Yi Zhou

San Francisco State University

Assistan Professor of Finance

College of Business

1600 Holloway Avenue

San Francisco, CA 94132

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 11,521

in Total Papers Downloads

3,428

CITATIONS
Rank 19,392

SSRN RANKINGS

Top 19,392

in Total Papers Citations

16

Scholarly Papers (10)

1.

Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns

McCombs Research Paper Series No. FIN-01-11, AFA 2012 Chicago Meetings Paper
Number of pages: 43 Posted: 07 Jan 2011 Last Revised: 18 Jun 2011
Bing Han and Yi Zhou
University of Toronto, Rotman School of Management and San Francisco State University
Downloads 975 (12,858)
Citation 4

Abstract:

credit default swap, term structure, cross-section of stock return, default risk premium, slow information diffusion

2.
Downloads 770 ( 23,546)
Citation 7

Credit Default Swap Spreads and Variance Risk Premia

Number of pages: 42 Posted: 25 Oct 2009 Last Revised: 12 Jun 2011
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 463 (50,008)
Citation 7

Abstract:

variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance

Credit Default Swap Spreads and Variance Risk Premia

AFA 2011 Denver Meetings Paper
Number of pages: 42 Posted: 11 Mar 2010 Last Revised: 05 Sep 2010
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 307 (81,641)
Citation 7

Abstract:

Variance Risk Premia, Credit Default Swap Spreads, Option-Implied Variance, Expected Variance, Realized Variance

3.

Understanding the Term Structure of Credit Default Swap Spreads

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 44 Posted: 18 Sep 2012 Last Revised: 22 Jan 2013
Bing Han and Yi Zhou
University of Toronto, Rotman School of Management and San Francisco State University
Downloads 367 (46,143)
Citation 1

Abstract:

term structure, credit default swap, credit risk, structural models

4.

The Term Structure of Credit Spreads and the Cross-Section of Stock Returns

Journal of Financial Economics (JFE), Forthcoming, Rotman School of Management Working Paper No. 2560693
Number of pages: 49 Posted: 06 Feb 2015 Last Revised: 27 Apr 2016
University of Toronto, Rotman School of Management, University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University
Downloads 179 (54,478)
Citation 4

Abstract:

cross-section of stock return, credit spreads, term structure, slow information diffusion, limited attention, default risk premium

5.

Capital Structure Effects on the Prices of Individual Equity Call Options

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 18 Sep 2014 Last Revised: 22 Jul 2015
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University
Downloads 173 (63,324)

Abstract:

option pricing, leverage effect, compound option

6.

Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement

Rotman School of Management Working Paper No. 2493831, Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 36 Posted: 11 Sep 2014 Last Revised: 10 Feb 2015
Bing Han, Lei Lu and Yi Zhou
University of Toronto, Rotman School of Management, Asper School of Business, University of Manitoba and San Francisco State University
Downloads 63 (204,644)

Abstract:

Heterogeneous Beliefs, Disagreement, Multiple Stocks, Size, Expected Return, Volatility

7.

Capital Structure Effects on Prices of Firm Stock Options: Tests Using Implied Market Values of Corporate Debt

EFA 2009 Bergen Meetings Paper
Posted: 13 Feb 2009
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

Derivatives, Options, Leverage, Stochastic Volatility

8.

Predicting the Volatility of the S&P 500 Equity Index

Posted: 16 Mar 2007
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

Derivatives, Volatility Forecast, Stochastic Stock Volatility, Leverage

9.

Pricing S&P 500 Index Put Options: Smiles, Skews, and Leverage

Posted: 16 Mar 2007
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

Derivatives, Stochastic Stock Volatility, Leverage

10.

The Effects of Leverage on the Pricing S&P 500 Index Call Options

Posted: 15 Jan 2007
Robert L. Geske and Yi Zhou
University of California, Los Angeles (UCLA) - Finance Area and San Francisco State University

Abstract:

Derivatives, Stochastic Stock Volatility, Leverage