清华大学五道口金融学院.PDF

陈 卓 清华大学五道口金融学院 办公室：一号楼511 室 电话：8610 chenzh@pbcsf.tsinghua.edu.cn 教育背景 2014.6 美国西北大学，凯洛格管理学院，金融学，博士学位 2009.5 美国杜克大学，经济学，硕士学位 2007.7 北京大学，工程学和经济学，双学士学位 工作经历 2014.9 至今 清华大学五道口金融学院，助理教授 2016.11 至今 清华大学国家金融研究院民生财富管理研究中心，副主任 研究领域 中国资本市场，实证资产定价，金融市场摩擦，金融计量 讲授课程 实证资产定价 （博士生） 公司金融（本科生） 发表论文 [1] “A Market-Based Funding Liquidity Measure,” with Andrea Lu, Review of Asset Pricing Studies, forthcoming [2] “Empirical Investigation of an Equity Pairs Trading Strategy,” with Huafeng Chen, Shaojun Chen, and Feng Li, Management Science , forthcoming [3] “A Performance Comparison of Large-n Factor Estimators,” with Gregory Connor and Robert Korajczyk, Review of Asset Pricing Studies 8 (1) , June 2018, pp. 153-182 [4] “Seeing the Unobservable from the Invisible: The Role of CO2 in Measuring Consumption Risk,” with Andrea Lu, Review of Finance 22 (3), May 2018, pp. 977-1009 [5] “Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets,” with Andrea Lu, Journal of Banking and Finance 75, February 2017, pp. 98-108 [6] “Growing Pains: International Instability and Equity Market Returns,” with Andrea Lu and Zhuqing Yang, Financial Management 46 (1), Spring 2017, pp. 59-87 工作论文 [1] “The Financing of Local Government in China: Stimulus Loan Waves and Shadow Banking Waxes,” with Zhiguo He and Chun Liu, November 2017 [2] “Characteristics-based Factors,” with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu, May 2018 [3] “Pledgeability and Asset Prices: Evidence from Chinese Corporate Bond Markets,” with Hui Chen, Zhiguo He, Jinyu Liu, and Rengming Xie, August 2018 [4] “Decoding Leveraged Trading,” with Pengfei Li, Zhengwei Wang, and Bohui Zhang, March 2016 [5] “Carbon Dioxide Emissions and Ass