Research

Peer-to-Peer Lending: Shift of Pricing Regime and Changes in Risk Sensitivity

Journal of Banking and Finance, 2025

Recommended citation: Chen, J., W. Huang, and X. E. Wang (2025). "Peer-to-Peer Lending: Shift of Pricing Regime and Changes in Risk Sensitivity." Journal of Banking and Finance, 176, 107459.
Download Paper

Market Discipline and Regulatory Arbitrage: Evidence from Asset-backed Commercial Paper

Journal of Banking and Finance, 2022

Recommended citation: Chen, J. (2022). "Market Discipline and Regulatory Arbitrage: Evidence from Asset-backed Commercial Paper." Journal of Banking and Finance, 145, 106656.
Download Paper

LIBOR’s Poker

Journal of Financial Markets, 2021

Recommended citation: Chen, J. (2021). "LIBOR’s Poker." Journal of Financial Markets, 55, 100586.
Download Paper

Do low search costs facilitate like-buys-like mergers? Evidence from common bank networks

Journal of Financial Economics, 2021

Recommended citation: Chen, J., J. Kim, and S. G. Rhee (2021). "Do low search costs facilitate like-buys-like mergers? Evidence from common bank networks." Journal of Financial Economics, 140(2), 484-513.
Download Paper

Modeling of Mortgage Defaults

The Journal of Fixed Income, 2008

Recommended citation: Chen, J., L. S. Hayre, M. Saraf, and R. Young (2008). "Modeling of Mortgage Defaults." The Journal of Fixed Income, 17(4), 6-30.
Download Paper

Did Dealers Fail to Make Markets during the Pandemic?

Liberty Street Economics, 2021

Recommended citation: Chen, J., H. Liu, D. Rubio, A. Sarkar, and Z. Song (2021). "Did Dealers Fail to Make Markets during the Pandemic?" Liberty Street Economics, Federal Reserve Bank of New York, March 2021.
Download Paper

MBS Market Dysfunctions in the Time of COVID-19

Liberty Street Economics, 2020

Recommended citation: Chen, J., H. Liu, D. Rubio, A. Sarkar, and Z. Song (2020). "MBS Market Dysfunctions in the Time of COVID-19." Liberty Street Economics, Federal Reserve Bank of New York, July 2020.
Download Paper

Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis

With Haoyang Liu (Dallas Fed), Asani Sarkar (New York Fed), and Zhaogang Song (Johns Hopkins Univ.). Revise and resubmit, Journal of Financial and Quantitative Analysis.

Download Paper

Credit Union Expansions: A Fork in the Road for Local Banks?

With Rodney Ramcharan (Univ. of Southern California), Teng Wang (Federal Reserve Board), and Tim Zhang (Univ. of Texas at San Antonio).

The Writing on the Maturity Wall: Commercial Real Estate Performance and Rollover Risk

With Yifan Chen (Univ. of Hawaii at Manoa).

Ambiguity, Market Underreaction, and Post-Earnings Announcement Drifts

With Qianqiu Liu (Univ. of Hawaii at Manoa), Xiaobo Liang (Univ. of Nevada, Las Vegas), and S. Ghon Rhee (Univ. of Hawaii at Manoa).

Slowed-Down Capital: Using Bitcoin to Avoid Capital Controls

With Asani Sarkar (New York Fed).

Download Paper

Does Analyst Reputation Matter For Firm Value? Evidence from Corporate Fraud Revelation

With Joonho Kim (Univ. of Hawaii at Manoa) and Boochun Jung (Univ. of Hawaii at Manoa).

Download Paper

Loan Extensions in CMBS

With Sean Flynn Jr. (Cornell Univ.) and Alexei Tchistyi (Cornell Univ.).

Banks Behave Badly

With Christine Parlour (UC Berkeley) and Uday Rajan (Univ. of Michigan). Presented at Rice, George Mason, UW Madison, and FMA (Keynote). Updated draft coming soon.