Joseph M. Chen

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This paper studies equilibrium asset pricing with liquidity risk — the risk arising from unpredictable changes in liquidity over time. It is shown that a security’s required return depends on its expected illiquidity and on the covariances of its own return and illiquidity with market return and market illiquidity. This gives rise to a liquidityadjusted(More)
Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional(More)
This paper explains the size and value “anomalies” in stock returns using an economically motivated two-beta model. We break the CAPMbeta of a stock with the market portfolio into two components, one reflecting news about the market’s future cash flows and one reflecting news about the market’s discount rates. Intertemporal asset pricing theory suggests(More)
We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most(More)
We develop a model of stock prices in which there are both differences of opinion among investors as well as short-sales constraints. The key insight that emerges is that breadth of ownership is a valuation indicator. When breadth is low i.e., when few investors have long positions in the stock this signals that the short-sales constraint is binding(More)
The CAPM can account for the spread in the average returns of portfolios sorted by book-tomarket ratios over the long-run from 1926-2001. In contrast, other studies document strong evidence of a book-to-market effect using post-1963 data, but they do so by relying on asymptotic standard errors. We show that making inferences that rely on asymptotic(More)
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the(More)
The treatment of zygomatic fractures varies among surgeons, and the cosmetic and functional results are frequently less than optimal. A treatment guideline based on a simple classification of zygomatic fractures is presented. The emphasis is placed on the indications for closed and open reduction, consistent methods of three-dimensional alignment and(More)
In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up. We also provide such tests for asymmetric betas and covariances. In addition, we evaluate the economic significance of asymmetric correlations by answering the question(More)
The extended anterior subcranial approach differs significantly from more traditional surgical approaches to the skull base in that it allows a broad inferior access to the anterior skull base planes with tumor exposure from below rather than via the transfrontal route. The authors initially used the subcranial approach in 1978 for the treatment of(More)