Hui Chen

Hui Chen

MIT Sloan School of Management
77 Massachusetts Avenue, E62-637
Cambridge, MA 02139
Tel: (617) 324 3896
Fax: (617) 258 6855

huichen@mit.edu

CV (PDF)

Research Interest

Asset Pricing, and its Connections with Corporate Finance; Macroeconomics; Credit Risk; Risk Management


Working Papers

  • "Measuring the `Dark Matter' in Asset Pricing Models"
          with Winston Dou and Leonid Kogan, coming soon

  • "Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads"
          with Yu Xu and Jun Yang, March 2013

  • "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty"
          with Michael Michaux and Nick Roussanov, June 2012

  • "Macroeconomic Risk and Debt Overhang"
          with Gustavo Manso, July 2010

  • "Dynamic Asset Allocation with Ambiguous Return Predictability"
          with Nengjiu Ju and Jianjun Miao, updated March 2013

  • "Can Information Costs Explain the Equity Premium and Stock Market Participation Puzzles?"
          November 2006


    • Publications

  • "Comment on "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe" by Ang and Longstaff"
    Carnegie-Rochester Series on Public Policy, Journal of Monetary Economics

  • "Market Timing, Investment, and Risk Management"
    with Patrick Bolton and Neng Wang, 2012
    Forthcoming, Journal of Financial Economics

  • "Rare Disasters and Risk Sharing with Heterogeneous Beliefs"
    with Scott Joslin and Ngoc-Khanh Tran
    Review of Financial Studies, 2012, 25(7): 2189-2224

    • Internet Appendix

  • "Generalized Transform Analysis of Affine Processes and Applications in Finance"
    with Scott Joslin
    Review of Financial Studies, 2012, 25(7): 2225-2256

    • Internet Appendix

  • "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management"
    with Patrick Bolton and Neng Wang
    Journal of Finance, 2011, 66(5): 1545-1578

    • Internet Appendix

  • "Entrepreneurial Finance and Nondiversifiable Risk"
    with Jianjun Miao and Neng Wang
    Review of Financial Studies, 2010, 23(12): 4348-4388

    • Internet Appendix

  • "Affine Disagreement and Asset Pricing"
    with Scott Joslin and Ngoc-Khanh Tran
    American Economic Review: Papers and Proceedings, 2010, 100(2): 522-26

  • "Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure"
    Journal of Finance, 2010, 65(6): 2171-2212

    • Internet Appendix


    Teaching

    Fall 2012: Options and Futures Markets, 15.437 (Syllabus, Website)