Guofu Zhou

China Academy of Financial Research (CAFR)

CAFR

Shanghai Advanced Institute of Finance

Shanghai P.R.China, 200030

China

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/

SCHOLARLY PAPERS

63

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64,533

CITATIONS
Rank 2,104

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Top 2,104

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265

Scholarly Papers (63)

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 7,653 (456)
Citation 4

Abstract:

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.
Downloads 4,425 ( 1,575)

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 and Washington University in St. Louis - John M. Olin Business School
Downloads 4,190 (1,695)

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 and Washington University in St. Louis - John M. Olin Business School
Downloads 235 (116,651)

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Predictability, Intraday, Momentum, Economic Value

3.

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 4,265 (847)

Abstract:

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

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 - John M. Olin Business School
Downloads 3,095 (2,659)
Citation 1

Abstract:

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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 - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,640 (1,274)

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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), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,158 (2,214)

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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: 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 1,443 (4,382)

Abstract:

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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 - 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 1,139 (15,410)
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 265 (102,920)
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

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 - 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 1,231 (7,748)
Citation 49

Abstract:

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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 - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,217 (2,752)

Abstract:

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

11.

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 1,022 (18,430)
Citation 9

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

12.

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 976 (17,354)
Citation 1

Abstract:

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Portfolio choice, parameter uncertainty, shrinkage, admissibility

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 958 (11,561)
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.

Anomalies Enhanced: Don’t be passive as information arrives

Number of pages: 62 Posted: 01 Jul 2015 Last Revised: 02 Apr 2018
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 956 (20,425)

Abstract:

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Anomaly, low frequency information, volatility timing, technical analysis

15.

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 954 (17,908)
Citation 27

Abstract:

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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 - 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 602 (27,575)
Citation 5

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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), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 554 (23,542)

Abstract:

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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 - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 509 (46,089)
Citation 2

Abstract:

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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 - John M. Olin Business School
Downloads 476 (48,164)
Citation 6

Abstract:

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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 - John M. Olin Business School
Downloads 445 (56,531)
Citation 34

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
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 27 (451,685)
Citation 34

Abstract:

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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 - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 457 (24,797)

Abstract:

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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 - John M. Olin Business School
Downloads 434 (51,543)
Citation 3

Abstract:

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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 - John M. Olin Business School
Downloads 430 (20,620)

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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 - John M. Olin Business School
Downloads 427 (21,632)

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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 - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 414 (47,485)
Citation 4

Abstract:

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Volatility Trading, Asset Allocation, Long-run Volatility

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 402 (64,052)
Citation 32

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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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27.

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 397 (23,399)

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

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 - John M. Olin Business School
Downloads 353 (64,085)
Citation 2

Abstract:

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Predictive Regression, R-squared, Forecasting Stock Return

29.

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 291 (25,840)

Abstract:

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

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 - John M. Olin Business School
Downloads 258 (49,724)

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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 - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 258 (57,131)
Citation 2

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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 - John M. Olin Business School
Downloads 204 (134,085)

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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, Federal Reserve Board and Washington University in St. Louis - John M. Olin Business School
Downloads 47 (368,757)

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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 - John M. Olin Business School
Downloads 232 (104,238)
Citation 18

Abstract:

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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 - John M. Olin Business School
Downloads 221 (105,959)
Citation 1

Abstract:

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long-term investment, median, quantiles

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 159 (54,725)

Abstract:

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

36.

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 137 (179,651)
Citation 17

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

37.

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 Emory University
Downloads 80 (26,619)

Abstract:

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Stock return asymmetry, entropy, asset pricing

38.

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 53 (16,857)

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

39.

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 52 (303,666)
Citation 30

Abstract:

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40.

Volume and Return: The Role of Mispricing

Number of pages: 36 Posted: 16 May 2018
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 0 (413,064)

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

41.

Time-Series Momentum: Is it There?

Number of pages: 49 Posted: 06 May 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 0 (130,154)

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Time series momentum; Risk premium; Return predictability; Partial least squares

42.

Failure of Existing Factor Models in Explaining Individual Stock Returns: Evidence from a Simple Diagnostic Test

Number of pages: 48 Posted: 22 Mar 2018 Last Revised: 05 May 2018
Ai He, Dashan Huang and Guofu Zhou
Emory University, Goizueta Business School, Department of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 0 (238,732)

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

43.

Dynamic Return Dependencies Across Industries: A Machine Learning Approach

Number of pages: 50 Posted: 17 Feb 2018 Last Revised: 17 Mar 2018
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
Downloads 0 (60,290)

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

44.

Bitcoin: Learning, Predictability and Profitability via Technical Analysis

Number of pages: 48 Posted: 13 Feb 2018 Last Revised: 20 Apr 2018
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 0 (42,289)

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Bitcoin, Cryptocurrency, Technical Analysis

45.

Are Disagreements Agreeable? Evidence from Information Aggregation

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 0 (215,041)

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

46.

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 0 (55,619)

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

47.

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 Iowa - Henry B. Tippie College of Business, University of Iowa - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 0 (67,996)

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Predictability, Corporate Activities, Information Asymmetry, Economic Value

48.

Twin Momentum: Fundamental Trends Matter

Number of pages: 53 Posted: 09 Jan 2017 Last Revised: 29 Mar 2018
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 - John M. Olin Business School
Downloads 0 (10,870)

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

49.

Trend Momentum in Corporate Bonds

Number of pages: 61 Posted: 21 Nov 2016 Last Revised: 15 Jan 2018
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 0 (99,125)

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

50.

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 0 (266,879)

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

51.

On the Value of Portfolio Optimization under Estimation Risk: The Case without Risk-Free Asset

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 92 Posted: 10 Feb 2016 Last Revised: 06 Oct 2017
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 0 (35,120)

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

52.

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 0 (202,141)

Abstract:

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53.

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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54.

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 - John M. Olin Business School

Abstract:

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55.

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

56.

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

Abstract:

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C22, C53, G11, G12

57.

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

58.

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

59.

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

Abstract:

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60.

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

Abstract:

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61.

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

Abstract:

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62.

How Many Firm Characteristics Drive Us Stock Returns?

Number of pages: 57
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Emory University, Goizueta Business School, Department of Finance, Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
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Abstract:

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

63.

Sentiment Across Asset Markets

Number of pages: 40
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
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Abstract:

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Sentiment