Welcome! My name is Shuaiyu Chen.

I’m an Assistant Professor of Finance at Mitchell E. Daniels, Jr. School of Business, Purdue University.

My research interests include empirical asset pricing, asset management, short selling and securities lending, financial news, and return predictability.

Shuaiyu Chen

Assistant Professor of Finance,

Purdue University

I do theoretically-motivated empirical research on the following topics:

The informational efficiency of security prices and return predictability
The performance of fund managers and the behavior of fund flows
Short selling and securities lending
Financial news and social media in financial markets

Download Resume

Education

Ph.D. Finance, 2021

University of Rochester, USA
M.S. Applied Mathematics and Statistics, 2015

Johns Hopkins University, USA
B.S. Mathematical Economics, 2013

Central University of Finance and Economics, China

Interests

Asset Pricing
Asset Management
Securities Lending
Machine Learning
News and Social Media

Research Papers

AN ESTABLISHED THEORY SUPPORTED BY VALID DATA HAS THE STRONG POWER OF PREDICTION

Market Power in the Securities Lending Market

Reject and Resubmit at American Economic Review

with Ron Kaniel and Christian C. Opp

SSRN

What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts

LLMs manifest common behavioral biases when forecasting expected returns but are better at gauging risks than humans.

with T. Clifton Green, Huseyin Gulen, and Dexin Zhou

SSRN

Wisdom or Whims? Decoding Investor Trading Strategies with Large Language Models

We investigate the trading strategies of retail investors by applying LLMs to analyze messages posted by users on StockTwits.

with Lin Peng and Dexin Zhou

SSRN

Machine-Learning about ESG Preferences: Evidence from Fund Flows

Revise and Resubmit at Journal of Financial Economics

with George O. Aragon

SSRN

Mutual Fund Flows at Long Horizons

The fund flows are negatively related to fund performance approximately six to ten years prior, reflecting investor disappointment.

with Hendrik Bessembinder, Michael J. Cooper, Jinming Xue and Feng Zhang

SSRN

Unveiling Mutual Funds' Securities Lending Strategies: Value versus Volume

We show mutual funds’ securities lending patterns can help differentiate shares borrowed for hedging and for informed trading.

with Anh Tran and Pingle Wang

SSRN

Volatility Timing Using ETF Options: Evidence from Hedge Funds

ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.

with George Aragon and Zhen Shi

SSRN

Do Smartphones Transform Information Transmission in Financial Markets? Evidence from StockTwits

Tweets posted via smartphones predict next-day returns and news, suggesting smartphones facilitate rapid access to information.

with Yang Gao

SSRN

Hedge Fund Option Usage and Skewness Risk Premium

Hedge fund option usage affects skewness risk premium in the cross-section of stock options, consistent with a price-pressure channel.

with Shuaiqi Li

SSRN

Executive Pay-for-Performance Sensitivity and Stochastic Volatility

PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives’ incentive.

with Ping Liu and Yan Liu

SSRN

Tomorrow Is Another Day: Stocks Overweighted by Active Mutual Funds Predict the Next-Day Market

When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.

with Yixin Chen and Randolph B. Cohen

SSRN

Do Institutional Investors Affect News Coverage? The Role of Media Ownership

A media outlet issues more positive news coverage of a firm when they have common institutional investors.

with Zhao Jin and Yucheng (John) Yang

PDF

Experience

PREVIOUS ASSOCIATIONS THAT HELPED TO GATHER EXPERIENCE

Assistant Professor of Management (Finance Area)

Mitchell E. Daniels, Jr. School of Business, Purdue University

Aug 2021 – Present Indiana

Contact

Connect with me

+1 (585) 319-8838
530, 403 W State St, West Lafayette, IN 47907