Yihua Zhao

Tulane University - A.B. Freeman School of Business

7 McAlister Drive

New Orleans, LA 70118

United States

SCHOLARLY PAPERS

4

DOWNLOADS

724

CITATIONS

2

Scholarly Papers (4)

1.

Beta Reversal and Expected Returns

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 59 Posted: 15 Mar 2014
Yexiao Xu and Yihua Zhao
University of Texas at Dallas - School of Management and Tulane University - A.B. Freeman School of Business
Downloads 232 (131,028)
Citation 1

Abstract:

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Beta Instability, Beta Reversal, Expected Return, and Idiosyncratic Volatility

2.

Beta is Still Useful

Number of pages: 48 Posted: 15 Mar 2012
Yexiao Xu and Yihua Zhao
University of Texas at Dallas - School of Management and Tulane University - A.B. Freeman School of Business
Downloads 229 (132,704)

Abstract:

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Expected Return, Idiosyncratic Volatility, Misspricing, Time-varying Beta

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 61 Posted: 06 Jun 2017 Last Revised: 03 Jul 2017
Tulane University - A.B. Freeman School of Business, Tulane University and Tulane University - A.B. Freeman School of Business
Downloads 88 (288,744)

Abstract:

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Number of pages: 55 Posted: 27 Jun 2016 Last Revised: 13 May 2018
Tulane University - A.B. Freeman School of Business, Tulane University, University of Nebraska at Lincoln - Department of Finance and Tulane University - A.B. Freeman School of Business
Downloads 70 (331,448)

Abstract:

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

4.

Is Aggregate Idiosyncratic Risk Priced? Follow the Bid-Ask Bounce

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 61 Posted: 17 Aug 2014 Last Revised: 30 Oct 2015
David A. Lesmond and Yihua Zhao
Tulane University - A.B. Freeman School of Business and Tulane University - A.B. Freeman School of Business
Downloads 105 (255,167)
Citation 1

Abstract:

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Asset Pricing, Market Returns, Aggregate Firm-Level Volatility, Risk, Bid-Ask Spread, Percentage of Zero Returns