個人簡介
陳卓博士現任Betvictor中文版副教授，Betvictor中文版全球母基金研究中心副主任。 他于2014年畢業于美國西北大學凱洛格商學院，獲得金融學博士學位。在此之前，他獲得了美國杜克大學的經濟學碩士學位和北京大學工程學與經濟學雙學士學位。
陳卓博士的研究領域是實證資産定價與中國金融市場，包括中國債券市場、量化投資，基金評估，以及金融計量學。他的研究曾經發表于多個國際一流期刊，包括 The Journal of Finance, Journal of Financial Economics, Management Science, Review of Finance, Review of Asset Pricing Studies 等。他的研究成果獲得了數項獎勵，包括青木昌彥經濟學論文獎提名獎，SFS Cavalcade“亞瑟·沃加”最佳固定收益論文獎，中國金融研究會議最佳論文獎，普華永道3535金融論壇最佳論文獎，芝加哥數量投資協會學術競賽獎，PanAgora資産管理公司的克羅威爾紀念獎章最終入圍獎，以及澳洲金融與銀行會議博士生論壇二等獎。
教育背景
2014.6 美國西北大學，凱洛格管理學院，金融學，博士學位
2009.5 美國杜克大學，經濟學，碩士學位
2007.7 北京大學，工程學和經濟學，雙學士學位
工作經曆
2020.12 至今 Betvictor中文版，副教授
2014.9-2020.11 Betvictor中文版，助理教授
2022.3 至今 Betvictor中文版中國金融案例中心，主任
2021.11至今 Betvictor中文版全球母基金研究中心，副主任
2016.11-2023.4 Betvictor中文版民生财富管理研究中心，副主任
研究領域
中國資本市場，實證資産定價，金融市場摩擦，金融計量
講授課程
實證資産定價（博士生）
公司金融（本科生）
發表論文
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. 違約風險傳染的避險效應與溢出效應：隐性擔保預期的視角（合作者：何治國，施展，祝小全），經濟研究（2022年11月刊），總第662期，174-190
12. 緩兵之計？地方債務展期與隐性違約風險——來自地方融資平台“借新還舊”的經驗證據（合作者：郁芸君，張一林，蒲明），經濟學（季刊），2022年5月，第22卷第3期，955-976
13.“能力”或“運氣”：中國私募證券投資基金的多維擇時與價值（合作者：祝小全，曹泉偉），經濟學（季刊），2022年5月，第22卷第3期，843-866
14. 隐性杠杆約束、流動性風險和投資者情緒（合作者：祝小全），金融研究（2021年第10期），總第496期，171-189
15. 空氣污染是否加劇了新冠病毒的傳播？來自中國城市的實證研究（合作者：陳珂琪，李潔），經濟學報，2021 年 9 月，第 8 卷第 3 期，224-258
16.“常态化防疫”階段我國經濟現狀與基于科技的應對之策（合作者：田軒，劉碧波），中國科學基金，2020，第34卷，第6期，pp. 724-732
工作論文
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.“中小銀行風險與地方政府隐性擔保：基于同業存單定價機制的經驗證據,” 合作者：何治國，祝小全，徐同，2022年4月
9.“債券市場對外開放提高了市場流動性嗎？——基于債券通的實證經驗,” 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
榮譽與獎項
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年度北京市無黨派人士建言獻策優秀成果特等獎
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
專業活動(*表示由論文的合作者講解報告)
學術講座 – Queensland University of Technology, University of Western Australia, Xi’an University of Architecture and Technology, Hosei University, Peking University National School of Development
學術會議 – 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*
學術講座 – Chinese University of Hong Kong (Shenzhen) School of Management and Economics, Fudan University Fanhai International School of Finance, Central University of Finance and Economics
學術會議 – 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
學術講座 – University of Western Australia Business School, Sun Yat-Sen Business School, Southern University of Science and Technology Department of Finance
學術會議 – 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*
學術講座 – 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
學術會議 – 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 *
學術講座 – Chinese University of Hong Kong (Shenzhen), Shanghai Advanced Institute of Finance
學術會議 – 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*
學術講座 – 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)
學術會議 – 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*
學術講座 – 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
學術會議 – Paris December Finance Meeting, Western Finance Association Annual Conference*, Asian Bureau of Finance and Economic Research 3rd Annual Conference
學術講座 – Central University of Finance and Economics, Renmin University of China School of Business, Cheung Kong Graduate School of Business, Nanjing University Business School
學術會議 – 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*
學術講座 – 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)
學術會議 – 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*
學術講座 – Northwestern University (Kellogg)
應邀學術讨論
“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
專業服務
期刊匿名審稿人:
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
學術會議評審委員會：
Financial Research Network Annual Conference, China Finance Research Conference, FMA Asia-Pacific Meeting
科研課題
"金融經濟學”，國家自然科學基金優青項目（項目編号：72222004），2023-2025，主持人
"基于中國情景的會計審計和公司财務關鍵科學問題研究：中國資本市場的行為特征研究"，國家自然科學基金重大項目，（項目編号：71790605），2018至2022，參與人
"中國A股市場異常波動報告"，中國财富管理50人論壇課題，2015年7月至2015年10月，獲得2017年“中國軟科學獎”，參與人
"規範杠杆收購，促進經濟結構調整——基于“寶萬之争”視角的杠杆收購研究"，中國财富管理50人論壇課題，2016年7月至2016年11月，參與人
"2023年中國公募基金研究報告", 經濟科學出版社，作者
"2023年中國私募基金研究報告", 經濟科學出版社，作者
"2022年中國公募基金研究報告", 經濟科學出版社，作者
"2022年中國私募基金研究報告", 經濟科學出版社，作者
"2020年中國公募基金研究報告"，經濟科學出版社，作者
"2020年中國私募基金研究報告"，經濟科學出版社，作者
"2019年中國公募基金研究報告"，經濟科學出版社，作者
"2019年中國私募基金研究報告"，經濟科學出版社，作者
"2018年中國公募基金研究報告"，經濟科學出版社，作者
"2018年中國私募基金研究報告"，經濟科學出版社，作者
"2017年中國公募基金研究報告"，經濟科學出版社，參與人
"2017年中國私募基金研究報告"，經濟科學出版社，參與人
"2016年中國公募基金和私募基金研究報告"，經濟科學出版社，參與人
指導學生（姓名，畢業年份，畢業去向）
廉銳，2022，博士（共同導師），中國農業銀行
祝小全，2021，博士（共同導師），對外經貿大學金融學院助理教授
徐同，2021，香港大學金融學博士項目
胡文韬，2021，哥倫比亞大學金融工程碩士項目
任鏡澤，2019，華夏基金（香港）有限公司
林博，2018，加拿大滑鐵盧大學運籌學與數據分析碩士項目
胡志祥，2018，哥倫比亞大學金融工程碩士項目
劉行，2017 加拿大英屬哥倫比亞大學金融學博士項目
黃煌，2017，香港科技大學金融學博士項目
高苑，2017，喬治亞州立大學金融學博士項目
葉天，2017，哥倫比亞大學金融工程碩士項目
郭遂恒，2016，喬治亞州立大學金融學博士項目
業界經曆
2012 夏 中信證券，産品策略部，高級經理
2010 夏 花旗集團，投資銀行部，分析師
所屬專業機構
American Finance Association, European Finance Association, Financial Management Association
