Welcome! My name is Shuaiyu Chen.

I’m an Assistant Professor of Finance at Mitchell E. Daniels, Jr. School of Business, Purdue University.

My research interests include empirical asset pricing, asset management, short selling and securities lending, financial news, and return predictability.

Research Papers

AN ESTABLISHED THEORY SUPPORTED BY VALID DATA HAS THE STRONG POWER OF PREDICTION

Reject and Resubmit at American Economic Review
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ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
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The fund flows are negatively related to fund performance approximately six to ten years prior, reflecting investor disappointment.
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We build a broad dataset of portfolio ESG scores for mutual funds and use machine-learning to generate flow forecasts by ESG scores.
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Tweets posted via smartphones predict next-day returns and news, suggesting smartphones facilitate rapid access to information.
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Hedge fund option usage affects skewness risk premium in the cross-section of stock options, consistent with a price-pressure channel.
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PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives’ incentive.
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When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
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A media outlet issues more positive news coverage of a firm when they have common institutional investors.
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Experience

PREVIOUS ASSOCIATIONS THAT HELPED TO GATHER EXPERIENCE

 
 
 
 
 

Assistant Professor of Management (Finance Area)

Mitchell E. Daniels, Jr. School of Business, Purdue University

Aug 2021 – Present Indiana

Contact

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