李海涛:长江MBA项目副院长,长江院长杰出金融讲座教授. 加入长江前为University of Michigan, Chaired Professor of Finance.
Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices (with M. Wells and L. Yu), Mathematical Finance forthcoming.
Investing in Talents: Manager Characteristics and Hedge Fund Performances (with R. Zhao and X. Zhang), Journal of Financial and Quantitative Analysis forthcoming.
Short Rate Dynamics and Regime Shifts (with Y. Xu), International Review of Financeforthcoming.
Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance (with Y. Xu and X. Zhang), Journal of Financial Economics forthcoming.
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (with F. Zhao), Review of Financial Studies forthcoming.
Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (with R. Jarrow, S. Liu, and C. Wu), Journal of Financial Economics forthcoming.
Are Liquidity and Information Risks Priced in the Treasury Bond Market? (with Y. He, J. Wang, and C. Wu), Journal of Finance forthcoming.
A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates (with A. Egorov and D. Ng) Journal of Econometrics forthcoming.
A Bayesian Analysis of Return Dynamics with Lévy Jumps (with M. Wells and L. Yu), Review of Financial Studies 21, 2345-2378, 2008.
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates (with Y. Hong and F. Zhao), Journal of Econometrics 141, 736-776, 2007.
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture Smile? (with R. Jarrow and F. Zhao), Journal of Finance 62, 345-382, 2007.
Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? (with A. Egorov and Y. Hong), Journal of Econometrics 135, 255-284, 2006.
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (with F. Zhao), Journal of Finance 61, 341-378, 2006.
Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options (with C. Cao and F. Yu), Journal of Futures Markets 25, 717-752, 2005.
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (with Y. Hong), Review of Financial Studies 18, 37-84, 2005.
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (with Y. Hong and F. Zhao), Journal of Business and Economic Statistics 22, 457-473, 2004.
Regulation FD and Earnings Information: Market, Analyst, and Corporate Responses (with W. Bailey, C. Mao, and R. Zhong), Journal of Finance 58, 2489-2516, 2003.
Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions (with A. Egorov and Y. Xu),Journal of Econometrics 114, 107-139, 2003.
Corporate Use of Interest Rate Swaps: Theory and Evidence (with C. Mao), Journal of Banking and Finance 27, 1511-1538, 2003.
Survival Bias and the Equity Premium Puzzle (with Y. Xu), Journal of Finance 57, 1981-1996, 2002.
Pricing of Swaps with Default Risk, Review of Derivatives Research 2, 231-250, 1998. 作者: andrew2001 时间: 2014-9-6 04:14
欧阳辉:长江院长杰出金融讲座教授. 加入长江前曾为Duke 副教授, 得到过HKUST Chaired Professor of Finance 聘书。曾任雷曼兄弟董事总经理,瑞银董事总经理
长江金融MBA教授主任
"Feedback Trading between Fundamental Information and Non-fundamental Information", with M. Guo, Review of Financial Studies, Forthcoming.
"A Model of Portfolio Delegation and Strategic Trading", with A. S. Kyle and B. Wei, Review of Financial Studies, 24, 3778-3812, 2011.
"Differences of Opinion of Public Information and Speculative Trading in Stocks and Options", with H. Cao, Review of Financial Studies, 22, 299-335, 2009. (Placed third in the best paper award at CIFC in 2004 and judged best paper in the "most relevant to practitioners" category at WFA in 2005.)
"Capital Structure, Debt Maturity, and Stochastic Interest Rates", with N. Ju, Journal of Business, 79, 2469-2502, 2006.
"Estimation of Continuous-Time Models with an Application to Equity Volatility", with G. Bakshi and N. Ju, Journal of Financial Economics, 82, 227-249, 2006.
"Prospect Theory and Liquidation Decisions", with A. S. Kyle and W. Xiong, Journal of Economic Theory, 129, 273-288, 2006.
"Incentives and Performance in the Presence of Wealth Effects and Endogenous Risk", with M. Guo, Journal of Economic Theory, 129, 150-191, 2006.
"An Equilibrium Model of Asset Pricing and Moral Hazard", Review of Financial Studies, 18, 1219-1251, 2005.
"Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem", Review of Financial Studies, 16, 173-208, 2003. (Awarded the Barclays Global Investors/ Michael Brennan Runner-Up Award for the best paper published in Volume 16)
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证券时报:欧阳辉——以海外为鉴:MBS的潜在风险
凤凰网:欧阳辉——中国总体不缺钱,银行业要早日“断奶” 作者: andrew2001 时间: 2014-9-6 04:20
陈歆磊:长江营销学教授,加入长江前为Universityh of British Columbia副教授。
长江MBA教授主任
Chen, Xinlei (Jack), Yuxin Chen and Charles B. Weinberg, "Learning About Movies: The Impact of Movie Release Types on the Nationwide Box Office" Journal of Culture Economics, Forthcoming
Chen, Xinlei (Jack), Yuxin Chen and Ping Xiao, "The Impact of Sampling and Network Topology on the Estimation of Social Inter-correlations" Journal of Marketing Research, Vol. 50, No. 1, pp. 95-110
Rui Zhu, Utpal Dholakia, Xinlei (Jack) Chen and Rene Algesheimer (2012), "Does Online Community Participation Foster Risky Financial Behavior?" Journal of Marketing Research, Vol 49, No. 3 (June), 394-407
Hai Che, Xinlei (Jack) Chen and Yuxin Chen (2012), "Investigating Effects of Out-of-Stock on Consumer SKU Choice" Journal of Marketing Research, Vol. 49, No. 4 (August), pp. 502-513
Lan Luo, Xinlei (Jack) Chen, Jeanie Han, and C. W. Park, "Dilution and Enhancement of Celebrity Brands through Sequential Movie Releases" Journal of Marketing Research, Vol 47, Issue 6, 1114-1128
Chen, Xinlei (Jack), Om Narasimhan, George John, and Tirtha Dhar, "An Empirical Investigation of Private Label Supply by National Label Producers" Marketing Science, July-August, Vol. 29, 738-755
Nitin Mehta, Xinlei (Jack) Chen and Om Narasimhan (2010) "Examining Demand Elasticities in Hanemann's Framework: A Theoretical and Empirical Analysis," Marketing Science, May-June, Vol. 29, 422-437
Chen, Xinlei (Jack), George John, Julie M. Hays, Arthur V. Hill, and Susan E. Geurs (2009), "Learning from A Service Guarantee Quasi-Experiment" Journal of Marketing Research, Vol. 46, Issue 5, 584-596
Zhu, Rui (Juliet), Xinlei (Jack) Chen, and Srabana Dasgupta (2008), "Exploring the Effect of Trade-In Value on Consumers' Willingness to Pay for the New Product" Journal of Marketing Research, Vol. 45, Issue 2, 159-170
Mehta, Nitin, Xinlei (Jack) Chen and Om Narasimhan (2008), "The Role of Informative and Transformative Effects of Advertising on Brand Choice Decisions" Marketing Science, Vol 27, Issue 3, 334-355
Chen, Xinlei (Jack), George John and Om Narasimhan (2008), "Assessing the Consequences of A Channel Switch", Marketing Science, Marketing Science, Vol 27, Issue 3, 398-416作者: andrew2001 时间: 2014-9-6 04:26
长江11级/13届就业报告作者: andrew2001 时间: 2014-9-6 04:49
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