Feng Zhao

University of Texas at Dallas - Jindal School of Management

Associate Professor of Finance

800 W. Campbell Rd. SM 31

Richardson, TX 75080

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 20,846

in Total Papers Downloads

4,585

SSRN CITATIONS
Rank 16,432

SSRN RANKINGS

Top 16,432

in Total Papers Citations

78

CROSSREF CITATIONS

9

Scholarly Papers (13)

1.

Unspanned Global Macro Risks in Bond Returns

forthcoming in Management Science
Number of pages: 51 Posted: 30 Jan 2014 Last Revised: 31 Aug 2020
Feng Zhao, Guofu Zhou and Xiaoneng Zhu
University of Texas at Dallas - Jindal School of Management, Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 1,301 (29,579)
Citation 2

Abstract:

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Bond risk premia, global economic factor, real-time macroeconomic factors, return predictability, unspanning puzzle.

2.
Downloads 452 (49,439)
Citation 7

Subprime Mortgage Defaults and Credit Default Swaps

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 24 May 2010 Last Revised: 08 May 2014
The TCW Group, Inc., University of North Carolina (UNC) at Charlotte, The TCW Group, Inc., University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Jindal School of Management
Downloads 452 (118,751)

Abstract:

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Subprime mortgage default, Credit default swaps, Securitization

3.

Can the Random Walk Model Be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates

Number of pages: 34 Posted: 03 Aug 2003
Yongmiao Hong, Haitao Li and Feng Zhao
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 625 (80,570)
Citation 8

Abstract:

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density forecasts, eurodollar, GARCH, intraday exchange rate, jumps, maximum likelihood estimation, nonlinear time series, out-of-sample forecasts, regime-switching

4.

Out-of-Sample Performance of Spot Interest Rate Models

Number of pages: 38 Posted: 12 Oct 2002
Haitao Li, Yongmiao Hong and Feng Zhao
University of Michigan - Stephen M. Ross School of Business, Cornell University - Department of Economics and University of Texas at Dallas - Jindal School of Management
Downloads 562 (92,088)
Citation 3

Abstract:

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Density forecasts, Diffusion model, GARCH, Generalized spectrum, Jumps, Out-of-sample forecasts, Nonlinear time series, Parameter estimation uncertainty, Regime-Switching, Short-term interest rate, Transition density

5.

It Depends on When You Search

MIS Quarterly, Forthcoming, Georgetown McDonough School of Business Research Paper No. 4370525
Number of pages: 31 Posted: 01 Mar 2023 Last Revised: 17 May 2023
University of Texas at Dallas, Harbin Institute of Technology, Harbin Institute of Technology, School of Management, University of Texas at Dallas - Jindal School of Management and Georgetown University - McDonough School of Business
Downloads 337 (167,148)

Abstract:

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internet search, time heterogeneity, retail investor attention, stock returns, trading activities

6.

Macroeconomic Expectations in Bond Returns

Number of pages: 73 Posted: 19 Apr 2022
Yuting Gong, Feng Zhao and Xiaoneng Zhu
SILC Business School, Shanghai University, University of Texas at Dallas - Jindal School of Management and Shanghai University of Finance and Economics
Downloads 305 (185,768)
Citation 1

Abstract:

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7.

Cautious Risk-Takers: Investor Preferences and Demand for Active Management

Number of pages: 63 Posted: 21 Mar 2012 Last Revised: 31 Oct 2023
Board of Governors of the Federal Reserve System, University of Texas at Dallas and University of Texas at Dallas - Jindal School of Management
Downloads 296 (191,814)
Citation 6

Abstract:

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tail-sensitive preferences, probability weighting function, active management, mutual funds

8.

Probability Weighting Functions Implied in Options Prices

Number of pages: 62 Posted: 15 Dec 2012
Valery Polkovnichenko and Feng Zhao
Board of Governors of the Federal Reserve System and University of Texas at Dallas - Jindal School of Management
Downloads 262 (217,121)
Citation 20

Abstract:

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pricing kernel, non-parametric estimation, probability weighting, rank-dependent utility

9.

Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?

AFA 2013 San Diego Meetings Paper
Number of pages: 17 Posted: 17 Mar 2012
Haitao Li and Feng Zhao
University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 147 (366,653)
Citation 5

Abstract:

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CDX index and tranches, copula model, economic catastrophe risk, fat tail

Racial Disparities in Mortgage Lending: New Evidence based on Processing Time

Number of pages: 50 Posted: 06 Jan 2022 Last Revised: 23 Feb 2023
Bin Wei and Feng Zhao
Federal Reserve Bank of Atlanta and University of Texas at Dallas - Jindal School of Management
Downloads 90 (528,827)

Abstract:

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Processing Time, Lending Standards, Racial Disparities, Mortgage Loans

Racial Disparities in Mortgage Lending: New Evidence Based on Processing Time

FRB Atlanta Working Paper No. 2022-1
Number of pages: 50 Posted: 20 Sep 2022
Bin Wei and Feng Zhao
Federal Reserve Bank of Atlanta and University of Texas at Dallas - Jindal School of Management
Downloads 52 (716,981)

Abstract:

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processing time, lending standards, racial disparities, mortgage loans

11.

Neglected Risks in the Communication of Residential Mortgage-Backed Securities Offerings

Journal of Finance forthcoming
Number of pages: 57 Posted: 19 Jan 2019 Last Revised: 24 Feb 2023
Harold H. Zhang, Feng Zhao and Xiaofei Zhao
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Jindal School of Management and Georgetown University - McDonough School of Business
Downloads 111 (454,685)
Citation 1

Abstract:

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Neglected Risks, Institutional Investors, Written Communications, Textual Risks

12.

Screen More, Sell Later: Screening and Dynamic Signaling in the Mortgage Market

Number of pages: 45 Posted: 28 Dec 2023 Last Revised: 16 Jan 2024
Manuel Adelino, Bin Wei and Feng Zhao
Duke University, Federal Reserve Bank of Atlanta and University of Texas at Dallas - Jindal School of Management
Downloads 45 (746,517)

Abstract:

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Processing time, screening, signaling, time to sale, securitization, mortgage loans, lending standards

13.

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4335-4376, 2009
Posted: 08 Dec 2009
Haitao Li and Feng Zhao
University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management

Abstract:

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