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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9,543

CITATIONS
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SSRN RANKINGS

Top 35,482

in Total Papers Citations

10

Scholarly Papers (6)

1.
Downloads 5,551 ( 1,222)
Citation 10

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 5,101 (1,398)
Citation 8

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 450 (61,911)
Citation 6

Abstract:

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Predictability, Intraday, Momentum, Economic Value

2.

News Momentum

Number of pages: 45 Posted: 26 Oct 2015 Last Revised: 09 Jun 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 1,384 (13,032)

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 1,366 (13,276)

Abstract:

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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 749 (32,179)
Citation 22

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 Michigan State University - Department of Finance
Downloads 336 (87,949)

Abstract:

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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 157 (185,972)

Abstract:

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Information acquisition, Trading frequency, Price efficiency