Nai-Fu Chen

Professor, School of Business
Paul Merage School of Business

PH.D., University of California, Berkeley
Ph.D., University of California, Los Angeles

Phone: (949) 824-8011
Fax: (949) 824-8469

University of California, Irvine
407 GSM
Mail Code: 3125
Irvine, CA 92697
Research Interests
Professor Chen specializes in investments and stabilities of financial systems
Research Abstract
Professor Chen's current research investigates the stability of currencies and financial systems across countries. He is also interested in the relation between financial markets and economic factors like inflation, interest rates, credit risk, production growth. He has investigated the relation between market expectations and the states of the economy; the effect of taxes and transaction costs on the required rates of return; and how expected returns and expected risk premiums are related to proxy variables such as book-to-market, leverage, size, P/ E ratios. He is an advisor to various asset managers and hedge funds on asset allocations and portfolio management. He is an advisor to various central banks and monetary authorities.
"Some Empirical Tests of the Theory of Arbitrage Pricing," Journal of Finance 38, December 1983, 1393-1414.
Chen, N. and Johnson, H., Hedging Options, Journal of Financial Economics, 14, 317-21, 1985.
Chen, N., Roll, R., and Ross, S., Economic Forces and the Stock Market, Journal of Business, 59, 383-403, 1986.
Chen, N., Copeland, T., and Mayers, D., A Comparison of Single and Multifactor Portfolio Performance Methodologies, Journal of Financial and Quantitative Analysis, 22, 401-17, 1987.
Chen, N., Financial Investment Opportunities and the Macroeconomy, Journal of Finance, 46, 529-54, June 1991.
"Structural and Return Characteristics of Small and Large Firms," with K.C. Chan, Journal of Finance 46, June 1991, 529-54.
"Are the Discounts on Closed-end Funds a Sentiment Index?" with Raymond Kan and Merton Miller, Journal of Finance 48, June 1993, 795-800, 809-10.
"Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts," with Charles Cuny and Robert Haugen, Journal of Finance 50, March 1995, 281-300.
"Risk and Return of Value Stocks" with Feng Zhang , Journal of Business 71, 1998, 501-535.
“The Hong Kong Currency Board During the 1997-8 Crisis: Problems and Solutions”, International Review of Finance 2, 2001, 99-112.
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