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

http://https://sites.google.com/site/szlwebpage/

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 2,089

in Total Papers Downloads

27,539

SSRN CITATIONS
Rank 6,515

SSRN RANKINGS

Top 6,515

in Total Papers Citations

233

CROSSREF CITATIONS

32

Scholarly Papers (16)

1.
Downloads 10,987 ( 885)
Citation 56

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 9,738 (1,075)
Citation 14

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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 1,249 (30,267)
Citation 11

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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 2,715 (9,223)
Citation 4

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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 Man Numeric
Downloads 2,378 (11,428)
Citation 13

Abstract:

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

4.

Risk Momentum: A New Class of Price Patterns

Number of pages: 81 Posted: 28 Mar 2022 Last Revised: 04 Oct 2023
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 2,044 (14,554)
Citation 2

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

5.

Automated Volatility Forecasting

Number of pages: 86 Posted: 31 Jan 2021 Last Revised: 03 Apr 2024
Sophia Zhengzi Li and Yushan Tang
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai Business School, Nankai University
Downloads 2,002 (15,014)
Citation 1

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

6.

ETFs, Anomalies and Market Efficiency

Number of pages: 67 Posted: 04 Apr 2022 Last Revised: 19 Oct 2023
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 1,316 (28,513)
Citation 1

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ETFs, ETF ownership, Anomalies, Market Efficiency

7.

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 1,012 (41,618)
Citation 26

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Shareholder Meetings, Voting, Disagreement, Trading, Volume

8.

Forecasting and Managing Correlation Risks

Number of pages: 64 Posted: 21 Nov 2022 Last Revised: 01 Sep 2023
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 Nankai Business School, Nankai University
Downloads 990 (42,988)

Abstract:

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

9.

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 - Kellogg School of Management
Downloads 893 (49,548)
Citation 61

Abstract:

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

10.

Anomalies as New Hedge Fund Factors

Number of pages: 60 Posted: 10 Jan 2023 Last Revised: 16 Feb 2024
Yong Chen, Sophia Zhengzi Li, Yushan Tang and Guofu Zhou
Texas A&M University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Nankai Business School, Nankai University and Washington University in St. Louis - John M. Olin Business School
Downloads 837 (54,160)
Citation 1

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Hedge funds, anomalies, risk factors, shrinkage techniques, performance evaluation

11.

Granular Information and Sectoral Movements

Number of pages: 75 Posted: 08 Oct 2020 Last Revised: 30 May 2023
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 706 (67,893)
Citation 1

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Granular Information, Sectoral Movements, Exchange-Traded Funds

12.

Information Transmission from Corporate Bonds to the Aggregate Stock Market

Number of pages: 76 Posted: 02 Mar 2023 Last Revised: 15 Mar 2024
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 577 (87,665)

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Corporate bond skewness, term structure, predictability, lead-lag relation, market segmentation, information diffusion

13.

Pockets of Factor Pricing

Number of pages: 74 Posted: 20 Dec 2023 Last Revised: 24 Dec 2023
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 315 (177,462)

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Factor pricing, pockets, firm characteristics, time-varying predictability, anomaly, factor models

14.

News-based Investor Disagreement and Stock Returns

Number of pages: 65 Posted: 13 Aug 2023 Last Revised: 12 Apr 2024
Sophia Zhengzi Li and Zeyao Luan
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 287 (195,072)

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Disagreement; High-Frequency; News; Volume; Volatility

15.

Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs

Number of pages: 60 Posted: 14 Mar 2022 Last Revised: 30 Jun 2023
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 260 (216,317)

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

16.

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 220 (253,457)

Abstract:

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Information acquisition, Trading frequency, Price efficiency