Lasse Pedersen, and Evert Vrugt, European Finance Association Conference, 2013
“Deception and Managerial Structure: A Joint Study of Portfolio Pumping and Window Dressing Practices,” by Saurin Petel and Sergei Sarkissian, European Finance Association Conference, 2013
“Long/Short Equity Hedge Funds and Systematic Ambiguity,” by Rajna Gibson and Nikolay Ryabkov, Midwest Finance Association Conference, 2013


荣誉与奖项
Arthur Warga Award for the Best Paper in Fixed Income at the SFS Cavalcade North America2019
2017年度北京市无党派人士建言献策优秀成果特等奖
The Second China Financial Research Conference Best Paper Award 2017
PanAgora Crowell Memorial Prize Finalist 2014
Chicago Quantitative Alliance (CQA) Academic Competition Second Prize 2013
The 26th Australasian Finance and Banking Conference PhD Forum Second Prize
The 26th Australasian Finance and Banking Conference PhD Forum Travel Grant
The 9th International Conference on Asia-Pacific Financial Markets Best Paper Award
AFA Student Travel Grant 2013
The 25th Australasian Finance and Banking Conference PhD Forum Travel Grant
Kellogg School of Management Fellowship 2009-2014
Duke University Partial Tuition Waiver Fellowship 2007-2009
Peking University Dean’s List 2006
Peking University Canon Grants for Elite Students 2006
Lee-Shiu Travel Scholarship 2006


专业服务
期刊匿名审稿人:
The Journal of Finance, Review of Economic Studies, Review of Financial Studies, Management Science, Journal of Empirical Finance, Journal of Banking and Finance, Financial Management, International Review of Finance, Finance Research Letters, China Economic Review
学术会议评审委员会：
2019 Financial Research Network Annual Conference, 2019 China Financial Research Conference, 2017 FMA Asia-Pacific Meeting


科研课题
“基于中国情景的会计审计和公司财务关键科学问题研究：中国资本市场的行为特征研究”，国家自然科学基金重大项目（项目编号：**），2018至2022，参与人
“中国A股市场异常波动报告”，中国财富管理50人论坛课题，2015年7月至2015年10月，获得2017年“中国软科学奖”，参与人
“规范杠杆收购，促进经济结构调整——基于“宝万之争”视角的杠杆收购研究”，中国财富管理50人论坛课题，2016年7月至2016年11月，参与人
“2018年中国公募基金研究报告”，经济科学出版社，作者
“2018年中国私募基金研究报告”，经济科学出版社，作者
“2017年中国公募基金研究报告”，经济科学出版社，参与人
“2017年中国私募基金研究报告”，经济科学出版社，参与人
“2016年中国公募基金和私募基金研究报告”，经济科学出版社，参与人


指导学生（姓名，毕业年份，毕业去向）
Jingze Ren，2019，中国资产管理(香港)有限公司
林博，2018，加拿大滑铁卢大学运筹学与数据分析硕士项目
胡志祥，2018，哥伦比亚大学金融工程硕士项目
刘行，2017，加拿大英属哥伦比亚大学金融学博士项目
黄煌，2017，香港科技大学金融学博士项目
高苑，2017，乔治亚州立大学金融学博士项目
叶天，2017，哥伦比亚大学金融工程硕士项目
郭遂恒，2016，乔治亚州立大学金融学博士项目


业界经历
2012 夏 中信证券，产品策略部，高级经理
2010 夏 花旗集团，投资银行部，分析师


所属专业机构
American Finance Association, European Finance Association, Financial Management Association