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


Research Interest

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

Working Papers

  • "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle"
          with Rui Cui, Zhiguo He, and Konstantin Milbradt, updated August 2016
  • Internet Appendix

  • "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets"
          with Scott Joslin and Sophie Ni, updated January 2016
  • Internet Appendix

  • "Measuring the `Dark Matter' in Asset Pricing Models"
          with Winston Dou and Leonid Kogan, updated June 2015
  • Internet Appendix

  • "Debt, Taxes, and Liquidity"
          with Patrick Bolton and Neng Wang, updated November 2014
  • "Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads"
          with Yu Xu and Jun Yang, updated August 2013
  • Internet Appendix

  • "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty"
          with Michael Michaux and Nick Roussanov, updated August 2013
  • "Macroeconomic Risk and Debt Overhang"
          with Gustavo Manso, July 2010
  • "Can Information Costs Explain the Equity Premium and Stock Market Participation Puzzles?"
          November 2006

  • Publications

  • "Dynamic Asset Allocation with Ambiguous Return Predictability"
    with Nengjiu Ju and Jianjun Miao
    Review of Economic Dynamics, 2014, 17(4): 799-823
  • Data and Code

  • "Comment on "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe" by Ang and Longstaff"
    Journal of Monetary Economics, 2013, 60(5): 511-516
  • "Market Timing, Investment, and Risk Management"
    with Patrick Bolton and Neng Wang
    Journal of Financial Economics, 2013, 109(1): 40-62
  • "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   Matlab Code

  • "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


    Fall 2013: Options and Futures Markets, 15.437 (Syllabus, Website)