Sophia Zhengzi Li

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

100 Rockafeller Rd

Piscataway, NJ 08854

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 2,960

in Total Papers Downloads

18,148

SSRN CITATIONS
Rank 11,685

SSRN RANKINGS

Top 11,685

in Total Papers Citations

75

CROSSREF CITATIONS

28

Scholarly Papers (13)

1.
Downloads 9,274 ( 909)
Citation 24

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 Jan 2020
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 8,306 (1,081)
Citation 14

Abstract:

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Predictability, Intraday, Momentum, Economic Value

Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

Number of pages: 49 Posted: 12 Mar 2015 Last Revised: 16 Dec 2017
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 968 (34,891)
Citation 10

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Predictability, Intraday, Momentum, Economic Value

2.

Pervasive underreaction: Evidence from high-frequency data

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 26 Oct 2015 Last Revised: 23 Mar 2021
Hao Jiang, Sophia Zhengzi Li and Hao Wang
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Prime Quantitative Research
Downloads 2,261 (9,759)
Citation 4

Abstract:

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Underreaction; High-Frequency; News; Attention; Expectation Formation

3.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Tim Bollerslev, Sophia Zhengzi Li and Bingzhi Zhao
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 2,017 (11,836)
Citation 13

Abstract:

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Cross-sectional return variation; return predictability; high-frequency-data; semi-variance; jump variation

4.

When Shareholders Disagree: Trading After Shareholder Meetings

Forthcoming in the Review of Financial Studies, Fifth Annual Conference on Financial Market Regulation, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 594/2019
Number of pages: 79 Posted: 31 Jan 2021 Last Revised: 02 Apr 2021
Sophia Zhengzi Li, Ernst G. Maug and Miriam Schwartz-Ziv
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, University of Mannheim Business School and Hebrew University of Jerusalem - Department of Finance and Banking
Downloads 851 (42,383)
Citation 2

Abstract:

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Shareholder Meetings, Voting, Disagreement, Trading, Volume

5.

Roughing up Beta: Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 06 Dec 2014 Last Revised: 24 Apr 2016
Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Northwestern University
Downloads 841 (42,981)
Citation 35

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Market price risks; jump betas; high-frequency data; cross-sectional return variation

6.

Risk Momentum

Number of pages: 72 Posted: 28 Mar 2022 Last Revised: 22 Nov 2022
Sophia Zhengzi Li, Peixuan Yuan and Guofu Zhou
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Renmin University of China - School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 713 (53,614)

Abstract:

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Momentum, factor risk, intraday, arbitrageur participation, limits to arbitrage

7.

Automated Risk Forecasting

Number of pages: 70 Posted: 31 Jan 2021 Last Revised: 27 Jul 2022
Sophia Zhengzi Li and Yushan Tang
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 641 (61,633)
Citation 1

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Automation, Machine Learning, Volatility Forecasting, High-Frequency Data, Transfer Learning

8.

ETFs, Anomalies and Market Efficiency

Number of pages: 42 Posted: 04 Apr 2022 Last Revised: 18 Oct 2022
Ilias Filippou, Songrun He, Sophia Zhengzi Li and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 596 (67,654)

Abstract:

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ETF arbitrage, Anomalies, Market Efficiency

9.

Granular Information and Sectoral Movements

Number of pages: 75 Posted: 08 Oct 2020 Last Revised: 06 Oct 2022
Hao Jiang, Sophia Zhengzi Li and Peixuan Yuan
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Renmin University of China - School of Finance
Downloads 438 (98,308)
Citation 1

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Granular Information, Sectoral Movements, Exchange-Traded Funds, Machine Learning

10.

Trading Frequency and Information Efficiency: Theory and Evidence from US and Chinese Markets

Number of pages: 58 Posted: 02 Nov 2014
Feng Gao, Zoran Ivkovich and Sophia Zhengzi Li
Tsinghua University, Michigan State University, Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 176 (247,798)

Abstract:

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Information acquisition, Trading frequency, Price efficiency

11.

Dealer Disagreement and Asset Prices in FX Markets

Number of pages: 50 Posted: 14 Mar 2022 Last Revised: 16 Aug 2022
Brandon Yueyang Han, Sophia Zhengzi Li and Zhaogang Song
Robert H. Smith School of Business, University of Maryland, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Johns Hopkins University - Carey Business School
Downloads 141 (297,396)

Abstract:

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Currency, Dealer, Disagreement, Heterogeneous Information, Heterogeneous Beliefs, Derivatives

12.

Forecasting and Managing Correlation Risks

Number of pages: 63 Posted: 21 Nov 2022
Tim Bollerslev, Sophia Zhengzi Li and Yushan Tang
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 101 (380,120)

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Correlation forecasting, high-frequency data, LASSO, risk targeting and control, pairs trading, equity premium prediction

13.

Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs

Number of pages: 60 Posted: 14 Mar 2022 Last Revised: 23 Apr 2022
Hao Jiang, Sophia Zhengzi Li and Yuanyuan Xiao
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 98 (385,116)

Abstract:

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Market Efficiency, ETF, Stocks, Bonds, Lead-Lag Relation.