PhD in Finance
The University of Chicago, 1992
Testing Pricing Errors of Models with Latent Factors and Firm Characteristics as Covariances
Article
Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets
Article
Why Did the Investment-Cash Flow Sensitivity Decline over Time?
Article
Counterparty Credit Risk and Derivatives Pricing
Article
Forward-Looking Tail Risk Measures
Conference paper
Forward-Looking Tail Risk Measures
Conference paper
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
Conference paper
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
Conference paper
The Relative Index Level and Index-Options Pricing
Conference paper
Forward-Looking Tail Risk Measures
Conference paper
Forward-Looking Tail Risk Measures
Conference paper
On an Insider Trading Regulation of Unlocked Restricted Stocks in China
Conference paper
Variance Premiums for the Long Term and Short Term
Conference paper
Conference paper
Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility
Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Conference paper
The Peso Problem: Evidence from the S&P 500 Options Market
Conference paper
Investment, Idiosyncratic Risk, and Growth Options
Conference paper
Diagnosing affine models of options pricing: Evidence from VIX
Article
Investment, Idiosyncratic Risk, and Growth Options
Conference paper
Why are Excess Returns on China's Treasury Bonds so Predictable? The Role of the Monetary System
Article
An empirical evaluation of China's monetary policies
Article
Why are Derivative Warrants more Expensive than Options? An Empirical Study
Article
Diagnosing Affine Models of Options Pricing: Evidence from VIX
Conference paper
A Reexamination of the Causes of Time-Varying Stock Return Volatilities
Article
On the Number of State Variables in Options Pricing
Article
Why Are the Returns on Small Growth Stocks So Low and Are These Low Returns Expected?
Conference paper
Bankruptcy prediction: the case of Japanese listed companies
Article
On the Explanatory Power of Firm-specific Variables in Cross-sections of Expected Returns
Article
Testing the APT with the Maximum Sharpe Ratio of Extracted Factors
Article
Article
Beyond segmentation: The case of China's repo markets
Article
The Chinese interbank repo market: An analysis of term premiums
Article
Why did individual stocks become more volatile?
Article
Article
Statistical and Economic Significance of Stock Return Predictability: A Mean-variance Analysis
Article
Article
Statistical and Economic Significance of Stock Return Predictability: A Mean-Variance Analysis
Conference paper
The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000
Conference paper
Asset Pricing Specification Errors and Performance Evaluation
Article
GMM tests of stochastic discount factor models with useless factors
Article
Market Reactions to the Financial Posts “Hot Stock” Column
Article
Two-pass Tests of Asset Pricing Models with Useless Factors
Article
Article
Investment under risk in property rights
Article
Diagnosing Affine Models of Options Pricing: Evidence from VIX
Forward-Looking Tail Risk Measures
Conference paper
Forward-Looking Tail Risk Measures
Conference paper
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
Conference paper
Risk-neutral Beta and Idiosyncratic Downside Risk of Individual Stocks
Conference paper
The Relative Index Level and Index-Options Pricing
Conference paper
Forward-Looking Tail Risk Measures
Conference paper
Forward-Looking Tail Risk Measures
Conference paper
On an Insider Trading Regulation of Unlocked Restricted Stocks in China
Conference paper
Variance Premiums for the Long Term and Short Term
Conference paper
Conference paper
Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility
Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Conference paper
The Peso Problem Hypothesis: The Evidence from the S&P 500 Options Market
Conference paper
The Peso Problem: Evidence from the S&P 500 Options Market
Conference paper
Investment, Idiosyncratic Risk, and Growth Options
Conference paper
Diagnosing affine models of options pricing: Evidence from VIX
Article
Investment, Idiosyncratic Risk, and Growth Options
Conference paper
Why are Excess Returns on China's Treasury Bonds so Predictable? The Role of the Monetary System
Article
An empirical evaluation of China's monetary policies
Article
Why are Derivative Warrants more Expensive than Options? An Empirical Study
Article
Diagnosing Affine Models of Options Pricing: Evidence from VIX
Conference paper
A Reexamination of the Causes of Time-Varying Stock Return Volatilities
Article
On the Number of State Variables in Options Pricing
Article
Why Are the Returns on Small Growth Stocks So Low and Are These Low Returns Expected?
Conference paper
Bankruptcy prediction: the case of Japanese listed companies
Article
On the Explanatory Power of Firm-specific Variables in Cross-sections of Expected Returns
Article
Testing the APT with the Maximum Sharpe Ratio of Extracted Factors
Article
Article
Beyond segmentation: The case of China's repo markets
Article
The Chinese interbank repo market: An analysis of term premiums
Article
Why did individual stocks become more volatile?
Article
Article
Statistical and Economic Significance of Stock Return Predictability: A Mean-variance Analysis
Article
Article
Statistical and Economic Significance of Stock Return Predictability: A Mean-Variance Analysis
Conference paper
The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000
Conference paper
Asset Pricing Specification Errors and Performance Evaluation
Article
GMM tests of stochastic discount factor models with useless factors
Article
Market Reactions to the Financial Posts “Hot Stock” Column
Article
Two-pass Tests of Asset Pricing Models with Useless Factors
Article
Article
Investment under risk in property rights
Article
No Publications |
DBAP5130 | Frontiers in Finance Research |
DBAP5450 | Green Finance |
UROP1100L | Undergraduate Research Opportunities Series 1 |
UROP1100K | Undergraduate Research Opportunities Series 1 |
No Teaching Assignments |
No Teaching Assignments |
No Teaching Assignments |
No Teaching Assignments |
ZHOU, Yu
Finance
TANG, Xiaorui
Individualized Interdisciplinary Program (Financial Technology)
DONG, Ailin
Finance( Completed in 2024 )
LI, Ruicong
Finance( Completed in 2021 )
LIU, Yueyin
Finance( Completed in 2024 )
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