Zhanhui CHEN
陳展輝
PhD in Finance
Texas A & M University, 2011
PhD in Quantitative Economics
Tsinghua University, 2004

Associate Professor
Department of Finance



(852) 2358 7670
chenzhanhui@ust.hk
Room LSK5075
Personal Web

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Google Scholar
XjPKQvQAAAAJ

ORCID
0000-0003-2766-271X

Scopus ID
57206982852




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Asset pricing
Capital markets
Macrofinance
Investments
Market efficiency anomalies



Publications

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All Years 9 2022 0 2021 2 2020 3 2019 2 2018 0 2017 0 2016 2

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2021 2

Risk aversion sensitive real business cycles
Management Science, v. 67, (4), April 2021, p. 2483-2499
Chen, Zhanhui; Cooper, Ilan; Ehling, Paul; Xiouros, Costas Article
Decoding the pricing of uncertainty shocks
American Finance Association Annual Meeting (AFA 2021), Virtual, 3-5 January 2021
Chen, Zhanhui; Gallmeyer, Michael; Kim, Baek-chun Conference paper

2020 3

Inferring Stock Durations around FOMC Surprises: Estimates and Implications
Journal of Financial and Quantitative Analysis, 21 December 2020
Chen, Zhanhui Article
Liquidity and Mispricing: Decomposing Disagreement
2020 International Conference of Taiwan Finance Association, Puli, Taiwan, 25 - 26 September 2020
Chen, Hongyi; Chen, Zhanhui; Hua, Weiru; Kuo, Weiyu Conference paper
Managing Weather Risk with a Neural Network-Based Index Insurance
2020 World Risk and Insurance Economics Congress, Virtual; New York City, USA, 2 - 6 August 2020
Chen, Zhanhui; Lu, Yang; Zhang, Jinggong; Zhu, Wenjun Conference paper

2019 2

In search of preference shock risks: Evidence from longevity risks and momentum profits
Journal of Financial Economics, v. 133, (1), July 2019, p. 225-249
Chen, Zhanhui; Yang, Bowen Article
Liquidity and Mispricing: Decomposing Disagreement
2019 Annual Meeting of the Financial Management Association International, New Orleans, USA, 23-26 October 2019
Chen, Hong-Yi; Chen, Zhanhui; Hua, Roman Wei-Ru; Kuo, Wei-Yu Conference paper

2016 1

Time-to-produce, inventory, and asset prices
Journal of Financial Economics, v. 120, (2), May 2016, p. 330-345
Chen, Zhanhui Article

2012 1

Does idiosyncratic volatility proxy for risk exposure?
The Review of Financial Studies, v. 25, (9), September 2012, p. 2745-2787
Chen, Zhanzhui; Petkova, Ralitsa Article


Expand All Collapse All


Article 1

Risk aversion sensitive real business cycles
Management Science, v. 67, (4), April 2021, p. 2483-2499
Chen, Zhanhui; Cooper, Ilan; Ehling, Paul; Xiouros, Costas

Conference paper 1

Decoding the pricing of uncertainty shocks
American Finance Association Annual Meeting (AFA 2021), Virtual, 3-5 January 2021
Chen, Zhanhui; Gallmeyer, Michael; Kim, Baek-chun


Expand All Collapse All


Article 1

Inferring Stock Durations around FOMC Surprises: Estimates and Implications
Journal of Financial and Quantitative Analysis, 21 December 2020
Chen, Zhanhui

Conference paper 2

Liquidity and Mispricing: Decomposing Disagreement
2020 International Conference of Taiwan Finance Association, Puli, Taiwan, 25 - 26 September 2020
Chen, Hongyi; Chen, Zhanhui; Hua, Weiru; Kuo, Weiyu
Managing Weather Risk with a Neural Network-Based Index Insurance
2020 World Risk and Insurance Economics Congress, Virtual; New York City, USA, 2 - 6 August 2020
Chen, Zhanhui; Lu, Yang; Zhang, Jinggong; Zhu, Wenjun


Expand All Collapse All


Article 1

In search of preference shock risks: Evidence from longevity risks and momentum profits
Journal of Financial Economics, v. 133, (1), July 2019, p. 225-249
Chen, Zhanhui; Yang, Bowen

Conference paper 1

Liquidity and Mispricing: Decomposing Disagreement
2019 Annual Meeting of the Financial Management Association International, New Orleans, USA, 23-26 October 2019
Chen, Hong-Yi; Chen, Zhanhui; Hua, Roman Wei-Ru; Kuo, Wei-Yu


Expand All Collapse All


Article 1

Time-to-produce, inventory, and asset prices
Journal of Financial Economics, v. 120, (2), May 2016, p. 330-345
Chen, Zhanhui


Expand All Collapse All


Article 1

Does idiosyncratic volatility proxy for risk exposure?
The Review of Financial Studies, v. 25, (9), September 2012, p. 2745-2787
Chen, Zhanzhui; Petkova, Ralitsa


Expand All Collapse All


2016 1

Time-to-produce, inventory, and asset prices
Journal of Financial Economics, v. 120, (2), May 2016, p. 330-345
Chen, Zhanhui Article

2012 1

Does idiosyncratic volatility proxy for risk exposure?
The Review of Financial Studies, v. 25, (9), September 2012, p. 2745-2787
Chen, Zhanzhui; Petkova, Ralitsa Article


No Publications


No Publications


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 2 2020-21 Summer 0 2020-21 Spring 0 2020-21 Winter 0 2020-21 Fall 3

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FINA5210 Investment Analysis
FINA7900D Doctoral Seminar: Empirical Asset Pricing


FINA3103 Intermediate Investments
FINA5210 Investment Analysis
GFIN6980 Integrative Project in Global Finance


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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Current RPGs

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Doctor of Philosophy QIU, Yancheng
Finance( 2021 - )









ProjectsFrom January 2020 to December 2022

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All Projects 2 Leading Projects 1 Participating Projects 1

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Developing Hong Kong as a Global Green Finance Centre


發展香港成為全球的綠色金融中心 Participating


RGC - Theme-based Research Scheme


Project Team (HKUST)
ZHANG Chu (Lead)
CHEN Zhanhui
DELINA Laurence Laurencio
FUNG Jimmy Chi Hung
HUANG Allen Hao
HUI Kai Lung
IM Eun Soon
LAFON-VINAIS Veronique J A
LAU Alexis Kai Hon
LI Yingying
LOH Kung Wai Christine
MUKHERJEE Abhiroop
PANAYOTOV George Kamenov
PARK Albert Francis
QI Ye
SHI Xiaoming
STEUER Benjamin
TAM Kar Yan
ZALDOKAS Alminas


2022 -




Equity Investment Dynamics of Duration-Sensitive Long-Term Investors


久期敏感型長期投資者的股權投資研究 Leading


RGC - General Research Fund


Project Team (HKUST)
CHEN Zhanhui (Lead)


2020 -