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

6

DOWNLOADS
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Top 3,946

in Total Papers Downloads

10,152

SSRN CITATIONS
Rank 16,350

SSRN RANKINGS

Top 16,350

in Total Papers Citations

27

CROSSREF CITATIONS

26

Scholarly Papers (6)

1.
Downloads 5,933 ( 1,157)
Citation 16

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 20 Jun 2017
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
Iowa State 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 5,415 (1,337)
Citation 3

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
Iowa State 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 518 (54,357)
Citation 10

Abstract:

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Predictability, Intraday, Momentum, Economic Value

2.

News Momentum

Number of pages: 45 Posted: 26 Oct 2015 Last Revised: 29 Jul 2019
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 1,478 (12,339)
Citation 1

Abstract:

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News; Momentum; Underreaction; Attention; Expectation

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 1,435 (12,925)
Citation 2

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

4.

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 767 (32,625)
Citation 16

Abstract:

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

5.

When Shareholders Disagree: Trading After Shareholder Meetings

Fifth Annual Conference on Financial Market Regulation, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 594/2019
Number of pages: 81 Posted: 05 Jan 2018 Last Revised: 28 Jun 2019
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 381 (79,511)
Citation 4

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Shareholder Meetings, Voting, Disagreement, Trading, Volume

6.

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 158 (193,060)

Abstract:

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Information acquisition, Trading frequency, Price efficiency