Joseph Chen

Graduate School of Management
University of California, Davis
One Shields Avenue
3216 Gallagher Hall
Davis, CA 95616-8609
Tel: (530) 752-7155
Fax: (530) 752-2924

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of California, Davis

NBER Working Papers and Publications

February 2008Do Hedge Funds Profit From Mutual-Fund Distress?
with Samuel Hanson, Harrison Hong, Jeremy C. Stein: w13786
December 2005CAPM Over the Long Run: 1926-2001
with Andrew Ang: w11903

Published: Ang, Andrew and Joe Chen. "CAPM Over the Long Run: 1926-2001." Journal of Empirical Finance 14, 1 (2007): 1-40. citation courtesy of

Downside Risk
with Andrew Ang, Yuhang Xing: w11824


  • Ang, Andrew, Joseph Chen and Yuhang Xing. "Downside Risk," Review of Financial Studies, 2006, v19(4,Winter), 1191-1239. citation courtesy of
  • Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.). citation courtesy of

December 2001Downside Risk and the Momentum Effect
with Andrew Ang, Yuhang Xing: w8643

Published: Ang, Andrew, Joe Chen and Yuhang Xing. “Downside Risk." Review of Financial Studies 19 (2006): 1191-1239.

March 2001Breadth of Ownership and Stock Returns
with Harrison Hong, Jeremy C. Stein: w8151

Published: Chen, Joseph, Harrison Hong and Jeremy C. Stein. "Breadth Of Ownership And Stock Returns," Journal of Financial Economics, 2002, v66(2-3,Nov-Dec), 171-205. citation courtesy of

May 2000Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
with Harrison Hong, Jeremy C. Stein: w7687

Published: Chen, Joseph, Harrison Hong and Jeremy C. Stein. "Forecasting Crashes: Trading Volume, Past Returns, And Conditional Shewness In Stock Prices," Journal of Financial Economics, 2001, v61(3,Sep), 345-381. citation courtesy of

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