Shaojun Zhang

The Ohio State University

2100 Neil Avenue

Columbus, OH 43210-1144

United States

http://sites.google.com/view/zhangshaojun

SCHOLARLY PAPERS

14

DOWNLOADS

7,379

SSRN CITATIONS

25

CROSSREF CITATIONS

1

Scholarly Papers (14)

1.

Carbon Returns Across the Globe

Fisher College of Business Working Paper No. 2022-03-006, Charles A. Dice Working Paper No. 2022-6
Number of pages: 52 Posted: 19 May 2022 Last Revised: 06 Nov 2023
Shaojun Zhang
The Ohio State University
Downloads 1,668 (18,774)
Citation 3

Abstract:

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climate change, carbon-transition risk, predictability, stock return

2.

Systematic Default and Return Predictability in the Stock and Bond Markets

Fisher College of Business Working Paper No. 2023-03-013, Charles A. Dice Working Paper No.2023-13, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 66 Posted: 24 May 2023
Jack Bao, Kewei Hou and Shaojun Zhang
University of Delaware - Department of Finance, Ohio State University (OSU) - Department of Finance and The Ohio State University
Downloads 998 (39,862)
Citation 1

Abstract:

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Systemic risk, Joint default, Predictability, Stock returns, Bond returns

3.
Downloads 985 (40,610)
Citation 7

Dissecting Currency Momentum

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 28 Jan 2021 Last Revised: 30 Sep 2022
Shaojun Zhang
The Ohio State University
Downloads 754 (57,676)

Abstract:

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momentum, time series momentum, return, factor, exchange rate

Dissecting Currency Momentum

Fisher College of Business Working Paper No. 2020-03-015, Charles A Dice Working Paper No. 2020-15
Number of pages: 42 Posted: 07 Jul 2020 Last Revised: 24 Jun 2023
Shaojun Zhang
The Ohio State University
Downloads 231 (226,461)
Citation 6

Abstract:

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momentum, return, factor, exchange rate

4.

Limited Risk Sharing and International Equity Returns

Fisher College of Business Working Paper No. 2016-03-025, Charles A. Dice Center Working Paper No. 2016-25, Journal of Finance, Forthcoming
Number of pages: 59 Posted: 01 Jan 2014 Last Revised: 08 Mar 2020
Shaojun Zhang
The Ohio State University
Downloads 701 (64,485)
Citation 1

Abstract:

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comovement, exchange rate, limited participation, equity return, incomplete markets

5.

Expert Network Calls

Fisher College of Business Working Paper No. 2022-03-013, Charles A Dice Center Working Paper No. 2022-13
Number of pages: 56 Posted: 28 Nov 2022 Last Revised: 07 Sep 2023
University of Maryland - Robert H. Smith School of Business, Emory University - Department of Finance, University of North Carolina at Greensboro and The Ohio State University
Downloads 650 (71,050)

Abstract:

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Expert Networks, Price Efficiency, Hedge Funds, Informed Trading

6.

How Inefficient is the 1/N Strategy for a Factor Investor?

Forthcoming, Journal of Investment Management
Number of pages: 26 Posted: 09 Jan 2023
Kevin Khang, Antonio Picca, Shaojun Zhang and Minzhi Zhu
The Vanguard Group, Inc., Goldman Sachs Group, Inc., The Ohio State University and The Vanguard Group, Inc.
Downloads 515 (94,906)
Citation 1

Abstract:

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Asset Allocation; Factor Investing; Portfolio Construction; Portfolio Optimization

7.

Factor Construction Zoo: Are Factor Exposures Created Equal?

Journal of Portfolio Management, Forthcoming
Number of pages: 1 Posted: 29 Dec 2020 Last Revised: 12 Aug 2022
Shaojun Zhang
The Ohio State University
Downloads 508 (96,527)

Abstract:

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factor exposure, portfolio construction, risk, return, non-linearity

8.

Housing Cycles and Exchange Rates

Management Science, Forthcoming, Fisher College of Business Working Paper No. 2019-03-014, Charles A. Dice Center Working Paper No. 2019-14
Number of pages: 47 Posted: 09 May 2019 Last Revised: 09 Apr 2023
Sai Ma and Shaojun Zhang
Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 348 (149,360)
Citation 3

Abstract:

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housing, exchange rate, predictability

9.

Factor Value

Fisher College of Business Working Paper No. 2023-03-24, Charles A. Dice Center Working Paper No. 2023-24
Number of pages: 61 Posted: 02 Oct 2023 Last Revised: 11 Oct 2023
Shaojun Zhang
The Ohio State University
Downloads 336 (155,076)

Abstract:

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factor timing, predictability, risk premium, value

10.

Toward Tax-Efficient Low-Volatility Investing

Journal of Portfolio Management (JPM), Forthcoming
Number of pages: 1 Posted: 22 Jul 2021 Last Revised: 10 Jan 2022
Shaojun Zhang
The Ohio State University
Downloads 172 (296,904)

Abstract:

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tax efficiency, low volatility, return, transaction cost

The Effect of the Dollar on Trade Prices

CESifo Working Paper No. 8727
Number of pages: 26 Posted: 03 Dec 2020
Sai Ma, Tim Schmidt-Eisenlohr and Shaojun Zhang
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 141 (350,737)

Abstract:

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dominant currency, dollar invoicing, international trade

The Causal Effect of the Dollar on Trade

Number of pages: 29 Posted: 25 May 2022
Sai Ma, Tim Schmidt-Eisenlohr and Shaojun Zhang
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 23 (881,379)

Abstract:

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Dominant Currency, Dollar Invoicing, International Trade

12.

Housing Risk and the Cross-Section of Returns Across Many Asset Classes

Fisher College of Business Working Paper No. 2020-03-008, Charles A. Dice Working Paper No. 2020-08
Number of pages: 55 Posted: 10 May 2020
Sai Ma and Shaojun Zhang
Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 154 (325,974)

Abstract:

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asset classes, cross section, risk, housing, demand shocks

13.

Carbon Premium: Is It There?

Number of pages: 63 Posted: 26 Jun 2023
Shaojun Zhang
The Ohio State University
Downloads 137 (357,897)
Citation 1

Abstract:

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carbon emissions, climate change, predictability, stock returns

14.

Do Investors Care about Carbon Risk? A Global Perspective

Number of pages: 56 Posted: 26 Jun 2023
Shaojun Zhang
The Ohio State University
Downloads 43 (701,193)

Abstract:

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climate change, carbon-transition risk, predictability, stock return