Welcome! I’m Shuaiyu Chen, an Assistant Professor of Business Administration (Finance area) at Darden School of Business at the University of Virginia.

Prior to joining UVA Darden, I was an Assistant Professor of Management at Mitch Daniels School of Business at Purdue University.

My research focuses on empirical asset pricing, asset management, short selling and securities lending, option pricing, and the role of social media in financial markets. I often integrate machine learning and AI methods into my finance research.

Experience

PREVIOUS ASSOCIATIONS THAT HELPED TO GATHER EXPERIENCE

 
 
 
 
 

Assistant Professor of Business Administration (Finance Area)

UVA Darden School of Business, University of Virginia

Jul 2024 – Present Charlottesville, Virginia
 
 
 
 
 

Assistant Professor of Management (Finance Area)

Mitch Daniels School of Business, Purdue University

Aug 2021 – Jun 2024 West Lafayette, Indiana

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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Revise and Resubmit at Review of Financial Studies
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Revise and Resubmit at Journal of Financial Economics
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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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Funds lending securities hold less cash, earn additional lending income in normal times, but underperform in periods of large outflows.
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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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Novel measures for Var and Skew expectations derived from analyst reports; Using LLM and ML to examine expectation formation
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Value lending facilitates short sellers exploiting firm-specific information, while volume lending serves general hedging demand.
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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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