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

8

DOWNLOADS
Rank 3,420

SSRN RANKINGS

Top 3,420

in Total Papers Downloads

14,152

SSRN CITATIONS
Rank 11,936

SSRN RANKINGS

Top 11,936

in Total Papers Citations

75

CROSSREF CITATIONS

28

Scholarly Papers (8)

1.
Downloads 8,125 ( 900)
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 7,314 (1,080)
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 811 (37,508)
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 2,048 (9,450)
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 1,815 (11,501)
Citation 13

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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 809 (38,152)
Citation 35

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

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 671 (49,470)
Citation 2

Abstract:

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Shareholder Meetings, Voting, Disagreement, Trading, Volume

6.

Forecasting Realized Volatility: An Automatic System Using Many Features and Many Machine Learning Algorithms

Number of pages: 62 Posted: 31 Jan 2021 Last Revised: 24 May 2021
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 270 (142,850)

Abstract:

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

7.

Granular Information and Sectoral Movements

Number of pages: 52 Posted: 08 Oct 2020 Last Revised: 06 Oct 2021
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 244 (157,980)
Citation 1

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

8.

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 170 (220,009)

Abstract:

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Information acquisition, Trading frequency, Price efficiency