Chunchi Wu

PhD, University of Illinois at Urbana-Champaign
MA, Western Illinois University
Graduate School of Business Administration, National Chengchi University
BC, National Chengchi University

• Fixed income analysis
• Asset pricing
• Market microstructure

• Investments
• Empirical finance
• Fixed income analysis

“Volatility and the Cross-section of Corporate Bond Returns,” (with K. Chung and J. Wang), Journal of Financial Economics, forthcoming.

“Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach,” (with H. Lin and G. Zhou), Management Science, forthcoming.

“Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads,” (with S. Liu), Review of Asset Pricing Studies 7, 81-143, 2017.

“Predictions of Corporate Bond Returns,” (with H. Lin and J. Wang), Journal of Financial Markets 21, 2014, 123-152.

"Price Discovery in the U.S. Treasury Market: Automation versus Intermediation," (with K. Man and J. Wang), Management Science 59, 2013, 695-714.

"Liquidity Risk and Expected Corporate Bond Returns," (with H. Lin and J. Wang), Journal of Financial Economics 99, 2011, 628-650.

"Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence," (with R. Jarrow, H. Li, and S. Liu) , Journal of Financial Economics 95, 2010, 227-248.

"Are Liquidity and Information Risks Priced in the Treasury Bond Market?," (with H. Li, J. Wang and Y. He), Journal of Finance 64, 2009, 467-503.

"The 2000 Presidential Election and the Information Cost of Sensitive vs. Non-sensitive S&P 500 Stocks," (with Y. He, H. Lin and U. B. Dufrene), Journal of Financial Markets 12, 2009, 54-86

"How Much of the Corporate Bond Spread Is Due to Personal Taxes?," (with S. Liu, J. Shi and J. Wang), Journal of Financial Economics 85, 2007, 599-636 (lead article).

"Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume," (with J. Li), Journal of Business 79, 2006, 2697-2739.

"Personal Taxes, Endogenous Default and Corporate Bond Yield Spreads," (with S. Liu and H. Qi), Management Science 52, 2006, 939-954.

"The Role of Earnings Information in Corporate Dividend Decisions," (with J. Hsu and X. Wang), Management Science 44, 1998, S173-191.

"Rational Expectations, Information Signaling and Dividend Adjustment to Permanent Earnings," (with C. Kao) Review of Economics and Statistics 76, 1994, 490-502.

"Tests of Dividend Signaling Using the Marsh-Merton Model: A Generalized Friction Approach," (with C. Kao) Journal of Business 67, 1994, 45-68.

"Information Asymmetry and the Sinking Fund Provision," Journal of Financial and Quantitative Analysis 28, 1993, 399-416.

"Expectation Formation and the Financial Ratio Adjustment Processes," (with Cheng F. Lee), Accounting Review 63, 1988, 292-306; A Reply, Accounting Review 68, 1993, 953-955.

• Outstanding research awards (1991, 1993, 2007)
• Outstanding teaching awards (1997, 2005)
• Academic excellence and service awards (1999, 2001, 2005)
• SMU-Wharton research grants (2006, 2007)
• NUS risk management research grant (2010)
• Lee Kuan Yew Fellows for Research Excellence

• American Finance Association
• Western Finance Association
• The Society for Financial Studies

• Consultant, Economic Development Institute, World Bank. 
• Executive Officer, Allied Social Science Association Meetings, 1997-2005.
• President of the Society of Economics and Management in Pacific Basin Countries, 2000-2003.