Guofu Zhou

CAFR (China Academy for Financial Research)

CAFR

Shanghai Advanced Institute of Finance

Shanghai P.R.China, 200030

China

Washington University in St. Louis - Olin School of Business

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/

View CV
SCHOLARLY PAPERS

56

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55,513

CITATIONS
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Top 2,095

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267

Scholarly Papers (56)

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 - Olin School of Business
Downloads 7,653 (424)
Citation 5

Abstract:

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 4,265 (864)

Abstract:

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

3.
Downloads 3,390 ( 2,186)

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, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 3,284 (2,266)

Abstract:

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: 04 Aug 2015
Iowa State University, University of North Carolina (UNC) at Charlotte - Finance, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 106 (213,847)

Abstract:

Predictability, Intraday, Momentum, Economic Value

4.

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 - Olin School of Business
Downloads 3,095 (2,380)
Citation 1

Abstract:

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

5.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 2,640 (1,458)

Abstract:

Momentum, crashes, downside risk, stop-loss orders

6.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 10 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) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 2,158 (2,402)

Abstract:

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

7.

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: 49 Posted: 14 Dec 2012 Last Revised: 03 Feb 2016
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) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 1,443 (5,026)

Abstract:

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

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 - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,034 (15,955)
Citation 9

Abstract:

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 - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 244 (102,716)
Citation 9

Abstract:

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

9.

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 - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,231 (8,112)
Citation 50

Abstract:

portfolio performance between advised and self-directed investors

10.

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 - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,217 (3,355)

Abstract:

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

11.

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 - Olin School of Business
Downloads 976 (16,225)
Citation 1

Abstract:

Portfolio choice, parameter uncertainty, shrinkage, admissibility

12.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 963 (18,103)
Citation 9

Abstract:

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

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 - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 958 (12,291)
Citation 10

Abstract:

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

14.

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 - Olin School of Business
Downloads 954 (16,703)
Citation 27

Abstract:

15.

Anomalies Enhanced: A Dynamic Trading Strategy

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 56 Posted: 01 Jul 2015 Last Revised: 20 Jun 2017
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 - Olin School of Business
Downloads 745 (26,326)

Abstract:

Anomaly, low frequency information, technical analysis

16.

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 - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 602 (29,165)
Citation 5

Abstract:

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

17.

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) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 554 (24,189)
Citation 1

Abstract:

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

18.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 509 (42,929)
Citation 2

Abstract:

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

19.

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 - Olin School of Business
Downloads 476 (44,908)
Citation 6

Abstract:

Portfolio choice, Parameter uncertainty, Bayesian priors

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 - Olin School of Business
Downloads 441 (51,948)
Citation 34

Abstract:

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
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - Olin School of Business
Downloads 26 (425,308)
Citation 34

Abstract:

21.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 457 (26,525)

Abstract:

Technical analysis, trend-following, asymmetric information

22.

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 - Olin School of Business
Downloads 434 (49,450)
Citation 3

Abstract:

limited participation, saving, consumption, insurance

23.

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 - Olin School of Business
Downloads 430 (22,872)

Abstract:

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

24.

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 - Olin School of Business
Downloads 427 (25,465)

Abstract:

Asymmetric comovement, entropy, asset pricing

25.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 414 (46,156)
Citation 3

Abstract:

Volatility Trading, Asset Allocation, Long-run Volatility

26.

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) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 397 (26,884)

Abstract:

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

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 - Olin School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 391 (60,218)
Citation 32

Abstract:

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 - Olin School of Business

Abstract:

28.

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 - Olin School of Business
Downloads 353 (61,002)
Citation 2

Abstract:

Predictive Regression, R-squared, Forecasting Stock Return

29.

Bond Return Predictability and Macroeconomy: The International Link

Number of pages: 56 Posted: 30 Jan 2014 Last Revised: 06 Mar 2017
Guofu Zhou and Xiaoneng Zhu
Washington University in St. Louis - Olin School of Business and Shanghai University of Finance and Economics
Downloads 291 (29,822)

Abstract:

Bond risk premia, economic value, global economic indicator, real-time macroeconomic factors, return predictability

30.

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 - Olin School of Business
Downloads 258 (50,261)

Abstract:

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

31.

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 - John Cook School of Business and Washington University in St. Louis - Olin School of Business
Downloads 258 (58,816)
Citation 2

Abstract:

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

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, Federal Reserve Board and Washington University in St. Louis - Olin School of Business
Downloads 195 (128,416)

Abstract:

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, Federal Reserve Board and Washington University in St. Louis - Olin School of Business
Downloads 43 (354,806)

Abstract:

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

33.

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 - Olin School of Business
Downloads 232 (98,497)
Citation 18

Abstract:

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

34.

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 - Olin School of Business
Downloads 221 (101,508)
Citation 1

Abstract:

long-term investment, median, quantiles

35.

Industry Interdependencies and Cross-Industry Return Predictability

Number of pages: 49 Posted: 19 Feb 2015 Last Revised: 13 Dec 2015
David Rapach, Jack Strauss, Jun Tu and Guofu Zhou
Saint Louis University - John Cook 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 - Olin School of Business
Downloads 217 (38,117)

Abstract:

Complex industry interdependencies; Predictive regression; Adaptive LASSO;Central node; Industry-rotation portfolio; Business cycle; Multifactor model; Principal components; Target-relevant factors

36.

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 - Olin School of Business
Downloads 159 (64,089)

Abstract:

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

37.

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 - Olin School of Business and Duke University - Fuqua School of Business
Downloads 137 (167,282)
Citation 17

Abstract:

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

38.

Stock Return Asymmetry: Beyond Skewness

Number of pages: 82 Posted: 16 Sep 2015 Last Revised: 30 Sep 2016
Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu
Tsinghua University, Renmin University of China, Washington University in St. Louis - Olin School of Business and Emory University
Downloads 80 (35,988)

Abstract:

Stock return asymmetry, entropy, asset pricing

39.

Manager Sentiment and Stock Returns

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 58 Posted: 21 Sep 2015 Last Revised: 14 Jan 2016
Central University of Finance and Economics (CUFE) - School of Finance, University of Georgia, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - Olin School of Business
Downloads 53 (39,493)

Abstract:

Manager Sentiment, Textual Tone, Asset Pricing, Return Predictability

40.

What Determines Expected International Asset Returns?

NBER Working Paper No. w4660
Number of pages: 55 Posted: 28 Dec 2000
Duke University - Fuqua School of Business, Washington University in St. Louis - Olin School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 52 (292,367)
Citation 30

Abstract:

41.

Corporate Activities and the Market Risk Premium

Number of pages: 48 Posted: 04 Feb 2017 Last Revised: 10 May 2017
Erik Lie, Bo Meng, Yiming Qian and Guofu Zhou
University of Iowa - Henry B. Tippie College of Business, University of Iowa - Henry B. Tippie College of Business, University of Iowa - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 0 (115,544)

Abstract:

Predictability, Corporate Activities, Information Asymmetry, Economic Value

42.

Twin Momentum

Number of pages: 46 Posted: 09 Jan 2017 Last Revised: 17 Mar 2017
Dashan Huang, Huacheng Zhang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies and Washington University in St. Louis - Olin School of Business
Downloads 0 (19,892)

Abstract:

Price Momentum, Fundamental Momentum, Twin Momentum

43.

Does Momentum Exist in Bonds of Different Ratings?

Number of pages: 64 Posted: 21 Nov 2016 Last Revised: 06 Apr 2017
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 - Olin School of Business
Downloads 0 (140,617)

Abstract:

trends; moving averages; cross-sectional predictability; corporate bond returns; momentum strategies

44.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 0 (285,377)

Abstract:

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

45.

On the Value of Portfolio Optimization in the Presence of Estimation Risk: The Case with and Without Risk-Free Asset

Rotman School of Management Working Paper No. 2819254, 29th Australasian Finance and Banking Conference 2016
Number of pages: 68 Posted: 08 Aug 2016 Last Revised: 19 Sep 2016
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - Olin School of Business
Downloads 0 (204,480)

Abstract:

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

46.

On the Value of Portfolio Optimization in the Presence of Estimation Risk: The Case with and without Risk-free Asset

Rotman School of Management Working Paper No. 2729429
Number of pages: 96 Posted: 10 Feb 2016 Last Revised: 24 Nov 2016
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - Olin School of Business
Downloads 0 (54,435)

Abstract:

Portfolio Choice, Estimation Risk, Global Minimum-Variance Portfolio, 1/N Rule

47.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
Saint Louis University - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 0 (224,683)

Abstract:

48.

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 - Olin School of Business

Abstract:

49.

Bayesian Portfolio Analysis

Annual Review of Financial Economics, Vol. 2, pp. 25-47, 2010
Posted: 12 Nov 2010
Doron Avramov and Guofu Zhou
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Washington University in St. Louis - Olin School of Business

Abstract:

50.

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 - Olin School of Business and Tsinghua University - School of Economics & Management

Abstract:

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

51.

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 - Olin School of Business

Abstract:

C22, C53, G11, G12

52.

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 - Olin School of Business and CFA Institute

Abstract:

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

53.

Beyond Black-Litterman: Letting the Data Speak

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

Abstract:

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

54.

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 - Olin School of Business

Abstract:

55.

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 - Olin School of Business

Abstract:

56.

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 - Olin School of Business

Abstract: