Welcome to my personal website.

I am Chunjie Wang, a PhD student with the finance department of Stockholm School of Economics. My research interest lies in empirical and theoretical asset pricing.

I am on the 24-25 job market.

Working Paper

Asset pricing, not equity pricing

job market paper

This paper demonstrates that building characteristics-managed factors using firms' asset returns greatly reduces the number of factors necessary to explain the cross-section. A 5-factor model based on asset returns explains 62.4% of the variation in 100 factors, whereas an 88-factor model using equity returns explains only 38.6%. Out-of-sample, the asset-based implied mean-variance-efficient (MVE) portfolio achieves a Sharpe ratio of 1.2, compared with 0.75 for its equity-based counterpart. The parsimonious asset-based model explains equity returns better than the equity-based model, as it reduces the number of equity anomalies to 15 compared with 23 for the latter. The nonlinear transformation of returns caused by leverage increases the loadings of firms with high leverage on the equity-based factors, exposes these factors to firm-level systematic risks that would not arise in asset-based factors, and contributes to the factor zoo.

Betting on Stocks with Options??

with Adrien d’Avernas, Christian Schlag, Tobias Sichert, and Martin Waibel

We employ machine learning models to study the predictability of hold-until-maturity single stock option returns and find that nonlinear machine learning models generate statistically and economically superior forecasts. While both options and stock characteristics are important for predicting option returns, we show that the expected return of the underlying stock does not predict future option returns. Moreover, trading options based on the underlying’s expected stock return generates low returns that violate a model-free lower bound. These results constitute a puzzle relative to standard option pricing models and show that options are not a suitable instrument to harvest the risk premia embedded in the underlying stock.

Education

Stockholm School of Economics

Stockholm, Sweden

PhD in Finance

Master in Finance

since 2019

2017—2019

University of Maryland, College Park

Maryland, US

Exchange Program

2016—2017

University of International Business and Economics

Beijing, China

Bachelor in Economics

2013—2017

Awards & Grants

Svenska Handelsbankens doktorandstipendium

Handelsbanken

Best Paper of 13th National Ph.D. Workshop in Finance

Swedish House of Finance

Stiftelsen Louis Fraenckels Stipendiefond

Stiftelsemedel

BFI Ph.D. Program Scholarship

Swedish Bank Research Foundation

2024

2024

2023

2021—2024

Code

Asset pricing, Not equity pricing

with Adrien d’Avernas, and Martin Waibel

Machine learning toolbox for stock pricing

with Christian Schlag, Adrien d’Avernas, Tobias Sichert, and Martin Waibel

Machine learning toolbox for option pricing

Teaching

Master Level

Risk Management

Corporate Finance

Fall, 2018

International Financial Management

Spring, 2021—2024

Bachelor Level

Spring, 2021

Finance I

Finance II

Spring, 2025

Fall, 2021—2023