个人简介
陈卓博士现任清华大学五道口金融学院副教授，清华大学五道口金融学院全球母基金研究中心副主任。 他于2014年毕业于美国西北大学凯洛格商学院，获得金融学博士学位。在此之前，他获得了美国杜克大学的经济学硕士学位和北京大学工程学与经济学双学士学位。
陈卓博士的研究领域是实证资产定价与中国金融市场，包括中国债券市场、量化投资，基金评估，以及金融计量学。他的研究曾经发表于多个国际一流期刊，包括 The Journal of Finance, Journal of Financial Economics, Management Science, Review of Finance, Review of Asset Pricing Studies 等。他的研究成果获得了数项奖励，包括青木昌彦经济学论文奖提名奖，SFS Cavalcade“亚瑟·沃加”最佳固定收益论文奖，中国金融研究会议最佳论文奖，普华永道3535金融论坛最佳论文奖，芝加哥数量投资协会学术竞赛奖，PanAgora资产管理公司的克罗威尔纪念奖章最终入围奖，以及澳洲金融与银行会议博士生论坛二等奖。
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
2020.12 至今 清华大学五道口金融学院，副教授
2014.9-2020.11 清华大学五道口金融学院，助理教授
2022.3 至今 清华大学五道口金融学院中国金融案例中心，主任
2021.11至今 清华大学五道口金融学院全球母基金研究中心，副主任
2016.11-2023.4 清华大学五道口金融学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.“Investor Sentiment and the Pricing of Macro Risks for Hedge Funds,” with Andrea Lu and Xiaoquan Zhu, Management Science, forthcoming
2.“Pledgeability and Asset Prices: Evidence from Chinese Corporate Bond Markets,” with Hui Chen, Zhiguo He, Jinyu Liu, and Rengming Xie, The Journal of Finance, forthcoming
3.“The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes,” with Zhiguo He and Chun Liu, Journal of Financial Economics 137, July 2020, pp. 42-71.
4.“A Market-Based Funding Liquidity Measure,” with Andrea Lu, Review of Asset Pricing Studies 9 (2), December 2019, pp.356-393
5. Empirical Investigation of an Equity Pairs Trading Strategy (with Huafeng Chen, Shaojun Chen, and Feng Li), Management Science 65 (1), January 2019, pp. 370-389
6. 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
7. 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
8.“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
9.“Growing Pains: International Instability and Equity Market Returns,” with Andrea Lu and Zhuqing Yang, Financial Management 46 (1), Spring 2017, pp. 59-87
10. COVID-19 Vaccines and Global Stock Markets (with Kam Fong Chan, Yuanji Wen, and Tong Xu), Finance Research Letters 47, June 2022, pp. 1-9
11. 违约风险传染的避险效应与溢出效应：隐性担保预期的视角（合作者：何治国，施展，祝小全），经济研究（2022年11月刊），总第662期，174-190
12. 缓兵之计？地方债务展期与隐性违约风险——来自地方融资平台“借新还旧”的经验证据（合作者：郁芸君，张一林，蒲明），经济学（季刊），2022年5月，第22卷第3期，955-976
13.“能力”或“运气”：中国私募证券投资基金的多维择时与价值（合作者：祝小全，曹泉伟），经济学（季刊），2022年5月，第22卷第3期，843-866
14. 隐性杠杆约束、流动性风险和投资者情绪（合作者：祝小全），金融研究（2021年第10期），总第496期，171-189
15. 空气污染是否加剧了新冠病毒的传播？来自中国城市的实证研究（合作者：陈珂琪，李洁），经济学报，2021 年 9 月，第 8 卷第 3 期，224-258
16.“常态化防疫”阶段我国经济现状与基于科技的应对之策（合作者：田轩，刘碧波），中国科学基金，2020，第34卷，第6期，pp. 724-732
工作论文
1. “Leveraged Trading and Stock Returns: Evidence from International Stock Markets,” with Pengfei Li, Zhengwei Wang, and Bohui Zhang, March 2023, Journal of Financial Markets, Revise and Resubmit
2. “Carbon Dioxide Emissions and Asset Pricing: Evidence from International Stock Markets,” with Jinyu Liu, Andrea Lu and Libin Tao, December 2022, Journal of Empirical Finance, Revise and Resubmit
3. “Assessing and Addressing the Coronavirus-induced Economic Crisis: Evidence from 1.5 Billion Sales Invoices,” with Pengfei Li, Li Liao, and Zhengwei Wang, December 2020, China Economic Review, Revise and Resubmit
4. “Characteristics-based Factors,” with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu, November 2021
5. “Investor Sentiment and the Pricing of Characteristics-based Factors,” with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu, February 2020
6. “Local Political-turnover-induced Uncertainty and Bond Market Pricing,” with Andrea Lu, Huili Xiao, and Xiaoquan Zhu, December 2021
7. “From Wall Street to Hong Kong: The Value of Dual Listing of China Concepts Stocks,” with Grace Hu, Ziqiong Xi, and Xiaoquan Zhu, December 2022
8.“中小银行风险与地方政府隐性担保：基于同业存单定价机制的经验证据,” 合作者：何治国，祝小全，徐同，2022年4月
9.“债券市场对外开放提高了市场流动性吗？——基于债券通的实证经验,” 合作者：何佳，胡杏，2023年3月
10. “Margin Trading: Design of Margin Rules,” with Zhiguo He and Wei Wei, invited for submission to Annual Review of Financial Economics
荣誉与奖项
PwC 3535 Finance Forum Best Paper Award 2020
Tsinghua University – University of Chicago Joint Research Center for Economics and Finance Grant 2020
Arthur Warga Award for the Best Paper in Fixed Income at the SFS Cavalcade North America 2019
2017年度北京市无党派人士建言献策优秀成果特等奖
The Second China Financial Research Conference Best Paper Award 2017
PanAgora Crowell Memorial Prize Finalist 2014
Chicago Quantitative Alliance (CQA) Academic Competition Second Prize 2013
The 26th Australasian Finance and Banking Conference PhD Forum Second Prize
The 26th Australasian Finance and Banking Conference PhD Forum Travel Grant
The 9th International Conference on Asia-Pacific Financial Markets Best Paper Award
AFA Student Travel Grant 2013
The 25th Australasian Finance and Banking Conference PhD Forum Travel Grant
Kellogg School of Management Fellowship 2009-2014
Duke University Partial Tuition Waiver Fellowship 2007-2009
Peking University Dean’s List 2006
Peking University Canon Grants for Elite Students 2006
Lee-Shiu Travel Scholarship 2006
专业活动(*表示由论文的合作者讲解报告)
学术讲座 – Queensland University of Technology, University of Western Australia, Xi’an University of Architecture and Technology, Hosei University, Peking University National School of Development
学术会议 – 13rd Annual Paul Woolley Centre Conference in Collaboration with the Bank for International Settlements*, International Banking Economics and Finance Association Summer Meeting*, Financial Markets and Corporate Governance Conference*, European Finance Associat ion Annual Meeting , China International Conference in Finance*
学术讲座 – Chinese University of Hong Kong (Shenzhen) School of Management and Economics, Fudan University Fanhai International School of Finance, Central University of Finance and Economics
学术会议 – American Finance Association Annual Meeting*, NBER Chinese Working Group Meeting*, Napa/Sonoma Conference*, Eagle Labs Annual Conference in Financial Economics Research, Sovereign Debt Research and Management Conference
学术讲座 – University of Western Australia Business School, Sun Yat-Sen Business School, Southern University of Science and Technology Department of Finance
学术会议 – Finance Down Under, Financial Intermediation Research Society*, SFS Cavalcade North America, Behavioral Finance Working Group Conference*, FMA Asia/Pacific Conference*, WEAI Conference*, Mitsui Finance Symposium*, Erasmus Liquidity Conference*, European Finance Association Annual Meeting, China International Conference in Finance, Mutual Funds and Factor Investing Conference at Lancaster University, The Indonesian Financial Management Association International Conference*, NBER Summer Institute*, Northern Finance Association*, China Financial Research Conference*, FRIC 2019 Conference, The 6th Vietnam International Conference in Finance*
学术讲座 – Jinhe Center for Economic Research at Xi’an Jiaotong University, Institute of Financial Studies at Southwestern University of Finance and Economics, Central University of Finance and Economics
学术会议 – China International Conference in Finance, The Third Research in Behavioral Finance Conference, 2018 Policy Conference on Reforms and Liberalization of China’s Capital Market*, Guanghua International Symposium on Finance *
学术讲座 – Chinese University of Hong Kong (Shenzhen), Shanghai Advanced Institute of Finance
学术会议 – Conference on Globalization, Development, and Economic and Financial Stability*, HKUST Finance Symposium*, SFS Cavalcade Asia Pacific*, Summer Institute of Finance, China Financial Research Conference, China International Conference in Finance*, Asian Bureau of Finance and Economic Research 5th Annual Conference *, The 2nd IMF-Atlanta Fed Research Workshop*, NBER Chinese Economy Working Group Meeting*, The Nankai University School of Finance Annual Conference*, FMA Asia-Pacific Meeting*
学术讲座 – University of International Economics and Business School of Finance, Central University of Finance and Economics (School of Finance), Renmin University of China (School of Finance)
学术会议 – The 11th International Conference on Asia-Pacific Financial Markets*, The 29th Australasian Finance and Banking Conference*, China Financial Research Conference*,The 9th International Accounting and Finance Doctoral Symposium*, The 8th Paris Hedge Fund Research Conference*
学术讲座 – Central University of Finance and Economics (School of Finance), Renmin University of China (Hanqing), Seminar Series at Centre for Asian Business and Economics, University of Melbourne
学术会议 – Paris December Finance Meeting, Western Finance Association Annual Conference*, Asian Bureau of Finance and Economic Research 3rd Annual Conference
学术讲座 – Central University of Finance and Economics, Renmin University of China School of Business, Cheung Kong Graduate School of Business, Nanjing University Business School
学术会议 – The 9th International Conference on Asia-Pacific Financial Markets, Northern Finance Association Conference, ESMT Asset Management Conference, China International Conference in Finance, Financial Intermediation Research Society*, The 5th Risk Management Conference in Mont Tremblant, The 9th International Conference on Asia-Pacific Financial Markets, The 3rd International Conference on Futures and Derivatives Markets, The 3rd Luxembourg Asset Management Summit, Multinational Finance Society Conference*
学术讲座 – Peking University (GSM), Arizona State University (Carey), Purdue University (Krannert), PanAgora Asset Management, Citadel LLC, Moody’s Analytics, Georgetown University (McDonough), City University of Hong Kong, Shanghai Advanced Institute of Finance, Tsinghua University (PBCSF)
学术会议 – The 26th Australasian Finance and Banking Conference and PhD Forum, FDIC/JFSR 13th Bank Research Conference, Financial Management Association Conference, Chicago Quantitative Alliance Academic Competition*, PKU-Tsinghua-Stanford Conference in Quantitative Finance, European Finance Association Conference*, The 24th Annual Conference on Financial Economics and Accounting*, SoFiE Large-Scale Factor Models in Finance Conference*, Midwest Finance Association Conference*
学术讲座 – Northwestern University (Kellogg)
应邀学术讨论
“Collateral constraints and asset prices: Evidence from structured funds,” by Wei Li, Greg Phelan, and Yongqin Wang, China Financial Research Conference, 2023
“Labor flow shocks matter for asset pricing,” by Jian Chen, Chunmian Ge, Jiaquan Yao, and Guofu Zhou, 2022 XMU Finance Workshop
“State ownership and the term structure of yield spreads: Evidence from China,” by Yuanzhen Lyu and Fan Yu, 2022 CICF
“Financial intermediaries and contagion in market efficiency: the case of ETFs,” by Claire Yurong Hong, Frank Weikai Li, and Avanidhar Subrahmanyam, 2022 ABFER Annual Conference
“Understanding credit risk for Chinese companies using machine learning: A default-based approach,” by Edward Altman, Xiaolu Hu, and Jing Yu, 2021 FINR Annual Conference
“De facto time-varying indices-based benchmarks for mutual fund returns,” by Tingting Cheng, Cheng Yan, and Yayi Yan, 2021 China International Forum on Finance and Policy
“The collateral channel of monetary policy: Evidence from China,” by Hanming Fang, Yongqin Wang, and Xian Wu, China International Conference on Macroeconomics, 2021
“Third-party cookies, data sharing, and return comovement,” by Si Cheng, Yupeng Lin, Ruichang Lu, and Xiaojun Zhang, China Advanced Research in Finance Conference, 2021
“A Market Approach for Convergence Trades,” by Isabel Figuerola-Ferretti, Ioannis Paraskevopoulos, and Tao Tang, Financial Management Association Annual Meeting, 2020
“ESG Preference and Market Efficiency: Evidence from Mispricing and Institutional Trading,” by Jie (Jay) Cao, Sheridan Titman, Xintong (Eunice) Zhan, and Weiming (Elaine) Zhang, Workshop on Green Finance and ESG Analysis, 2019
“Political Uncertainty and Commodity Markets,” Kewei Hou, Ke Tang, and Bohui Zhang, China International Conference in Finance, 2019
“Trend Factors in China,” by Yang Liu, Guofu Zhou, and Yingzi Zhu, China International Conference in Finance, 2019
“Borrower Ratings, Officer Incentives and Loan Contracting: Evidence from a State-Owned Bank,” by Hongqi Yuan, Yiyuan Zhou, and Hong Zou, China Financial Research Conference, 2019
“Implicit Credit Support, Wealth Management Products, and Bank Profitability,” by Kaihua Deng, The 3rd Summer Workshop in Finance RUC Hanqing, 2019
“Arbitrage Portfolios,” Soohum Kim, Robert Korajczyk, and Andreas Neuhierl, Mutual Funds and Factor Investing Conference at Lancaster University, 2019
“The Diversification Benefits and Policy Risks of Accessing China’s Stock Market,” Chenyu Shan, Dragon Yongjun Tang, Sarah Qian Wang, and Chang Zhang, Guanghua International Symposium on Finance, 2018
“The Value and Real Effects of Implicit Government Guarantees,” Shuang Jin, Wei Wang, and Zilong Zhang, Summer Institute of Finance, 2018
“Strategic Complementarities and Monitoring: A Study of Mutual Fund Styles,” Yijun Zhou, China International Conference in Finance, 2018
“Does Industry Concentration of the Money Market Funds Affect Their Risk-Taking Behavior?” (Chinese) Jingjun Liu, China International Conference in Finance, 2018
“Liquidity of New OTC Market, Valuation, and Multiple-Layer Structure: Evidence from DID and RD Analyses,” (Chinese) Jane Liu, Qi Liu, and Xinming Huang, China Financial Research Conference, 2018
“Better Bond Indices and Liquidity Gaming the Rest,” Adriana Robertson and Matthew Spiegel, SFS Cavalcade Asia-Pacific, 2017
“Industry Competition, Credit Spreads, and Levered Equity Returns,” Alexandre Corhay, China International Conference in Finance, 2017
“Prospective Book-to-Market Ratio and Expected Stock Returns,” Kewei Hou, Yan Xu, and Yuzhao Zhang, China International Conference in Finance, 2017
“Implicit Guarantee and Shadow Banking: the Case of Trust Products,” Franklin Allen, Xian Gu, Jun “QJ” Qian, and Yiming Qian, Central University of Finance and Economics School of Finance Workshop, 2017
“Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance,” by Patrick Gagliardini and Diego Ronchetti, Paris December Finance Meeting, 2015
“Tail Risk Hedging and Regime Switching,” by Markus Huggenberger, Peter Albrecht, and Alexandr Pekelis, China International Conference in Finance, 2015
“The Causal Effects of Margin Trading and Short Selling on Earnings Management: A Natural Experiment from China,” by Zhaojing Chen, Nathan Dong, and Ming Gu, China International Conference in Finance, 2015
“Fire Sales and Liquidity Provision in the Corporate Bond Market,” by Jay Wang, Hanjiang Zhang, and Xinde Zhang, China International Conference in Finance, 2015
“General Purpose Technologies, International Technology Diffusion, and the Cross Section of Stock Returns,” by Po-Hsuan Hsu and Wei Yang, China International Conference in Finance, 2015
“Cross-sectional Asset Pricing with Individual Stocks: Betas versus Characteristics,” by Tarun Chordia, Amit Goyal, and Jay Shanken, Asian Bureau of Finance and Economic Research 3rd Annual Conference, 2015
“Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium,” by Jieun Lee and Joseph Ogden, The 9th International Conference on Asia-Pacific Financial Markets, 2014
“Institutional Investors and Stock Return Anomalies,” by Roger Edelen, Ozgur Ince, and Gregory Kadlec, The 3rd Luxembourg Asset Management Summit, 2014
“Jump Risk and Option Liquidity in an Incomplete Market,” by Pei-Lin Hsieh and Ya-Jun Wang, The 3rd International Conference on Futures and Derivatives Markets, 2014
“Funding Liquidity Risk and the Cross-Section of Stock Returns,” by Jean-Se ́bastien Fontaine, Rene ́, and Sermin Gungor, Bank of Canada Conference on Collateral, Liquidity and Central Bank Operations, 2014
“Measuring Liquidity Mismatch in the Banking Sector,” by Jennie Bai, Arvind Krishnamurthy, and Charles-Henri Weymuller, China International Conference in Finance, 2014
“Systemic Risk and Market Liquidity,” by Kebin Ma, China International Conference in Finance, 2014
“Carry,” by Ralph Koijen, Tobias Moskowitz, Lasse Pedersen, and Evert Vrugt, European Finance Association Conference, 2013
“Deception and Managerial Structure: A Joint Study of Portfolio Pumping and Window Dressing Practices,” by Saurin Petel and Sergei Sarkissian, European Finance Association Conference, 2013
“Long/Short Equity Hedge Funds and Systematic Ambiguity,” by Rajna Gibson and Nikolay Ryabkov, Midwest Finance Association Conference, 2013
专业服务
期刊匿名审稿人:
The Journal of Finance, Review of Economic Studies, Review of Financial Studies, Management Science, Review of Asset Pricing Studies, Journal of International Economics, European Economic Review, Review of Finance, Journal of Econometrics, Journal of Money Credit and Banking, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Banking and Finance, Journal of Corporate Finance, International Review of Finance, Financial Management, Finance Research Letters, China Economic Review, Asia-Pacific Journal of Financial Studies, Journal of Economics and Business, Regional Science and Urban Economics
学术会议评审委员会：
Financial Research Network Annual Conference, China Finance Research Conference, FMA Asia-Pacific Meeting
科研课题
"金融经济学”，国家自然科学基金优青项目（项目编号：72222004），2023-2025，主持人
"基于中国情景的会计审计和公司财务关键科学问题研究：中国资本市场的行为特征研究"，国家自然科学基金重大项目，（项目编号：71790605），2018至2022，参与人
"中国A股市场异常波动报告"，中国财富管理50人论坛课题，2015年7月至2015年10月，获得2017年“中国软科学奖”，参与人
"规范杠杆收购，促进经济结构调整——基于“宝万之争”视角的杠杆收购研究"，中国财富管理50人论坛课题，2016年7月至2016年11月，参与人
"2023年中国公募基金研究报告", 经济科学出版社，作者
"2023年中国私募基金研究报告", 经济科学出版社，作者
"2022年中国公募基金研究报告", 经济科学出版社，作者
"2022年中国私募基金研究报告", 经济科学出版社，作者
"2020年中国公募基金研究报告"，经济科学出版社，作者
"2020年中国私募基金研究报告"，经济科学出版社，作者
"2019年中国公募基金研究报告"，经济科学出版社，作者
"2019年中国私募基金研究报告"，经济科学出版社，作者
"2018年中国公募基金研究报告"，经济科学出版社，作者
"2018年中国私募基金研究报告"，经济科学出版社，作者
"2017年中国公募基金研究报告"，经济科学出版社，参与人
"2017年中国私募基金研究报告"，经济科学出版社，参与人
"2016年中国公募基金和私募基金研究报告"，经济科学出版社，参与人
指导学生（姓名，毕业年份，毕业去向）
廉锐，2022，博士（共同导师），中国农业银行
祝小全，2021，博士（共同导师），对外经贸大学金融学院助理教授
徐同，2021，香港大学金融学博士项目
胡文韬，2021，哥伦比亚大学金融工程硕士项目
任镜泽，2019，华夏基金（香港）有限公司
林博，2018，加拿大滑铁卢大学运筹学与数据分析硕士项目
胡志祥，2018，哥伦比亚大学金融工程硕士项目
刘行，2017 加拿大英属哥伦比亚大学金融学博士项目
黄煌，2017，香港科技大学金融学博士项目
高苑，2017，乔治亚州立大学金融学博士项目
叶天，2017，哥伦比亚大学金融工程硕士项目
郭遂恒，2016，乔治亚州立大学金融学博士项目
业界经历
2012 夏 中信证券，产品策略部，高级经理
2010 夏 花旗集团，投资银行部，分析师
所属专业机构
American Finance Association, European Finance Association, Financial Management Association
