Home > Faculty and Research > Academic Departments > Finance and Managerial Economics > Faculty > Wu, Chunchi

Chunchi Wu

M&T Professor of Banking and Finance
Department of Finance and Managerial Economics

Education

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

Research Interests

• Fixed income analysis
• Asset pricing
• Market microstructure

Teaching Interests

• Investments
• Empirical finance
• Fixed income analysis

Selected Publications

Liquidity Risk and Expected Corporate Bond Returns, (with H. Lin and J. Wang), Journal of Financial Economics, forthcoming.

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 Signalling and Dividend Adjustment to Permanent Earnings, (with C. Kao) Review of Economics and Statistics 76, 1994, 490-502.

Tests of Dividend Signalling 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.

Awards, Grants and Honors

• 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

Professional Affiliations

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

Additional Experience

• 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.