Shaojun Zhang

The Ohio State University

2100 Neil Avenue

Columbus, OH 43210-1144

United States

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

SCHOLARLY PAPERS

11

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4,781

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (11)

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1.

Carbon Returns Across the Globe

Downloads 924 (39,566)

Carbon Returns Across the Globe

Number of pages: 63 Posted: 19 May 2022 Last Revised: 02 Mar 2023
Shaojun Zhang
The Ohio State University
Downloads 552 (77,052)

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carbon emissions, climate change, predictability, stock returns

Carbon Returns Across the Globe

Fisher College of Business Working Paper No. 2022-03-006, Charles A. Dice Center Working Paper No. 2022-06
Number of pages: 63 Posted: 28 Jul 2022 Last Revised: 01 Mar 2023
Shaojun Zhang
The Ohio State University
Downloads 186 (248,439)

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carbon emissions, climate change, transition risk, predictability, stock returns

Carbon Premium: Is It There?

Number of pages: 63 Posted: 08 Dec 2022 Last Revised: 11 Mar 2023
Shaojun Zhang
The Ohio State University
Downloads 186 (249,623)

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Carbon emissions, climate change, predictability, stock returns

2.

Dissecting Currency Momentum

Downloads 793 (48,740)

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 581 (72,286)

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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: 02 Jan 2021
Shaojun Zhang
The Ohio State University
Downloads 212 (220,570)

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momentum, return, factor, exchange rate

3.

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 681 (59,695)
Citation 1

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

4.

Systemic Default and Return Predictability in the Stock and Bond Markets

Charles A. Dice Center Working Paper No. 2016-2, Fisher College of Business Working Paper No. 2016-03-02
Number of pages: 62 Posted: 27 Jan 2016 Last Revised: 31 Mar 2021
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 627 (66,473)
Citation 4

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

5.

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 490 (90,300)

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

6.

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: 44 Posted: 28 Nov 2022 Last Revised: 29 Nov 2022
Sean Cao, T. Clifton Green, Lijun (Gillian) Lei and Shaojun Zhang
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 368 (126,748)

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Expert Networks, Price Efficiency, Hedge Funds, Informed Trading

7.

Housing Cycles and Exchange Rates

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: 01 Feb 2023
Sai Ma and Shaojun Zhang
Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 258 (182,928)
Citation 2

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housing, exchange rate, predictability

8.

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 208 (225,030)

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Asset Allocation; Factor Investing; Portfolio Construction; Portfolio Optimization

9.

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 149 (299,919)

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tax efficiency, low volatility, return, transaction cost

10.

The Effect of the Dollar on Trade Prices

Downloads 143 (310,051)

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 128 (338,856)

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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 15 (847,684)

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Dominant Currency, Dollar Invoicing, International Trade

11.

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 140 (315,302)

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