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/

China Academy of Financial Research (CAFR)

CAFR

Shanghai Advanced Institute of Finance

Shanghai P.R.China, 200030

China

SCHOLARLY PAPERS

74

DOWNLOADS
Rank 125

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Top 125

in Total Papers Downloads

77,228

CITATIONS
Rank 2,104

SSRN RANKINGS

Top 2,104

in Total Papers Citations

266

Scholarly Papers (74)

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 9,271 (490)
Citation 4

Abstract:

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.

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 6,780 (845)

Abstract:

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

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 5,759 (1,130)

Abstract:

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Momentum, crashes, downside risk, stop-loss orders

4.
Downloads 5,442 ( 1,242)

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 20 Jun 2017
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 5,020 (1,410)

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
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 422 (66,335)

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Predictability, Intraday, Momentum, Economic Value

5.

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 4,020 (2,118)

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

6.

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
Saint Louis University - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 3,802 (2,340)

Abstract:

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

7.

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 3,334 (2,940)
Citation 1

Abstract:

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

8.

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 2,702 (4,207)

Abstract:

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

9.

Twin Momentum: Fundamental Trends Matter

Number of pages: 64 Posted: 09 Jan 2017 Last Revised: 10 Jan 2019
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,071 (6,558)

Abstract:

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

10.

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
Saint Louis University - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,984 (7,079)
Citation 49

Abstract:

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portfolio performance between advised and self-directed investors

11.

Manager Sentiment and Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 21 Sep 2015 Last Revised: 13 Sep 2017
Central University of Finance and Economics (CUFE), University of Georgia, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,657 (9,583)

Abstract:

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

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
Saint Louis University - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,303 (13,792)
Citation 9

Abstract:

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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
Saint Louis University - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 287 (102,761)
Citation 9

Abstract:

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

13.

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
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,525 (10,953)
Citation 10

Abstract:

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

14.

Bitcoin: Learning and Predictability via Technical Analysis

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 19 Mar 2019
University of Denver - Daniels College of Business, Washington University in St. Louis - Olin Business School, University of Denver - Reiman School of Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,185 (16,310)

Abstract:

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Bitcoin, Cryptocurrency, Technical Analysis

15.

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 1,096 (18,351)
Citation 1

Abstract:

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Portfolio choice, parameter uncertainty, shrinkage, admissibility

16.

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: 15 Jul 2017
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 1,082 (18,711)

Abstract:

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Asymmetric comovement, entropy, asset pricing

17.

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 1,081 (18,740)
Citation 27

Abstract:

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18.

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 1,069 (19,049)

Abstract:

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Anomaly, low frequency information, volatility timing, technical analysis

19.

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 - School of Economics & Finance, State University of New York at Buffalo and Washington University in St. Louis - John M. Olin Business School
Downloads 1,067 (19,101)

Abstract:

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

20.

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 1,057 (19,349)
Citation 8

Abstract:

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

21.

Stock Return Asymmetry: Beyond Skewness

Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 20 Apr 2018
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 1,023 (20,300)

Abstract:

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Stock return asymmetry, entropy, asset pricing

22.

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 952 (22,612)

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

23.

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 948 (22,761)

Abstract:

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

24.

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 946 (22,815)

Abstract:

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Technical analysis, trend-following, asymmetric information

25.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 896 (24,756)
Citation 5

Abstract:

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

26.

Unspanned Global Macro Risks in Bond Returns

Number of pages: 38 Posted: 30 Jan 2014 Last Revised: 03 Aug 2017
Guofu Zhou and Xiaoneng Zhu
Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 879 (25,434)

Abstract:

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

27.

Time-Series Momentum: Is It There?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 06 May 2018 Last Revised: 15 Apr 2019
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University, Lee Kong Chian School of Business, Students, Singapore Management University - School of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 850 (26,667)

Abstract:

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

28.

What Firm Characteristics Drive US Stock Returns?

Number of pages: 62 Posted: 13 Jun 2018 Last Revised: 18 Oct 2018
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Department of Finance, Goizueta Business School, Emory University, Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 828 (27,671)

Abstract:

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Firm characteristics, Cross-sectional expected stock returns, Combination forecast, Machine learning, Forecast encompassing

29.
Downloads 802 ( 28,897)

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 802 (28,439)

Abstract:

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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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30.

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: 52 Posted: 10 Feb 2016 Last Revised: 29 Oct 2018
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 762 (31,018)

Abstract:

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portfolio choice, estimation risk, global minimum-variance portfolio, 1/N rule

31.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 62 Posted: 23 Jul 2018 Last Revised: 31 Jan 2019
Dashan Huang, Jiaen Li and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 568 (46,270)

Abstract:

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

32.

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 546 (48,308)

Abstract:

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

33.

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 534 (49,718)
Citation 4

Abstract:

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Volatility Trading, Asset Allocation, Long-run Volatility

34.

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 533 (49,830)
Citation 2

Abstract:

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

35.

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 526 (50,698)
Citation 6

Abstract:

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Portfolio choice, Parameter uncertainty, Bayesian priors

36.

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 522 (51,188)

Abstract:

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

37.

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, Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 498 (54,265)
Citation 2

Abstract:

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

38.

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 497 (54,401)
Citation 3

Abstract:

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limited participation, saving, consumption, insurance

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 450 (61,010)
Citation 35

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: 02 Jul 2009
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 29 (473,813)
Citation 35

Abstract:

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40.

Cross-Sectional Predictability of Corporate Bond Returns

Number of pages: 83 Posted: 21 Nov 2016 Last Revised: 13 Mar 2019
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 464 (59,371)

Abstract:

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

41.

Corporate Activities and the Market Risk Premium

Number of pages: 58 Posted: 04 Feb 2017 Last Revised: 07 Feb 2018
Erik Lie, Bo Meng, Yiming Qian and Guofu Zhou
University of Iowa - Henry B. Tippie College of Business, University of Richmond, University of Iowa - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 445 (62,443)

Abstract:

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Predictability, Corporate Activities, Information Asymmetry, Economic Value

42.

Investor Attention and Stock Returns

Number of pages: 56 Posted: 26 Jun 2018 Last Revised: 23 Jan 2019
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 442 (62,973)

Abstract:

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Investor Attention, Stock Return Predictability, Partial Least Square (PLS), Out-of- Sample Forecast

43.

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 423 (66,390)
Citation 2

Abstract:

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Predictive Regression, R-squared, Forecasting Stock Return

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

14th Annual Conference on Financial Economics and Accounting (FEA)
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 409 (68,512)
Citation 32

Abstract:

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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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45.

Volume and Return: Fuel of Mispricing

Number of pages: 67 Posted: 16 May 2018 Last Revised: 08 Mar 2019
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 395 (72,485)

Abstract:

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

46.

An Information Factor: Can Informed Traders Make Abnormal Profits?

Number of pages: 46 Posted: 30 Jul 2018
Southern Methodist University, Washington University in Saint Louis - Olin School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 376 (76,269)

Abstract:

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Informed Trading, Insider Trading, Short Selling, Option Trading, Hedge Funds

47.

Sentiment Across Asset Markets

Number of pages: 45 Posted: 11 Jun 2018 Last Revised: 24 Jun 2018
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 373 (77,004)

Abstract:

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Sentiment

48.

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 284 (104,446)
Citation 18

Abstract:

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

49.

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 264 (112,860)
Citation 1

Abstract:

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long-term investment, median, quantiles

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 210 (141,491)

Abstract:

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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 52 (379,284)

Abstract:

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

51.

Failure of Factor Models in Explaining Individual Stock Returns: Evidence from a Predictability Test

Number of pages: 53 Posted: 22 Mar 2018 Last Revised: 01 Oct 2018
Ai He, Dashan Huang and Guofu Zhou
Department of Finance, Goizueta Business School, Emory University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 252 (118,488)

Abstract:

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Pricing error, Characteristic, Lottery, Expectation extrapolation, Limits-to-arbitrage

52.

Sparse Macro Factors

Number of pages: 49 Posted: 25 Oct 2018 Last Revised: 02 Feb 2019
David Rapach and Guofu Zhou
Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 251 (118,956)

Abstract:

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Sparse Principal Component Aanalysis, FRED-MD, Risk Premia, Factor Mimicking Portfolio, Three-Pass Regression, Multifactor Models

53.

Are Disagreements Agreeable? Evidence from Information Aggregation

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 44 Posted: 04 Dec 2017 Last Revised: 01 Apr 2018
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University, Lee Kong Chian School of Business, Students, Singapore Management University - School of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 223 (133,849)

Abstract:

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Disagreement; Market risk premium; Predictability; Information aggregation; PLS

54.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 52 Posted: 23 Jan 2018 Last Revised: 05 Mar 2019
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 173 (169,281)

Abstract:

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

55.

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 158 (183,048)
Citation 17

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

56.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
Saint Louis University - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 155 (185,922)

Abstract:

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57.

Momentum, Reversal, and the Firm Fundamental Cycle

Number of pages: 54 Posted: 12 Nov 2018 Last Revised: 20 Nov 2018
University of North Carolina (UNC) at Charlotte - Finance, Utica College, 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 145 (196,522)

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Momentum, Reversal, Firm Fundamental Cycles, PLS, PCA

58.

Investor Sentiment and the Cross-Section of Corporate Bond Returns

Number of pages: 57 Posted: 18 Aug 2018 Last Revised: 14 Mar 2019
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
State University of New York at Buffalo, Victoria University of Wellington - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 132 (211,959)

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Sentiment; Residuals; Risk Factors; Cross-Section; Bond Returns

59.

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 131 (214,574)

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

60.

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 104 (252,554)

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

61.

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 - 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 73 (314,786)

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

62.

What Determines Expected International Asset Returns?

NBER Working Paper No. w4660
Number of pages: 55 Posted: 28 Dec 2000 Last Revised: 30 Sep 2010
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 73 (314,786)
Citation 30

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63.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 21 Posted: 14 May 2019
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 58 (354,682)

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

64.

Volatility-Managed Portfolio: Does It Really Work?

Posted: 13 Nov 2018 Last Revised: 21 May 2019
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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65.

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
Saint Louis University - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance, 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

66.

Bayesian Portfolio Analysis

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

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67.

Cross-Sectional Asset Pricing Tests

Annual Review of Financial Economics, Vol. 2, pp. 49-74, 2010
Posted: 12 Nov 2010
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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68.

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

69.

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 - Reiman School of Finance and Washington University in St. Louis - John M. Olin Business School

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C22, C53, G11, G12

70.

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

71.

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

72.

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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73.

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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74.

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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