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

17

DOWNLOADS
Rank 1,812

SSRN RANKINGS

Top 1,812

in Total Papers Downloads

33,496

TOTAL CITATIONS
Rank 6,168

SSRN RANKINGS

Top 6,168

in Total Papers Citations

147

Scholarly Papers (17)

1.
Downloads 12,170 ( 845)
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 10,746 (1,051)
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 1,424 (28,075)
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 - Eli Broad College of Business, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Prime Quantitative Research
Downloads 2,916 (9,270)
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 2,843 (9,663)
Citation 13

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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: 75 Posted: 28 Mar 2022 Last Revised: 23 Oct 2024
Sophia Zhengzi Li, Peixuan Yuan and Guofu Zhou
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 2,553 (11,489)
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 Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI)
Downloads 2,418 (12,549)
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: 65 Posted: 04 Apr 2022 Last Revised: 26 Apr 2024
Ilias Filippou, Songrun He, Sophia Zhengzi Li and Guofu Zhou
Florida State University, 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 1,676 (22,402)
Citation 1

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ETFs, ETF ownership, Anomalies, Market Efficiency

7.

Forecasting and Managing Correlation Risks

Number of pages: 68 Posted: 21 Nov 2022 Last Revised: 09 Sep 2024
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 Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI)
Downloads 1,366 (30,432)

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

8.
Downloads 1,336 (31,409)
Citation 1

Granular Information and Sectoral Movements

Number of pages: 47 Posted: 08 Oct 2020 Last Revised: 26 Nov 2024
Hao Jiang, Sophia Zhengzi Li and Peixuan Yuan
Michigan State University - Eli Broad College of Business, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Hong Kong Baptist University
Downloads 908 (53,626)
Citation 1

Abstract:

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Granular Information, Sectoral Movements, Exchange-Traded Funds

Granular Information and Sectoral Movements

Number of pages: 75 Posted: 30 Apr 2024
Hao Jiang, Sophia Zhengzi Li and Peixuan Yuan
Michigan State University - Eli Broad College of Business, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Hong Kong Baptist University
Downloads 428 (140,183)

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Granular Information, Sectoral Movements, Exchange-Traded Funds

9.

Anomalies as New Hedge Fund Factors

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 78 Posted: 10 Jan 2023 Last Revised: 28 Jan 2025
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, Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI) and Washington University in St. Louis - John M. Olin Business School
Downloads 1,263 (34,382)

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Hedge funds, anomalies, factor model, machine learning, performance evaluation

10.

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 1,146 (39,325)
Citation 37

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Shareholder Meetings, Voting, Disagreement, Trading, Volume

11.

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 925 (53,117)
Citation 64

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

12.

Information Transmission from Corporate Bonds to the Aggregate Stock Market

Number of pages: 61 Posted: 02 Mar 2023 Last Revised: 17 Nov 2024
Sophia Zhengzi Li, Peixuan Yuan and Guofu Zhou
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 744 (71,284)

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

13.

Pockets of Factor Pricing

Number of pages: 74 Posted: 20 Dec 2023 Last Revised: 17 Apr 2024
Sophia Zhengzi Li, Peixuan Yuan and Guofu Zhou
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 567 (101,470)

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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: 101 Posted: 13 Aug 2023 Last Revised: 22 Nov 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 481 (123,257)

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News Announcements; Disagreement; High-Frequency; Trading Volume; Volatility

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 - Eli Broad College of Business, 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 316 (196,499)

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

Do Stocks Lead Bonds? New Evidence from Corporate Bond Etfs

Number of pages: 66 Posted: 27 Aug 2024
Hao Jiang, Sophia Zhengzi Li and Yuanyuan Xiao
Michigan State University - Eli Broad College of Business, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and affiliation not provided to SSRN
Downloads 149 (409,471)

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Market Efficiency, ETF, Stocks, Bonds' Lead-Lag Relationship

16.

Momentum and Factor Momentum: A Re-Examination

Number of pages: 35 Posted: 17 Dec 2024
Cheng Gao, Sophia Zhengzi Li, Peixuan Yuan and Guofu Zhou
Soochow University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 365 (173,754)

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17.

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 262 (240,643)

Abstract:

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Information acquisition, Trading frequency, Price efficiency