Dr Nicholas Zhiyao Chen

Profile photo


Lecturer in Finance
Programme Director: MSc Capital Markets, Regulation and Compliance;

Email n.chen@icmacentre.ac.uk
Phone number +44 (0)118 378 4388


Dr. Nicholas Zhiyao Chen joined the ICMA Centre as a Lecturer (Assistant Professor) in Finance in July 2011. He received a Master degree in Business Administration and a Ph.D. in Finance from the University of Washington, United States, in 2011. His current research interests mainly focus on agency conflicts and their implication for capital structure and asset pricing.

He has presented and will present his research papers at the annual meetings of American Financial Association, European Finance Association, China International Conference in Finance, Financial Management Association (FMA), FMA Asia and ASU Sonoran Winter Finance Conference. He has been invited to present his work at the University of Connecticut, the University of Manchester, and the City University of New York. He is one of the organizers for  the 2013 EFMA meetings. He has been an ad hoc reviewer for the Journal of Financial and Quantitative Analysis, Journal of Futures Markets, Journal of International Money and Finance, and International Journal of Forecasting.

Academic Activity


Dupoyet, B., Daigler, R. T. and Chen, N. (2011) A simplified pricing model for volatility futures. The Journal of Futures Markets, 31 (4). pp. 307-339. ISSN 1096-9934 doi: 10.1002/fut.20471

Chen, Z. and Daigler, R. T. (2008) An examination of the complementary volume–volatility information theories. The Journal of Futures Markets, 28 (10). pp. 963-992. ISSN 1096-9934 doi: 10.1002/fut.20344

Working papers

Contingent-claim-based expected stock returns, joint with Ilya Strebulaev (Stanford), ASU Sonoran Winter  Finance Conference 2013, EFA 2013 Cambridge and AFA 2014 Philadelphia.

Operating inflexibility, profitability and capital structure, joint with Avraham Kamara (Washington) and Jarrad Harford (Washington), CICF 2013 Shanghai and EFA 2013 Cambridge.

Strategic risk-shifting and idiosyncratic volatility puzzle, joint with Ilya Strebulaev (Stanford), Xiaoyan Zhang (Purdue), and Yuhang Xing (Rice).

Macroeconomic risk-switching and corporate risk-shifting, joint with Alexander Gorbenko (LBS), work-in-progress.


My SSRN page: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=455621


Contingent-claim-based expected stock returns, with Ilya Strebulaev (Stanford)

  • Financial Management Association (FMA) annual meetings 2012 (Atlanta, USA)
  • FMA Asia 2012 (Phuket, Thailand)
  • ASU Sonoran Winter Finance Conference 2013 (USA)
  • European Financial Association Annual Meetings 2013 (Cambridge, UK)
  • American Financial Association Annual Meetings 2014 (Philadelphia)


Operating inflexibility, profitability and capital structure, with Avraham Kamara (Washington) and Jarrad Harford (Washington)

  • China International Conference in Finance 2013 (Shanghai, China)
  • European Financial Association Annual Meetings 2013 (Cambridge, UK)


Dynamic Risk Shifting, Costly Risk Adjustment and Asset Pricing

  • Financial Management Association (FMA) annual meetings 2010 (New York city, USA)
  • University of Connecticut 2010
  • University of Manchester 2011
  • City University of New York 2011


Limited Liability, Idiosyncratic Volatility, the Cross-Section of Stock Returns,

  • Financial Management Association (FMA) Doctoral Student Consortium 2009 (Reno, USA)