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; Financial Constraints; Credit Risk; Liquidity Risk; Risk Management


Working Papers

A Dynamic Model of Circuit Breakers, joint with Anton Petukov and Jiang Wang, November 2016.
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Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle, joint with Rui Cui, Zhiguo He, and Konstantin Milbradt, updated August 2016.
[Full Text] [Internet Appendix]

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets, joint with Scott Joslin and Sophie Ni, updated January 2016.
[Full Text] [Internet Appendix]

Measuring the "Dark Matter" in Asset Pricing Models, joint with Winston Dou and Leonid Kogan, June 2015.
[Full Text] [Internet Appendix]

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads, joint with Yu Xu and Jun Yang, updated November 2016.
[Full Text] [Internet Appendix]

Debt, Taxes, and Liquidity, joint with Patrick Bolton and Neng Wang, updated November 2014.
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Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty, joint with Michael Michaux and Nick Roussanov, updated August 2013
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Can Information Costs Explain the Equity Premium and Stock Market Participation Puzzles? November 2006.
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Publications

Macroeconomic Risk and Debt Overhang, joint with Gustavo Manso, Review of Corporate Finance Studies, forthcoming.
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Dynamic Asset Allocation with Ambiguous Return Predictability, joint with Nengjiu Ju and Jianjun Miao, Review of Economic Dynamics, 2014, 17(4): 799-823.
[Full Text] [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.
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Market Timing, Investment, and Risk Management, joint with Patrick Bolton and Neng Wang, Journal of Financial Economics, 2013, 109(1): 40-62.
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Rare Disasters and Risk Sharing with Heterogeneous Beliefs, joint with Scott Joslin and Ngoc-Khanh Tran, Review of Financial Studies, 2012, 25(7): 2189-2224.
[Full Text] [Internet Appendix]

Generalized Transform Analysis of Affine Processes and Applications in Finance, joint with Scott Joslin, Review of Financial Studies, 2012, 25(7): 2225-2256.
[Full Text] [Internet Appendix]

A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management, joint with Patrick Bolton and Neng Wang, Journal of Finance, 2011, 66(5): 1545-1578.
[Full Text] [Internet Appendix]

Entrepreneurial Finance and Nondiversifiable Risk, joint with Jianjun Miao and Neng Wang, Review of Financial Studies, 2010, 23(12): 4348-4388.
[Full Text] [Internet Appendix]

Affine Disagreement and Asset Pricing, joint with Scott Joslin and Ngoc-Khanh Tran, American Economic Review: Papers and Proceedings, 2010, 100(2): 522-26.
[Full Text]

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure, Journal of Finance, 2010, 65(6): 2171-2212.
[Full Text] [Internet Appendix]


Teaching

Spring 2017: Analytics of Finance, 15.450 (Syllabus, Website)