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.

Research Papers

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

Reject and Resubmit at American Economic Review
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We investigate the trading strategies of retail investors by applying LLMs to analyze messages posted by users on StockTwits.
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Revise and Resubmit at Journal of Financial Economics
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2024 FMA Best Paper in Derivatives & Options
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LLMs manifest common behavioral biases when forecasting expected returns but are better at gauging risks than humans.
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The fund flows are negatively related to fund performance approximately six to ten years prior, reflecting investor disappointment.
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We show mutual funds’ securities lending patterns can help differentiate shares borrowed for hedging and for informed trading.
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ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
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Tweets posted via smartphones predict next-day returns and news, suggesting smartphones facilitate rapid access to information.
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PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives’ incentive.
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When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
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A media outlet issues more positive news coverage of a firm when they have common institutional investors.
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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

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