Guofu Zhou

Washington University in St. Louis - John M. Olin Business School

Frederick Bierman and James E. Spears Professor of Finance

Washington University

Campus Box 1133

St. Louis, MO 63130-4899

United States

http://apps.olin.wustl.edu/faculty/zhou/

  • Washington University in St. Louis - John M. Olin Business School

    • Email
    • Tel: 314-935-6384
    • Fax: 314-658-6359
SCHOLARLY PAPERS

119

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Scholarly Papers (119)

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1.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Yufeng Han, Ke Yang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 10,446 (870)
Citation 25

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.

Market Intraday Momentum

Downloads 10,143 ( 914)
Citation 47

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 9,027 (1,099)
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 1,116 (32,470)
Citation 10

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Predictability, Intraday, Momentum, Economic Value

3.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 8,931 (1,117)
Citation 5

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Momentum, crashes, downside risk, stop-loss orders

4.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 8,340 (1,267)
Citation 40

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Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

5.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
David Rapach, Matthew C. Ringgenberg and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 5,996 (2,224)
Citation 125

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Equity risk premium; Predictive regression; Short interest; Asset allocation

6.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 5,889 (2,285)
Citation 139

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Investor Sentiment, Asset Pricing, Return Predictability, Cash Flow, Discount Rate

7.

Twin Momentum: Fundamental Trends Matter

Number of pages: 50 Posted: 09 Jan 2017 Last Revised: 07 Jun 2021
Dashan Huang, Huacheng Zhang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, University of Edinburgh Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 4,635 (3,482)
Citation 5

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Price momentum, Fundamental momentum, Twin momentum, Information diffusion, Sticky expectation

8.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,542 (5,475)
Citation 3

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Technical analysis, trading rules, asset allocation, predictability, learning

9.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,313 (6,129)
Citation 10

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Return predictability; Mean reversion; Momentum; Market risk premium; Leading economic indicator; 200-day moving average; Business cycle

10.

Manager Sentiment and Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 21 Sep 2015 Last Revised: 13 Sep 2017
Fuwei Jiang, Joshua A. Lee, Xiumin Martin and Guofu Zhou
Central University of Finance and Economics (CUFE), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,026 (7,082)
Citation 24

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Manager Sentiment, Textual Tone, Investor Sentiment, Asset Pricing, Return Predictability

11.

Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning

Number of pages: 57 Posted: 13 Jun 2018 Last Revised: 30 Apr 2023
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,954 (7,344)
Citation 41

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Penalized regression, Forecast combination, Forecast Encompassing, Random features, Characteristic payoffs, Cross-sectional out-of-sample R-squared statistic

12.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,918 (7,493)
Citation 237

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portfolio performance between advised and self-directed investors

13.

Investor Attention and Stock Returns

Number of pages: 52 Posted: 26 Jun 2018 Last Revised: 24 Aug 2020
Jian Chen, Guohao Tang, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 2,841 (7,811)
Citation 29

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Investor Attention, Stock Return Predictability, Partial Least Square (PLS), Principal Component Analysis (PCA), Out-of-sample Forecast

14.

Technical Analysis in the Stock Market: A Review

Number of pages: 34 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,798 (7,980)
Citation 1

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Technical Analysis, Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

15.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 16 Nov 2021
Xi Dong, Yan Li, David Rapach and Guofu Zhou
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Southwestern University of Finance and Economics (SWUFE) - School of Accounting, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,779 (8,046)
Citation 47

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Out-of-sample predictability, Market excess return, Long-short anomaly portfolio return, Machine learning, Limits of arbitrage, Mispricing correction persistence

16.

Measuring Investor Sentiment

Downloads 2,582 ( 9,045)
Citation 14

Measuring Investor Sentiment

Annual Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 11 Oct 2017 Last Revised: 17 Dec 2017
Guofu Zhou
Washington University in St. Louis - John M. Olin Business School
Downloads 2,582 (8,894)
Citation 14

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sentiment, investor optimism, investor survey, textual analysis, technical analysis, predictability, behavioral finance

Measuring Investor Sentiment

Annual Review of Financial Economics, Vol. 10, pp. 239-259, 2018
Posted: 08 Nov 2018
Guofu Zhou
Washington University in St. Louis - John M. Olin Business School

Abstract:

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17.

Time-Series Momentum: Is It There?

Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61 Posted: 06 May 2018 Last Revised: 06 Oct 2020
Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 2,450 (9,821)
Citation 8

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Time-series momentum; Risk premium; Return predictability; Pooled regression

18.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
Andrew L. Detzel, Hong Liu, Jack Strauss, Guofu Zhou and Yingzi Zhu
Baylor University - Hankamer School of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,380 (10,274)
Citation 14

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Bitcoin, Cryptocurrency, Technical Analysis

19.

International Stock Return Predictability: What is the Role of the United States?

Downloads 2,288 (11,003)
Citation 14

International Stock Return Predictability: What is the Role of the United States?

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 23 May 2012
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,950 (13,955)
Citation 9

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Equity premium, Predictive regression model, Combination forecast, Information diffusion, Granger causality, Business cycle, Global financial crisis

International Stock Return Predictability: What is the Role of the United States?

Number of pages: 41 Posted: 19 Mar 2010
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 338 (148,432)
Citation 5

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Out-of-sample equity premium predictability, Predictive regression model, Combination forecast, Information diffusion, Granger causality, Business cycle, Global financial crisis

20.

Time-Series and Cross-Sectional Stock Return Forecasting: New Machine Learning Methods

Number of pages: 37 Posted: 01 Aug 2019
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,261 (11,197)
Citation 1

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Expected stock returns, Time series, Cross section, Forecast combination, Shrinkage, Elastic net

21.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,972 (13,948)
Citation 34

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equity risk premium predictability, macroeconomic variables, moving-average rules, momentum, volume, sentiment, out-of-sample forecasts, asset allocation, business cycle

22.

Expected Return, Volume, and Mispricing

Number of pages: 81 Posted: 16 May 2018 Last Revised: 20 May 2021
Yufeng Han, Dashan Huang, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Singapore Management University - Lee Kong Chian School of Business, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,968 (13,996)
Citation 16

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

23.

Stock Return Asymmetry: Beyond Skewness

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu
Tsinghua University, Renmin University of China, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,851 (15,411)
Citation 18

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Stock return asymmetry, entropy, asset pricing

24.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 48 Posted: 23 Jul 2018 Last Revised: 21 Mar 2022
Ai He, Dashan Huang, Jiaen Li and Guofu Zhou
University of South Carolina - Darla Moore School of Business, Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,785 (16,268)
Citation 8

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reduced rank, PCA, PLS, factors, factor model, cross section

25.

ESG and the Market Return

Number of pages: 71 Posted: 06 Sep 2022 Last Revised: 21 Dec 2022
Liya Chu, Kent Wang, Bohui Zhang and Guofu Zhou
East China University of Science and Technology (ECUST), University of Queensland, The Chinese University of Hong Kong, Shenzhen and Washington University in St. Louis - John M. Olin Business School
Downloads 1,753 (16,745)
Citation 1

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ESG, Return Predictability, Partial Least Square, Neural Networks, Model Complexity

26.

Risk Momentum: A New Class of Price Patterns

Number of pages: 82 Posted: 28 Mar 2022 Last Revised: 03 Aug 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 1,670 (18,117)
Citation 1

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

27.

Option Characteristics as Cross-Sectional Predictors

Number of pages: 60 Posted: 08 Mar 2021 Last Revised: 22 Sep 2023
Andreas Neuhierl, Xiaoxiao Tang, Rasmus Tangsgaard Varneskov and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Copenhagen Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,667 (18,137)
Citation 1

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Asset Pricing, Factor Models, High-dimensional Methods, Option-implied Risk

28.

Asset Pricing: Time-Series Predictability

Oxford Research Encyclopedia of Economics and Finance
Number of pages: 45 Posted: 12 Oct 2021 Last Revised: 24 Mar 2022
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,646 (18,491)

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Market excess return, Out-of-sample tests, Utility gains, Forecast combination, Principal component regression, Partial least squares, LASSO, Elastic net

29.

Trend Factor in China: The Role of Large Individual Trading

Number of pages: 85 Posted: 13 Jun 2019 Last Revised: 20 Apr 2023
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,537 (20,478)
Citation 3

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Chinese Stock Market, Individual Trading, Factor Model, Anomalies, Mutual Funds

30.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 38 Posted: 14 May 2019 Last Revised: 27 Jan 2021
Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,534 (20,540)
Citation 27

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Forecasting, PCA, Big Data, Machine Learning, Supervised Learning

31.

Diagnostics for Asset Pricing Models

Number of pages: 75 Posted: 22 Mar 2018 Last Revised: 12 Aug 2023
Ai He and Guofu Zhou
University of South Carolina - Darla Moore School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,523 (21,809)
Citation 1

Abstract:

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Asset pricing tests, factor models, machine learning, pricing errors

32.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,516 (21,028)
Citation 91

Abstract:

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Equity Risk Premium Predictability, Macroeconomic Variables, Moving-Average Rules, Momentum, Volume, Out-of-Sample Forecasts, Asset Allocation

33.

Anomalies Enhanced: A Portfolio Rebalancing Approach

Number of pages: 53 Posted: 01 Jul 2015 Last Revised: 22 Mar 2019
Yufeng Han, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,479 (21,774)

Abstract:

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Anomaly, low frequency information, volatility timing, technical analysis

34.

Forecasting Corporate Bond Returns: An Iterated Combination Approach

Number of pages: 33 Posted: 28 Oct 2013 Last Revised: 23 Jun 2016
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, State University of New York at Buffalo and Washington University in St. Louis - John M. Olin Business School
Downloads 1,455 (22,323)
Citation 1

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Predictability; corporate bonds; out-of-sample forecasts; utility gains

35.

Fama-MacBeth Two-Pass Regressions: Improving Risk Premia Estimates

Number of pages: 15 Posted: 10 Apr 2015 Last Revised: 22 Aug 2015
Jushan Bai and Guofu Zhou
Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,393 (23,793)
Citation 14

Abstract:

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Fama and MacBeth; two-pass regression; cross section; risk premia

36.

Out-of-Sample Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 48 Posted: 27 Sep 2019 Last Revised: 27 Aug 2023
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,379 (24,156)
Citation 1

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Panel predictive regression, Elastic net, Deep neural network, Asset allocation, Conditional price of risk

37.

Sentiment Across Asset Markets

Number of pages: 45 Posted: 11 Jun 2018 Last Revised: 24 Jun 2018
Dashan Huang, Heikki Lehkonen, Kuntara Pukthuanthong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, University of Jyväskylä - School of Business and Economics, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 1,378 (24,180)
Citation 6

Abstract:

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Sentiment

38.

Tests of Mean-Variance Spanning

AFA 2001 New Orleans Meetings, OLIN Working Paper No. 99-05, Rotman School of Management Working Paper
Number of pages: 66 Posted: 06 Sep 2000 Last Revised: 14 Mar 2008
Raymond Kan and Guofu Zhou
University of Toronto - Rotman School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 1,331 (25,462)
Citation 28

Abstract:

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39.

Asymmetry in Stock Comovements: An Entropy Approach

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 47 Posted: 27 Aug 2014 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu and Guofu Zhou
Tsinghua University, Renmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 1,307 (26,116)
Citation 16

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Asymmetric comovement, entropy, asset pricing

40.

Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 48 Posted: 10 Feb 2016 Last Revised: 06 Jan 2021
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,299 (26,345)
Citation 11

Abstract:

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portfolio choice, estimation risk, mean-variance optimization, optimal combining

41.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 74 Posted: 23 Jan 2018 Last Revised: 03 Mar 2023
Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,280 (26,923)

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Bond Return Predictability, Real Time Macro Data, Vintage, PCA, Big Data, Machine Learning

42.

Lottery Preference and Anomalies

Number of pages: 89 Posted: 04 Jun 2020 Last Revised: 06 Feb 2023
Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu
Tsinghua University, McDonough School of Business, Georgetown University, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,274 (27,122)

Abstract:

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Lottery preference factor, anomalies, partial least square (PLS)

43.

A Theory of Technical Trading Using Moving Averages

Number of pages: 45 Posted: 17 Sep 2013 Last Revised: 23 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,270 (27,250)
Citation 11

Abstract:

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Technical analysis, trend-following, asymmetric information

44.

Unspanned Global Macro Risks in Bond Returns

forthcoming in Management Science
Number of pages: 51 Posted: 30 Jan 2014 Last Revised: 31 Aug 2020
Feng Zhao, Guofu Zhou and Xiaoneng Zhu
University of Texas at Dallas - Jindal School of Management, Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 1,265 (27,427)
Citation 2

Abstract:

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Bond risk premia, global economic factor, real-time macroeconomic factors, return predictability, unspanning puzzle.

45.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
Jeremy Goh, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,235 (28,421)
Citation 14

Abstract:

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Bond risk premium predictability, Economic variables, Technical analysis, Moving average rules, Volume, Out-of-sample forecasts, Principal components

46.

Being Naive about Naive Diversification: Can Investment Theory be Consistently Useful

EFA 2008 Athens Meetings Paper
Number of pages: 49 Posted: 19 Mar 2008 Last Revised: 15 Nov 2013
Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,214 (29,135)
Citation 5

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Portfolio choice, parameter uncertainty, shrinkage, admissibility

47.

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

Number of pages: 38 Posted: 13 May 2009 Last Revised: 18 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,166 (30,934)
Citation 15

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Long-run Risk, Equity Risk Premium, Predictability, Variance Risk Premium

48.

Sparse Macro Factors

Number of pages: 53 Posted: 25 Oct 2018 Last Revised: 01 Feb 2021
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,149 (31,600)
Citation 2

Abstract:

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Sparse principal component analysis, FRED-MD, Risk premia, Factor-mimicking portfolio, Three-pass regression, Multifactor models

49.

Cost Behavior and Stock Returns

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 49 Posted: 01 Jul 2014 Last Revised: 14 Jul 2017
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,148 (31,636)
Citation 3

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Cost behavior; sticky costs; operating costs; investor underreaction; limits to arbitrage

50.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting; American Finance Association 2022 Annual Meeting
Number of pages: 74 Posted: 16 Oct 2020 Last Revised: 18 Jan 2022
Dashan Huang, Huacheng Zhang, Guofu Zhou and Yingzi Zhu
Singapore Management University - Lee Kong Chian School of Business, University of Edinburgh Business School, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,102 (33,460)

Abstract:

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Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

51.

Maximizing the Sharpe Ratio: A Genetic Programming Approach

Number of pages: 50 Posted: 13 Jan 2021 Last Revised: 10 Oct 2022
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,041 (36,334)
Citation 5

Abstract:

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Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

52.

ETFs, Anomalies and Market Efficiency

Number of pages: 58 Posted: 04 Apr 2022 Last Revised: 21 Jun 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 1,034 (36,867)

Abstract:

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ETF arbitrage, Anomalies, Market Efficiency

53.

Employee Sentiment and Stock Returns

Downloads 1,011 (37,806)
Citation 5

Employee Sentiment and Stock Returns

Journal of Economic Dynamics and Control, 2023
Number of pages: 53 Posted: 22 Jun 2020 Last Revised: 09 Mar 2023
Jian Chen, Guohao Tang, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 916 (42,827)
Citation 4

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

Employee Sentiment and Stock Returns

Number of pages: 55 Posted: 18 Oct 2022
Jian Chen, Guohao Tang, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University and Washington University in St. Louis - John M. Olin Business School
Downloads 95 (455,861)

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

54.

Commodity Inflation Risk Premium and Stock Market Returns

2022 University of Rochester Conference in Econometrics, Paris December Finance Meeting 2022, 2023 Annual Meeting of the Swiss Society for Financial Market Research (SGF), FMA Annual Meeting 2022, FMA-Europe 2022, EFMA 2022, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 83 Posted: 21 Sep 2022 Last Revised: 03 Jul 2023
Ai Jun Hou, Emmanouil Platanakis, Xiaoxia Ye and Guofu Zhou
Stockholm University, University of Bath - School of Management, University of Exeter Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 965 (40,365)
Citation 1

Abstract:

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Commodities, Term structure models, Predictability, Inflation risk premium, Cross-sectional asset pricing

55.

Asset Pricing: Cross-section Predictability

Number of pages: 47 Posted: 19 May 2022 Last Revised: 12 Sep 2023
Paolo Zaffaroni and Guofu Zhou
Imperial College Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 951 (41,309)
Citation 2

Abstract:

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Cross section, Fama-MacBeth regression, cross-section forecasting, factor models, fundamental models, firm characteristics, machine learning

56.

Which Hedge Fund Styles Hedge Against Bad Times?

Number of pages: 55 Posted: 18 Aug 2013 Last Revised: 24 Feb 2015
Charles Cao, David Rapach and Guofu Zhou
Pennsylvania State University, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 924 (42,928)
Citation 3

Abstract:

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Asset-based style factors, Multifactor model, Regime switching, Financial stress,Threshold regression, Portfolio performance

57.

A New Option Momentum: Compensation for Risk

Number of pages: 63 Posted: 28 Sep 2023
Heiner Beckmeyer, Ilias Filippou and Guofu Zhou
University of Münster, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 898 (44,838)

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Option, Momentum, Factor Risk, Limits to Arbitrage.

58.

Cross-Sectional Predictability of Corporate Bond Returns

Number of pages: 68 Posted: 21 Nov 2016 Last Revised: 02 Dec 2020
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 769 (55,128)
Citation 3

Abstract:

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trend signals; moving averages; cross-sectional predictability; corporate bond returns.

59.

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Downloads 730 (59,156)

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Number of pages: 54 Posted: 23 Jul 2020 Last Revised: 22 Jun 2022
Ding Chen, Biao Guo, Biao Guo and Guofu Zhou
University of Sussex Business School, Renmin University of ChinaRenmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 685 (63,395)

Abstract:

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option implied volatility; volatility skew; firm fundamentals; option puzzle

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Number of pages: 46 Posted: 28 Mar 2022
Ding Chen, Biao Guo and Guofu Zhou
University of Sussex Business School, Renmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 45 (682,487)

Abstract:

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option implied volatility, volatility skew, firm fundamentals, option puzzle

60.

Pricing Errors and Cross-sectional Predictability of Corporate Bond Returns: the Role of Investor Sentiment

Number of pages: 66 Posted: 18 Aug 2018 Last Revised: 22 Mar 2022
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
Shenzhen University - College of Economics, Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 650 (68,755)
Citation 3

Abstract:

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Pricing error; sentiment; risk factors; cross-section; bond returns

61.

Winners from Winners: A Tale of Risk Factors

Number of pages: 51 Posted: 17 Nov 2019 Last Revised: 15 Jun 2022
Siddhartha Chib, Lingxiao Zhao and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Peking University HSBC Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 646 (69,328)
Citation 7

Abstract:

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Model comparison, Factor models, Anomaly, Discount factor, Portfolio analysis

62.

Why Naive 1/N Diversification Is Not So Naive, and How to Beat It?

Number of pages: 60 Posted: 22 Dec 2021 Last Revised: 08 Sep 2023
Ming Yuan and Guofu Zhou
Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 639 (70,432)

Abstract:

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portfolio choice; estimation risk; mean-variance optimization; naıve diversification; 1/N

63.

Volatility Trading: What is the Role of the Long-Run Volatility Component?

Number of pages: 49 Posted: 28 Apr 2010 Last Revised: 14 Dec 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 639 (70,281)
Citation 7

Abstract:

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Volatility Trading, Asset Allocation, Long-run Volatility

64.

Anomalies as New Hedge Fund Factors: A Machine Learning Approach

Number of pages: 56 Posted: 10 Jan 2023 Last Revised: 14 Apr 2023
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 638 (70,555)

Abstract:

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Hedge fund, anomalies, risk factors, machine learning, performance evaluation

65.

Seeing is Believing: Annual Report "Graphicity" and Stock Returns

Number of pages: 76 Posted: 29 Dec 2020 Last Revised: 29 Sep 2023
Wesley Deng, Lei Gao, Bo Hu and Guofu Zhou
University of New South Wales - UNSW Business School, George Mason University, George Mason University and Washington University in St. Louis - John M. Olin Business School
Downloads 633 (71,263)

Abstract:

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Graphic Annual Reports, Images, Graph, Visual, Attention, Fundamental Strategy, Anomaly, Big Data

66.

Corporate Activities and the Market Risk Premium

Number of pages: 58 Posted: 04 Feb 2017 Last Revised: 28 May 2021
Erik Lie, Bo Meng, Yiming Qian and Guofu Zhou
University of Iowa - Henry B. Tippie College of Business, Sacred Heart University - Jack Welch College of Business, University of Connecticut - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 620 (72,992)
Citation 3

Abstract:

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Predictability, Corporate Activities, Information Asymmetry, Economic Value

67.

Recovering the FOMC Risk Premium

Number of pages: 61 Posted: 16 Apr 2020 Last Revised: 25 Apr 2022
Hong Liu, Xiaoxiao Tang and Guofu Zhou
Washington University in St. Louis - Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 608 (74,928)
Citation 11

Abstract:

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Options, FOMC Meeting, Risk Premium, Drift, Recovery

68.

Upper Bounds on Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, No. 2, 2017
Number of pages: 46 Posted: 18 Apr 2014 Last Revised: 24 Apr 2017
Dashan Huang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 606 (75,070)
Citation 2

Abstract:

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Return predictability, asset pricing, stochastic discount factor, habit formation, long-run risks, rare disaster

69.

Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty

Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 15 Nov 2013
Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 595 (76,844)
Citation 20

Abstract:

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Portfolio choice, Parameter uncertainty, Bayesian priors

70.

Why is the Recent Financial Crisis a ''Once-In-A-Century' Event?

Number of pages: 9 Posted: 27 Aug 2009
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 571 (80,853)

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financial crisis, Once-in-a-Century event, drawndown probability

71.

Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance

Journal of Financial Economics (JFE), Vol. 96, No. 2, 2010, AFA 2009 San Francisco Meetings Paper
Number of pages: 42 Posted: 17 Mar 2006 Last Revised: 17 Jun 2014
Todd A. Gormley, Hong Liu and Guofu Zhou
Washington University in St. Louis, Washington University in St. Louis - Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 564 (82,116)
Citation 5

Abstract:

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limited participation, saving, consumption, insurance

72.

Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations

Downloads 552 (84,392)
Citation 555

Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations

Number of pages: 61 Posted: 21 Jan 2006
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 484 (98,176)
Citation 80

Abstract:

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Fama and MacBeth, two-pass procedure, GLS, GMM

Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations

NBER Working Paper No. w12055
Number of pages: 59 Posted: 08 May 2006 Last Revised: 11 Dec 2022
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 68 (558,575)
Citation 115

Abstract:

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73.

Predictive Information in Corporate Bond Yields

Number of pages: 58 Posted: 05 Mar 2021 Last Revised: 07 Sep 2021
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
Shenzhen University - College of Economics, Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 543 (86,100)

Abstract:

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Yield Signals; Moving Averages; Cross-Sectional Predictability; Machine Learning; Corporate Bond Returns

74.

Betting Against the Crowd: Option Trading and Market Risk Premium

Number of pages: 58 Posted: 23 Dec 2022 Last Revised: 31 Dec 2022
Jie Cao, Gang Li, Xintong Zhan and Guofu Zhou
The Hong Kong Polytechnic University - School of Accounting and Finance, The Chinese University of Hong Kong, CUHK Business School, Department of Finance, School of Management, Fudan University and Washington University in St. Louis - John M. Olin Business School
Downloads 520 (90,872)

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equity option trading, index option trading, sentiment, time-series market predictability, option-implied information, trading volume

75.

How Much Stock Return Predictability Can We Expect From an Asset Pricing Model?

Number of pages: 9 Posted: 25 Sep 2009 Last Revised: 28 Apr 2010
Guofu Zhou
Washington University in St. Louis - John M. Olin Business School
Downloads 506 (93,973)
Citation 10

Abstract:

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Predictive Regression, R-squared, Forecasting Stock Return

76.

Firm Fundamental Cycle and Cross-Section of Stock Returns

Number of pages: 77 Posted: 12 Nov 2018 Last Revised: 02 Sep 2022
Yufeng Han, Zhaodan Huang, Weidong Tian and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Utica University, University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Washington University in St. Louis - John M. Olin Business School
Downloads 492 (97,165)

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Fundamental Cycle, FFI, Momentum, Reversal, PLS, PCA, Anomalies, Factor Momentum

77.

Heterogeneous Response: Fama-MacBeth Regression Extended

Number of pages: 43 Posted: 23 Mar 2022 Last Revised: 04 Jun 2023
Xiaoxiao Tang, Xiwei Tang and Guofu Zhou
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, University of Virginia and Washington University in St. Louis - John M. Olin Business School
Downloads 483 (99,709)

Abstract:

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Fama-MacBeth approach, cross-section of stock returns, long-short portfolio, out-of-sample prediction

78.

Why Naive 1/N Diversification is Not so Naive, and How to Beat it?

Number of pages: 60 Posted: 05 Dec 2022 Last Revised: 07 Sep 2023
Ming Yuan and Guofu Zhou
Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 478 (100,727)

Abstract:

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79.

Useful Factors Are Fewer Than You Think

Number of pages: 50 Posted: 22 Mar 2023 Last Revised: 05 Apr 2023
Bin Chen, Qiyang Yu and Guofu Zhou
University of Rochester - Department of Economics, University of Rochester - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 474 (101,698)

Abstract:

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Asset pricing, Anomaly, Factor model, Time series, False discovery rate, FDR

80.

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Downloads 466 (103,738)
Citation 3

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Number of pages: 70 Posted: 07 Dec 2020 Last Revised: 26 May 2023
Yufeng Han, Yueliang (Jacques) Lu, Weike Xu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 442 (109,265)
Citation 3

Abstract:

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Exogenous short-selling shock, JGTRRA, mispricing, anomalies, difference-in-differences

Mispricing and Anomalies: An Exogenous Shock to Short Selling from Jgtrra

Number of pages: 70 Posted: 02 Sep 2023
Yufeng Han, Yueliang (Jacques) Lu, Weike Xu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 24 (843,965)

Abstract:

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Exogenous short-selling shock, JGTRRA, mispricing, anomalies, difference-in-difference

81.

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Downloads 449 (108,361)

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Number of pages: 52 Posted: 15 Jan 2004
Yongmiao Hong, Guofu Zhou and Jun Tu
Cornell University - Department of Economics, Washington University in St. Louis - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 449 (107,272)
Citation 49

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Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

The Review of Financial Studies, Vol. 20, No. 5, pp. 1547-1581, 2007
Posted: 25 Jun 2008
Yongmiao Hong and Guofu Zhou
Cornell University - Department of Economics and Washington University in St. Louis - John M. Olin Business School

Abstract:

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82.

How Accurate Are Survey Forecasts on the Market?

Number of pages: 22 Posted: 29 Mar 2023
Songrun He, Jiaen Li and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 420 (117,241)

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Subjective belief, Forecast, Short interest

83.

Can Asymmetric Information in Corporate Bonds Predict Equity Market Return?

Number of pages: 67 Posted: 02 Mar 2023 Last Revised: 24 Jul 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 402 (123,285)

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Corporate bonds, predictability, lead-lag relation, asymmetric information, information diffusion

84.

Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors

Number of pages: 48 Posted: 03 Jan 2023 Last Revised: 19 Sep 2023
Hong Liu, Yueliang (Jacques) Lu, Weike Xu and Guofu Zhou
Washington University in St. Louis - Olin Business School, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 387 (128,708)

Abstract:

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Out-of-sample predictability, equity risk premium, index options, sentiment, recovery

85.

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Downloads 372 (134,632)

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Number of pages: 37 Posted: 12 Mar 2012 Last Revised: 27 Mar 2013
Longzhen Fan, Canlin Li and Guofu Zhou
Department of Finance, School of Management, Fudan University, Board of Governors of the Federal Reserve System and Washington University in St. Louis - John M. Olin Business School
Downloads 275 (184,639)

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Preferred-habitat hypothesis, Market segmentation, Ocial interest rates, Bond demand, Affine term structure model

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 37 Posted: 02 Oct 2012 Last Revised: 26 Mar 2013
Longzhen Fan, Canlin Li and Guofu Zhou
Department of Finance, School of Management, Fudan University, Board of Governors of the Federal Reserve System and Washington University in St. Louis - John M. Olin Business School
Downloads 97 (449,492)

Abstract:

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the preferred-habitat hypothesis, market segmentation, official interest rates, bond demand, affine term structure model

86.

Bayesian Inference in Asset Pricing Tests

Number of pages: 44 Posted: 08 Oct 2005
Campbell R. Harvey and Guofu Zhou
Duke University - Fuqua School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 370 (135,409)
Citation 7

Abstract:

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Asset pricing, CAPM, Bayesian finance, CAPM tests, market efficiency

87.

Does Compensation Matter? Evidence from CD&A Disclosures

Number of pages: 36 Posted: 06 Apr 2021
Xiumin Martin, Jie (Jane) Xu and Guofu Zhou
Washington University in Saint Louis - Olin School of Business, Washington University in Saint Louis, John M. Olin Business School, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 365 (137,512)

Abstract:

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Compensation Disclosure, CD&A Similarity, Predictable Returns, Textual Analysis

88.

Macroeconomic Trends and Equity Risk Premium

Number of pages: 67 Posted: 20 May 2022 Last Revised: 07 Apr 2023
Yufeng Han, Yueliang (Jacques) Lu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 356 (141,770)

Abstract:

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Equity risk premium, Out-of-sample predictability, Macro trends, Nonlinearity, Long-term information

89.

Principal Portfolios: The Multi-Signal Case

Number of pages: 11 Posted: 19 Oct 2022
Songrun He, Ming Yuan and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 351 (144,402)

Abstract:

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portfolio choice, mean-variance optimization, naive diversification, predictive signals

90.

Forecasting Stock Returns

Number of pages: 78 Posted: 12 Apr 2023
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 344 (146,688)

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Equity premium; Economic variables; Technical indicators; Forecast combination; Diffusion index; Regime shifts; Asset pricing model; Asset allocation; Business cycle

91.

What Likely Range of My Wealth Will Be?

Number of pages: 20 Posted: 19 Oct 2008 Last Revised: 07 Feb 2009
Raymond Kan and Guofu Zhou
University of Toronto - Rotman School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 323 (156,863)
Citation 1

Abstract:

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long-term investment, median, quantiles

92.

Investor Sentiment and Asset Returns: Actions Speak Louder than Words

Number of pages: 44 Posted: 13 Dec 2022
Dat Mai, Kuntara Pukthuanthong and Guofu Zhou
University of Missouri at Columbia, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 299 (170,172)

Abstract:

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sentiment, return prediction, Bitcoin, stocks, behavioral finance

93.

International Corporate Bond Returns: Uncovering Predictability Using Machine Learning

Number of pages: 45 Posted: 27 Jun 2022 Last Revised: 17 Sep 2023
Delong Li, Lei Lu, Zhen Qi and Guofu Zhou
University of Guelph - Gordon S. Lang School of Business and Economics, University of Manitoba, University of Manitoba - Asper School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 280 (182,887)
Citation 1

Abstract:

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corporate bonds; international asset pricing; machine learning; return predictability

94.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
David Rapach, Matthew C. Ringgenberg and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 269 (189,727)
Citation 4

Abstract:

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95.

Firm Characteristics and Chinese Stocks

Number of pages: 41 Posted: 19 Jul 2018
Fuwei Jiang, Guohao Tang and Guofu Zhou
Central University of Finance and Economics (CUFE), Hunan University - College of Finance and Statistics and Washington University in St. Louis - John M. Olin Business School
Downloads 268 (190,406)
Citation 2

Abstract:

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Partial Least Square, Firm Characteristics, Systematic Factor, Chinese Stock Market

96.

Do Labor Flows Matter in the Stock Market?

Number of pages: 58 Posted: 28 Jan 2022 Last Revised: 14 Sep 2023
Jian Chen, Chunmian Ge, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, South China University of Technology, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 244 (208,902)

Abstract:

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Labor flows, Hiring rate, Investor underreaction, Limited attention, Return predictability

97.

The Chinese Warrant Bubble: A Fundamental Analysis

Number of pages: 39 Posted: 11 Aug 2016
Yintian Wang, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 216 (234,832)

Abstract:

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Warrant bubble, short-selling and margin constraints, put-call parity

98.

Model Selection via Automated Machine Learning

Downloads 203 (248,677)

Model Selection via Automated Machine Learning

Number of pages: 55 Posted: 10 Jul 2023
Yuhan Cheng, Guofu Zhou and Yingzi Zhu
Tsinghua University, PBC School of Finance, Students, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 156 (313,120)

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Model Selection via Automated Machine Learning

Number of pages: 55 Posted: 05 Jul 2023
Yuhan Cheng, Guofu Zhou and Yingzi Zhu
Tsinghua University, PBC School of Finance, Students, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 47 (669,960)

Abstract:

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Model Selection; Automated Machine Learning; Factor Model; Stock Return Prediction

99.

International Asset Pricing with Alternative Distributional Specifications

Number of pages: 34 Posted: 31 Oct 2005
Guofu Zhou and Campbell R. Harvey
Washington University in St. Louis - John M. Olin Business School and Duke University - Fuqua School of Business
Downloads 198 (254,381)
Citation 8

Abstract:

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International asset pricing, CAPM, mean-variance efficiency, alternative distributions, mixtures of normals

100.

Earnings Announcements: Ex-Ante Risk Premia

Number of pages: 44 Posted: 31 Jan 2023 Last Revised: 07 Aug 2023
Hong Liu, Yingdong Mao, Xiaoxiao Tang and Guofu Zhou
Washington University in St. Louis - Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 191 (262,711)

Abstract:

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Earnings, risk premia, post-earnings drift, option market, straddles

101.

Anomaly Returns and FOMC

Number of pages: 59 Posted: 28 Mar 2023 Last Revised: 20 Apr 2023
Lin Tan, Xiaoyan Zhang and Guofu Zhou
PBCSF, Tsinghua University, Tsinghua University - PBC School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 176 (282,419)

Abstract:

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Anomaly, FOMC, CAPM, Pricing Error, Retail Investor

102.

Iterated Combination Forecast and Treasury Bond Predictability

Number of pages: 52 Posted: 13 Aug 2018
Hai Lin, Wen-Rang Liu, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, National Taiwan University - Department of Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 160 (306,254)

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

103.

Hide in the Herd: Macroeconomic Uncertainty and Analyst Forecasts Dispersion

Number of pages: 48 Posted: 31 Jan 2023
Shen Zhao and Guofu Zhou
Chinese university of Hong Kong (Shenzhen) and Washington University in St. Louis - John M. Olin Business School
Downloads 130 (361,605)

Abstract:

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Uncertainty, Dispersion, Herding Behavior, Anomalies, Momentum, Announcement Premium

104.

What Determines Expected International Asset Returns?

NBER Working Paper No. w4660
Number of pages: 55 Posted: 28 Dec 2000 Last Revised: 26 Sep 2022
Campbell R. Harvey, Guofu Zhou and Bruno Solnik
Duke University - Fuqua School of Business, Washington University in St. Louis - John M. Olin Business School and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 128 (365,815)
Citation 3

Abstract:

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105.

Did Retail Traders Take Over Wall Street? A Tick-by-Tick Analysis of GameStop's Price Surge

Number of pages: 63 Posted: 13 Sep 2023 Last Revised: 19 Sep 2023
Guofu Zhou and Zhaoque (Chosen) Zhou
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 110 (411,489)

Abstract:

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GameStop, short squeeze, gamma squeeze, institutional trading, short seller

106.

Useful Factors Are Fewer Than You Think

Number of pages: 50 Posted: 27 Mar 2023
Bin Chen, Qiyang Yu and Guofu Zhou
Department of Economics, University of Rochester, University of Rochester - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 103 (428,406)

Abstract:

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false discovery rate, factors, multiple testing, time-varying, cross-sectional returns, factor models

107.

Unspanned Risk and Risk-Return Tradeoff

Number of pages: 78 Posted: 06 Feb 2023 Last Revised: 13 Apr 2023
Huacheng Zhang and Guofu Zhou
University of Edinburgh Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 98 (443,278)

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ICAPM, Conditional risk, Unspanned Risk, Tradeoff, Knightian Uncertainty, Policy Uncertainty

108.

Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio

CEPR Discussion Paper No. DP15305
Number of pages: 117 Posted: 22 Sep 2020
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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Abstract:

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carry trade, deep neural network, Elastic Net, exchange rate predictability

109.

Volatility-Managed Portfolio: Does It Really Work?

Journal of Portfolio Management, 46(1), 2019
Posted: 13 Nov 2018 Last Revised: 13 Feb 2023
Fang Liu, Xiaoxiao Tang and Guofu Zhou
Cornell University, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School

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110.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019
David Rapach, Jack Strauss, Jun Tu and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School

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Predictive regression; LASSO; Post-selection inference; Network analysis; Industry-rotation portfolio; Multifactor model; Gradual information dffusion

111.

Bayesian Portfolio Analysis

Annual Review of Financial Economics, Vol. 2, pp. 25-47, 2010
Posted: 12 Nov 2010
Doron Avramov and Guofu Zhou
Reichman University - Interdisciplinary Center (IDC) Herzliyah and Washington University in St. Louis - John M. Olin Business School

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112.

Cross-Sectional Asset Pricing Tests

Annual Review of Financial Economics, Vol. 2, pp. 49-74, 2010
Posted: 12 Nov 2010
Ravi Jagannathan, Ernst Schaumburg and Guofu Zhou
Northwestern University - Kellogg School of Management, Federal Reserve Banks - Federal Reserve Bank of New York and Washington University in St. Louis - John M. Olin Business School

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113.

Perspectives: Is the Recent Financial Crisis Really a 'Once-in-A-Century' Event?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management

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Investment Theory, CAPM, APT, Pricing Theories, Risk Measurement and Management, Financial Markets

114.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Review of Financial Studies, Vol. 23, Issue 2, pp. 821-862, 2009
Posted: 01 Feb 2010
David E. Rapach, Jack Strauss and Guofu Zhou
Seattle University, Albers School of Business and Economics, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School

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C22, C53, G11, G12

115.

What Will the Likely Range of My Wealth Be?

Financial Analysts Journal, Vol. 65, No. 4, 2009
Posted: 09 Aug 2009
Raymond Kan, Guofu Zhou and CFA Institute
University of Toronto - Rotman School of Management, Washington University in St. Louis - John M. Olin Business School and CFA Institute

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Investment Theory, Portfolio Theory, Quantitative Tools, Econometric and Statistical Methods, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Private Wealth Management, Investment Policy Formulation

116.

Beyond Black-Litterman: Letting the Data Speak

Posted: 29 Apr 2008 Last Revised: 01 Jun 2009
Guofu Zhou
Washington University in St. Louis - John M. Olin Business School

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Black-Litterman, Bayesian, Mean-variance, Portfolio Choice, Views

117.

Measuring the Pricing Error of the Arbitrage Pricing Theory

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 16 Jun 1998
John Geweke and Guofu Zhou
University of Technology Sydney - Economics Discipline Group and Washington University in St. Louis - John M. Olin Business School

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118.

Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums

REVIEW OF FINANCIAL STUDIES, Vol 7 No 4, 1994
Posted: 24 Apr 1998
Guofu Zhou
Washington University in St. Louis - John M. Olin Business School

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119.

Temporary Components of Stock Returns: What Do the Data Tell Us?

EVIEW OF FINANCIAL STUDIES, Vol. 9 No. 4
Posted: 18 Dec 1996
Christopher G. Lamoureux and Guofu Zhou
University of Arizona and Washington University in St. Louis - John M. Olin Business School

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