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/

SCHOLARLY PAPERS

138

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192,829

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2,380

CROSSREF CITATIONS

1,001

Scholarly Papers (138)

1.
Downloads 11,346 ( 873)
Citation 61

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 Jan 2020
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 10,036 (1,062)
Citation 14

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Predictability, Intraday, Momentum, Economic Value

Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

Number of pages: 49 Posted: 12 Mar 2015 Last Revised: 16 Dec 2017
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 1,310 (29,298)
Citation 10

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Predictability, Intraday, Momentum, Economic Value

2.

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

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Yufeng Han, Ke Yang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 10,671 (971)
Citation 35

Abstract:

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Technical Analysis, Moving Average, Anomaly, Market Timing

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 9,453 (1,180)
Citation 6

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Momentum, crashes, downside risk, stop-loss orders

4.

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

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 8,739 (1,365)
Citation 59

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

5.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 6,484 (2,238)
Citation 167

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

6.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 6,442 (2,267)
Citation 431

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

7.

Twin Momentum: Fundamental Trends Matter

Number of pages: 50 Posted: 09 Jan 2017 Last Revised: 07 Jun 2021
Dashan Huang, Huacheng Zhang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, University of Edinburgh Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 4,999 (3,535)
Citation 5

Abstract:

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

8.

Technical Analysis in the Stock Market: A Review

Number of pages: 34 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 4,364 (4,447)
Citation 6

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

9.

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

Number of pages: 41 Posted: 13 Jun 2018 Last Revised: 11 Jul 2024
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 3,623 (6,088)
Citation 41

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Penalized regression, Forecast combination, Forecast encompassing, Characteristic payoff, Cross-sectional out-of-sample R-squared statistic

10.

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 3,582 (6,193)
Citation 3

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

11.

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

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,395 (6,765)
Citation 10

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

12.

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), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,268 (7,157)
Citation 24

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

13.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 16 Nov 2021
Xi Dong, Yan Li, David Rapach and Guofu Zhou
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Southwestern University of Finance and Economics (SWUFE) - School of Accounting, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 3,209 (7,367)
Citation 68

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

14.

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

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 3,197 (7,410)
Citation 292

Abstract:

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portfolio performance between advised and self-directed investors

15.

Investor Attention and Stock Returns

Number of pages: 52 Posted: 26 Jun 2018 Last Revised: 24 Aug 2020
Jian Chen, Guohao Tang, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 3,195 (7,420)
Citation 66

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

16.
Downloads 2,869 ( 8,777)

Measuring Investor Sentiment

Annual Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 11 Oct 2017 Last Revised: 17 Dec 2017
Guofu Zhou
Washington University in St. Louis - John M. Olin Business School
Downloads 2,869 (8,632)
Citation 14

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

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17.

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

Number of pages: 37 Posted: 01 Aug 2019
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,661 (9,925)
Citation 1

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

18.

Time-Series Momentum: Is It There?

Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61 Posted: 06 May 2018 Last Revised: 06 Oct 2020
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 2,617 (10,184)
Citation 8

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

19.

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

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
Baylor University - Hankamer School of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,591 (10,347)
Citation 14

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Bitcoin, Cryptocurrency, Technical Analysis

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

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 23 May 2012
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,075 (14,431)
Citation 9

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

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

Number of pages: 41 Posted: 19 Mar 2010
David Rapach, Jack Strauss and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 356 (159,200)
Citation 54

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

21.

Risk Momentum: A New Class of Price Patterns

Number of pages: 81 Posted: 28 Mar 2022 Last Revised: 17 Apr 2024
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 2,218 (13,293)
Citation 2

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

22.

Asset Pricing: Time-Series Predictability

Oxford Research Encyclopedia of Economics and Finance
Number of pages: 45 Posted: 12 Oct 2021 Last Revised: 24 Mar 2022
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,129 (14,154)

Abstract:

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

23.

Expected Return, Volume, and Mispricing

Number of pages: 81 Posted: 16 May 2018 Last Revised: 20 May 2021
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 2,107 (14,376)
Citation 26

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

24.

ESG and the Market Return

Number of pages: 71 Posted: 06 Sep 2022 Last Revised: 21 Dec 2022
Liya Chu, Kent Wang, Bohui Zhang and Guofu Zhou
East China University of Science and Technology (ECUST), University of Queensland, The Chinese University of Hong Kong, Shenzhen and Washington University in St. Louis - John M. Olin Business School
Downloads 2,043 (15,079)
Citation 1

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

25.

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, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,042 (15,079)
Citation 42

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

26.

Stock Return Asymmetry: Beyond Skewness

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu
Kent State University, Renmin University of China - School of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,971 (15,935)
Citation 27

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Stock return asymmetry, entropy, asset pricing

27.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 48 Posted: 23 Jul 2018 Last Revised: 21 Mar 2022
Ai He, Dashan Huang, Jiaen Li and Guofu Zhou
University of South Carolina - Darla Moore School of Business, Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,950 (16,220)
Citation 11

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

28.

Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section?

Number of pages: 54 Posted: 08 Mar 2021 Last Revised: 21 Feb 2024
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Copenhagen Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,939 (16,359)
Citation 1

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

29.

Unusual Financial Communication - Evidence from ChatGPT, Earnings Calls, and the Stock Market

Olin Business School Center for Finance & Accounting Research Paper No. 2024/02
Number of pages: 66 Posted: 08 Feb 2024 Last Revised: 14 Jun 2024
University of Münster - Finance Center Münster, University of Münster, Washington University in St. Louis - John M. Olin Business School, University of Münster - Finance Center Münster and Washington University in St. Louis - John M. Olin Business School
Downloads 1,937 (16,397)
Citation 1

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AI, ChatGPT, Earnings Announcements, Earnings Call, Financial Communication, Textual Analysis

30.

Trend Factor in China: The Role of Large Individual Trading

Olin Business School Center for Finance & Accounting Research Paper No. Forthcoming
Number of pages: 89 Posted: 13 Jun 2019 Last Revised: 06 Feb 2024
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,879 (17,241)
Citation 3

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

31.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 38 Posted: 14 May 2019 Last Revised: 27 Jan 2021
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,821 (18,120)
Citation 39

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

32.

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, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,819 (18,150)
Citation 121

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

33.

Economic Fundamentals and Short-Run Exchange Rate Prediction: A Machine Learning Perspective

Number of pages: 50 Posted: 27 Sep 2019 Last Revised: 19 Dec 2023
Washington University in St. Louis - John M. Olin Business School, Research Department, Federal Reserve Bank of Atlanta, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,655 (20,994)
Citation 1

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Economic fundamentals, Exchange rate forecasting, Panel predictive regression, Elastic net, Deep neural network, Asset allocation, Conditional price of risk

34.

Diagnostics for Asset Pricing Models

Number of pages: 75 Posted: 22 Mar 2018 Last Revised: 12 Aug 2023
Ai He and Guofu Zhou
University of South Carolina - Darla Moore School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,644 (21,809)
Citation 1

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

35.

Which Proxy: Capturing Lottery Preference through Aggregation

Number of pages: 91 Posted: 04 Jun 2020 Last Revised: 09 Feb 2024
Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu
Kent State University, McDonough School of Business, Georgetown University, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,542 (23,426)

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

36.

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 1,531 (23,651)

Abstract:

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Anomaly, low frequency information, volatility timing, technical analysis

37.

Forecasting Corporate Bond Returns: An Iterated Combination Approach

Number of pages: 33 Posted: 28 Oct 2013 Last Revised: 23 Jun 2016
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, State University of New York at Buffalo and Washington University in St. Louis - John M. Olin Business School
Downloads 1,529 (23,697)
Citation 1

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

38.

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 1,489 (24,647)
Citation 7

Abstract:

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Sentiment

39.

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

Number of pages: 15 Posted: 10 Apr 2015 Last Revised: 22 Aug 2015
Jushan Bai and Guofu Zhou
Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,487 (24,710)
Citation 18

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

40.

Empirical Asset Pricing with Probability Forecasts

Number of pages: 41 Posted: 28 Feb 2024
Songrun He, Linying Lv and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Zhejiang University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,445 (25,806)

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Probability Forecast, Machine Learning, Asset Pricing

41.

ETFs, Anomalies and Market Efficiency

Number of pages: 65 Posted: 04 Apr 2022 Last Revised: 26 Apr 2024
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 1,444 (25,806)
Citation 1

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ETFs, ETF ownership, Anomalies, Market Efficiency

42.

Maximizing the Sharpe Ratio: A Genetic Programming Approach

Number of pages: 66 Posted: 13 Jan 2021 Last Revised: 29 May 2024
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,409 (26,796)
Citation 5

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JEL Classification: G12, G14, G15 Machine Learning, Genetic Programming, Cross-sectional Returns, Portfolio Optimization

43.

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

29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 48 Posted: 10 Feb 2016 Last Revised: 06 Jan 2021
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,409 (26,778)
Citation 11

Abstract:

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

44.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 74 Posted: 23 Jan 2018 Last Revised: 03 Mar 2023
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,408 (26,796)

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

45.

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 1,386 (27,413)
Citation 35

Abstract:

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46.

A Theory of Technical Trading Using Moving Averages

Number of pages: 45 Posted: 17 Sep 2013 Last Revised: 23 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,359 (28,203)
Citation 11

Abstract:

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Technical analysis, trend-following, asymmetric information

47.

Asset Pricing: Cross-section Predictability

Number of pages: 47 Posted: 19 May 2022 Last Revised: 12 Sep 2023
Paolo Zaffaroni and Guofu Zhou
Imperial College Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,351 (28,437)
Citation 1

Abstract:

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

48.

Asymmetry in Stock Comovements: An Entropy Approach

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 47 Posted: 27 Aug 2014 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu and Guofu Zhou
Kent State University, Renmin University of China - School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,348 (28,532)
Citation 20

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Asymmetric comovement, entropy, asset pricing

49.

Unspanned Global Macro Risks in Bond Returns

forthcoming in Management Science
Number of pages: 51 Posted: 30 Jan 2014 Last Revised: 31 Aug 2020
Feng Zhao, Guofu Zhou and Xiaoneng Zhu
University of Texas at Dallas - Jindal School of Management, Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 1,309 (29,839)
Citation 2

Abstract:

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

50.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
Jeremy Goh, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,274 (31,063)
Citation 14

Abstract:

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

51.

Sparse Macro Factors

Number of pages: 53 Posted: 25 Oct 2018 Last Revised: 01 Feb 2021
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 1,269 (31,230)
Citation 1

Abstract:

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

52.

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 1,247 (32,047)
Citation 5

Abstract:

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Portfolio choice, parameter uncertainty, shrinkage, admissibility

53.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting; American Finance Association 2022 Annual Meeting
Number of pages: 67 Posted: 16 Oct 2020 Last Revised: 26 Dec 2023
Singapore Management University - Lee Kong Chian School of Business, University of Edinburgh Business School, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,244 (32,159)

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Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

54.

ChatGPT, Stock Market Predictability and Links to the Macroeconomy

Olin Business School Center for Finance & Accounting Research Paper No. 2023/18
Number of pages: 70 Posted: 20 Dec 2023 Last Revised: 14 Jun 2024
Jian Chen, Guohao Tang, Guofu Zhou and Wu Zhu
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and School of Economics and Management, Tsinghua University
Downloads 1,234 (32,553)
Citation 2

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LLMs, ChatGPT, Textual Analysis, NLP, Return Predictability

55.

Commodity Inflation Risk Premium: Evidence from the Cross-Section of Commodity Futures

2022 University of Rochester Conference in Econometrics, Paris December Finance Meeting 2022, 2023 Annual Meeting of the Swiss Society for Financial Market Research (SGF), FMA Annual Meeting 2022, FMA-Europe 2022, CFE Berlin 2023, EFMA 2022, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 56 Posted: 21 Sep 2022 Last Revised: 30 May 2024
Stockholm University, University of Bath - School of Management, University of Exeter Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,222 (32,971)
Citation 1

Abstract:

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Commodities, Term structure models, Predictability, Inflation risk premium, Cross-sectional asset pricing JEL Classification: G12, G13, G17, Q02

56.

Cost Behavior and Stock Returns

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 49 Posted: 01 Jul 2014 Last Revised: 14 Jul 2017
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,192 (34,164)
Citation 3

Abstract:

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

57.

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 1,184 (34,485)
Citation 15

Abstract:

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

58.
Downloads 1,173 (34,958)
Citation 11

Employee Sentiment and Stock Returns

Journal of Economic Dynamics and Control, 2023
Number of pages: 53 Posted: 22 Jun 2020 Last Revised: 09 Mar 2023
Jian Chen, Guohao Tang, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,045 (40,612)
Citation 6

Abstract:

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

Employee Sentiment and Stock Returns

Number of pages: 55 Posted: 18 Oct 2022
Jian Chen, Guohao Tang, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University and Washington University in St. Louis - John M. Olin Business School
Downloads 128 (417,827)

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Employee Sentiment, Glassdoor, Return Predictability, Extrapolative Expectation

59.

A New Option Momentum: Compensation for Risk

Number of pages: 53 Posted: 28 Sep 2023 Last Revised: 28 Jun 2024
University of Münster, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,115 (37,551)

Abstract:

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Option, Momentum, Factor Risk, Limits to Arbitrage JEL classification: G11, G12, G14, G40

60.

Anomalies as New Hedge Fund Factors

Number of pages: 60 Posted: 10 Jan 2023 Last Revised: 16 Feb 2024
Texas A&M University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI) and Washington University in St. Louis - John M. Olin Business School
Downloads 994 (44,329)

Abstract:

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Hedge funds, anomalies, risk factors, shrinkage techniques, performance evaluation

61.

Which Hedge Fund Styles Hedge Against Bad Times?

Number of pages: 55 Posted: 18 Aug 2013 Last Revised: 24 Feb 2015
Charles Cao, David Rapach and Guofu Zhou
Pennsylvania State University, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 983 (45,064)
Citation 3

Abstract:

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

62.

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

Number of pages: 60 Posted: 22 Dec 2021 Last Revised: 08 Sep 2023
Ming Yuan and Guofu Zhou
Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 872 (53,179)

Abstract:

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

63.

Option Expected Hedging Demand

Number of pages: 45 Posted: 07 Mar 2024 Last Revised: 22 May 2024
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 861 (54,043)

Abstract:

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Stock options; Elasticity of delta; Expected hedging demand; Delta hedging.

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Number of pages: 54 Posted: 23 Jul 2020 Last Revised: 22 Jun 2022
Ding Chen, Biao Guo, Biao Guo and Guofu Zhou
University of Sussex Business School, Renmin University of ChinaRenmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 774 (61,499)

Abstract:

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

Firm Fundamentals and the Cross Section of Implied Volatility Shapes

Number of pages: 46 Posted: 28 Mar 2022
Ding Chen, Biao Guo and Guofu Zhou
University of Sussex Business School, Renmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 62 (670,992)

Abstract:

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

65.

Forecasting Stock Returns

Number of pages: 78 Posted: 12 Apr 2023
David Rapach and Guofu Zhou
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 822 (57,571)

Abstract:

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

66.

Cross-Sectional Predictability of Corporate Bond Returns

Number of pages: 68 Posted: 21 Nov 2016 Last Revised: 02 Dec 2020
Hai Lin, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 814 (58,277)
Citation 3

Abstract:

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

67.

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

Number of pages: 76 Posted: 29 Dec 2020 Last Revised: 29 Sep 2023
Wesley Deng, Lei Gao, Bo Hu and Guofu Zhou
University of New South Wales - UNSW Business School, George Mason University, George Mason University and Washington University in St. Louis - John M. Olin Business School
Downloads 798 (59,929)

Abstract:

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

68.

Betting Against the Crowd: Option Trading and Market Risk Premium

Number of pages: 58 Posted: 23 Dec 2022 Last Revised: 31 Dec 2022
Jie Cao, Gang Li, Xintong Zhan and Guofu Zhou
The Hong Kong Polytechnic University - School of Accounting and Finance, The Chinese University of Hong Kong, CUHK Business School, Department of Finance, School of Management, Fudan University and Washington University in St. Louis - John M. Olin Business School
Downloads 788 (60,976)

Abstract:

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

69.

Winners from Winners: A Tale of Risk Factors

Number of pages: 51 Posted: 17 Nov 2019 Last Revised: 15 Jun 2022
Siddhartha Chib, Lingxiao Zhao and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Peking University HSBC Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 750 (65,183)
Citation 10

Abstract:

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

70.

Recovering the FOMC Risk Premium

Number of pages: 61 Posted: 16 Apr 2020 Last Revised: 25 Apr 2022
Hong Liu, Xiaoxiao Tang and Guofu Zhou
Washington University in St. Louis - Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 734 (66,962)
Citation 24

Abstract:

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Options, FOMC Meeting, Risk Premium, Drift, Recovery

71.

Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors

Number of pages: 55 Posted: 03 Jan 2023 Last Revised: 23 May 2024
Washington University in St. Louis - Olin Business School, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 725 (67,962)

Abstract:

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Out-of-sample predictability, equity risk premium, state-dependent option bound, option-implied information, recovery

72.

Pricing Errors, Behavioral Bias, and Bond Return Predictability

Number of pages: 63 Posted: 18 Aug 2018 Last Revised: 23 May 2024
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
Shenzhen University - College of Economics, Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 715 (69,223)
Citation 3

Abstract:

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Pricing error; risk factors; behavioral bias; cross-section; bond return predictability.

73.

The Value of Data: Analyst Vs. Machine

Number of pages: 83 Posted: 27 Jun 2019 Last Revised: 12 Dec 2023
Stevens Institute of Technology - School of Business, U.S. Securities and Exchange Commission, Stevens Institute of Technology - School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 698 (71,832)

Abstract:

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Analyst Reports, Information Processing, Machine Learning, Portfolio Construction, Sell-Side Analysts, Textual Analysis

74.

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 675 (74,661)
Citation 7

Abstract:

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Volatility Trading, Asset Allocation, Long-run Volatility

75.

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

Number of pages: 80 Posted: 13 Sep 2023 Last Revised: 19 Jun 2024
Guofu Zhou and Zhaoque (Chosen) Zhou
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 647 (78,922)

Abstract:

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

76.

Corporate Activities and the Market Risk Premium

Number of pages: 58 Posted: 04 Feb 2017 Last Revised: 28 May 2021
Erik Lie, Bo Meng, Yiming Qian and Guofu Zhou
University of Iowa - Henry B. Tippie College of Business, Sacred Heart University - Jack Welch College of Business, University of Connecticut - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 644 (79,095)
Citation 3

Abstract:

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Predictability, Corporate Activities, Information Asymmetry, Economic Value

77.

Link Complexity and Cross-Predictability

Number of pages: 67 Posted: 17 Jan 2020 Last Revised: 03 Dec 2023
Guofu Zhou and Wu Zhu
Washington University in St. Louis - John M. Olin Business School and School of Economics and Management, Tsinghua University
Downloads 641 (79,969)
Citation 1

Abstract:

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Return Cross Predictability, Citation Networks, Information Complexity, Link Complexity, Limited Investor Attention, Innovation, Asset Pricing

78.

Heterogeneous Reactions in Financial Market: Evidence from Artificial Intelligence Learning

Number of pages: 57 Posted: 23 Mar 2022 Last Revised: 10 Apr 2024
Xiaoxiao Tang, Xiwei Tang and Guofu Zhou
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, University of Virginia and Washington University in St. Louis - John M. Olin Business School
Downloads 635 (80,616)

Abstract:

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

79.

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 629 (81,384)
Citation 2

Abstract:

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

80.

Principal Portfolios: The Multi-Signal Case

Number of pages: 12 Posted: 19 Oct 2022 Last Revised: 16 Feb 2024
Songrun He, Ming Yuan and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 627 (81,713)

Abstract:

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

81.

How Accurate Are Survey Forecasts on the Market?

Number of pages: 44 Posted: 29 Mar 2023 Last Revised: 07 Jul 2024
Songrun He, Jiaen Li, Linying Lv and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School, Zhejiang University and Washington University in St. Louis - John M. Olin Business School
Downloads 623 (82,416)

Abstract:

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Subjective Belief, Livingston Survey, CFO Survey, Michigan Survey of Consumers, Analyst Expectations

82.

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 623 (82,416)
Citation 22

Abstract:

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Portfolio choice, Parameter uncertainty, Bayesian priors

83.

Information Transmission from Corporate Bonds to the Aggregate Stock Market

Number of pages: 76 Posted: 02 Mar 2023 Last Revised: 17 Apr 2024
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 622 (82,750)

Abstract:

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Corporate bond skewness, term structure, predictability, lead-lag relation, market segmentation, information diffusion

84.

Useful Factors Are Fewer Than You Think

Number of pages: 55 Posted: 22 Mar 2023 Last Revised: 05 Apr 2023
Bin Chen, Qiyang Yu and Guofu Zhou
University of Rochester - Department of Economics, University of Rochester - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 613 (84,067)

Abstract:

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

85.

Predictive Information in Corporate Bond Yields

Number of pages: 58 Posted: 05 Mar 2021 Last Revised: 07 Sep 2021
Xu Guo, Hai Lin, Chunchi Wu and Guofu Zhou
Shenzhen University - College of Economics, Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 612 (84,232)

Abstract:

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

86.

Macroeconomic Trends and Equity Risk Premium

Number of pages: 50 Posted: 20 May 2022 Last Revised: 24 Feb 2024
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 604 (85,647)

Abstract:

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Equity risk premium, Out-of-sample return predictability, Macro trends, Moving averages, Neural networks

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 497 (108,031)
Citation 80

Abstract:

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

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

NBER Working Paper No. w12055
Number of pages: 59 Posted: 08 May 2006 Last Revised: 11 Dec 2022
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 101 (499,617)
Citation 154

Abstract:

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88.

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 585 (89,251)

Abstract:

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

89.

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 577 (90,782)
Citation 5

Abstract:

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limited participation, saving, consumption, insurance

90.

Overnight-Intraday Reversal Everywhere

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 52 Posted: 11 Feb 2016 Last Revised: 13 Sep 2023
University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics, Tsinghua University, School of Economics and Management, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 571 (91,955)
Citation 1

Abstract:

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Overnight return, Intraday return, Short-term reversal, Liquidity provision

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

Number of pages: 70 Posted: 07 Dec 2020 Last Revised: 26 May 2023
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 513 (103,864)
Citation 3

Abstract:

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

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

Number of pages: 70 Posted: 02 Sep 2023
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 55 (712,072)

Abstract:

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

92.

Firm Fundamental Cycle and Cross-Section of Stock Returns

Number of pages: 77 Posted: 12 Nov 2018 Last Revised: 02 Sep 2022
University of North Carolina (UNC) at Charlotte - Finance, Utica University, University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Washington University in St. Louis - John M. Olin Business School
Downloads 562 (93,845)

Abstract:

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

93.

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

Number of pages: 60 Posted: 05 Dec 2022 Last Revised: 07 Sep 2023
Ming Yuan and Guofu Zhou
Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 557 (94,905)

Abstract:

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94.

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 530 (100,974)
Citation 12

Abstract:

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Predictive Regression, R-squared, Forecasting Stock Return

95.

Investor Sentiment and Asset Returns: Actions Speak Louder than Words

Number of pages: 44 Posted: 13 Dec 2022
Dat Mai, Kuntara Pukthuanthong and Guofu Zhou
University of Missouri at Columbia, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 478 (114,681)

Abstract:

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sentiment, return prediction, Bitcoin, stocks, behavioral finance

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Number of pages: 52 Posted: 15 Jan 2004
Yongmiao Hong, Guofu Zhou and Jun Tu
Cornell University - Department of Economics, Washington University in St. Louis - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 466 (116,612)
Citation 49

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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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 303 (189,234)

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 134 (402,965)

Abstract:

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

98.

Does Compensation Matter? Evidence from CD&A Disclosures

Number of pages: 36 Posted: 06 Apr 2021
Xiumin Martin, Jie (Jane) Xu and Guofu Zhou
Washington University in Saint Louis - Olin School of Business, Washington University in Saint Louis, John M. Olin Business School, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 409 (137,375)

Abstract:

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

99.

Pockets of Factor Pricing

Number of pages: 74 Posted: 20 Dec 2023 Last Revised: 17 Apr 2024
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 398 (142,181)

Abstract:

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Factor pricing, pockets, firm characteristics, time-varying predictability, anomaly, factor models

100.

International Corporate Bond Returns: Uncovering Predictability Using Machine Learning

Number of pages: 45 Posted: 27 Jun 2022 Last Revised: 17 Sep 2023
Delong Li, Lei Lu, Zhen Qi and Guofu Zhou
University of Guelph - Gordon S. Lang School of Business and Economics, University of Manitoba, University of Manitoba - Asper School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 392 (144,170)
Citation 1

Abstract:

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

101.

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 392 (144,170)
Citation 7

Abstract:

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

Model Selection via Automated Machine Learning

Number of pages: 55 Posted: 10 Jul 2023
Yuhan Cheng, Guofu Zhou and Yingzi Zhu
Tsinghua University, PBC School of Finance, Students, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 310 (184,613)

Abstract:

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Model Selection via Automated Machine Learning

Number of pages: 55 Posted: 05 Jul 2023
Yuhan Cheng, Guofu Zhou and Yingzi Zhu
Tsinghua University, PBC School of Finance, Students, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 71 (623,341)

Abstract:

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

103.

Asymmetry in Variance: Does It Matter to Stock Returns?

Number of pages: 73 Posted: 01 Feb 2018 Last Revised: 24 Jun 2024
Xiaoxiao Tang and Guofu Zhou
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 351 (162,922)
Citation 2

Abstract:

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JEL Classification: G11, G14 Options, Variance Asymmetry, Long-Short Portfolios, Predictability, Term Structure

104.

Myopic Expectations and Stock Market Mispricing

Number of pages: 91 Posted: 27 Oct 2021 Last Revised: 11 Apr 2024
Yingguang Zhang, Guofu Zhou and Yingzi Zhu
Peking University - Department of Finance, Guanghua School of Management, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 341 (168,046)

Abstract:

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Myopic expectations, stock returns, expectation term structure

105.

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 336 (170,756)
Citation 1

Abstract:

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long-term investment, median, quantiles

106.

Anomaly Returns and FOMC

Number of pages: 59 Posted: 28 Mar 2023 Last Revised: 20 Apr 2023
Lin Tan, Xiaoyan Zhang and Guofu Zhou
PBCSF, Tsinghua University, Tsinghua University - PBC School of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 332 (172,979)

Abstract:

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Anomaly, FOMC, CAPM, Pricing Error, Retail Investor

107.

What Drives the Earnings Announcement Risk? *

Number of pages: 55 Posted: 31 Jan 2023 Last Revised: 04 Jul 2024
Washington University in St. Louis - Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 330 (174,112)

Abstract:

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JEL Classification: G11, G14 Earnings, risk premia, post-earning drift, options market, straddles

108.

Do Labor Flows Matter in the Stock Market?

Number of pages: 58 Posted: 28 Jan 2022 Last Revised: 14 Sep 2023
Jian Chen, Chunmian Ge, Jiaquan Yao and Guofu Zhou
Xiamen University - School of Economics, South China University of Technology, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 315 (182,840)

Abstract:

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

109.

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 299 (193,330)
Citation 2

Abstract:

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

110.

Appendix to 'Short Interest and Aggregate Stock Returns'

Number of pages: 7 Posted: 21 Oct 2015 Last Revised: 20 Feb 2016
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 297 (194,681)
Citation 7

Abstract:

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111.

Which Expectation?

Number of pages: 75 Posted: 30 Jan 2022 Last Revised: 02 Jan 2024
Dartmouth College - Tuck School of Business, Peking University - Department of Finance, Guanghua School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 289 (200,237)

Abstract:

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Earnings expectation, stock return, anomaly, market efficiency

112.

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 241 (240,167)

Abstract:

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

113.

Interpretable Factors of Firm Characteristics

Number of pages: 64 Posted: 03 Nov 2023 Last Revised: 27 Nov 2023
Yuxiao Jiao, 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 234 (247,127)

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Factor model, Cross-sectional stock return, Cluster analysis, Model comparison, IPCA

114.

Hide in the Herd: Macroeconomic Uncertainty and Analyst Forecasts Dispersion

Number of pages: 60 Posted: 31 Jan 2023 Last Revised: 05 Dec 2023
Shen Zhao and Guofu Zhou
Chinese university of Hong Kong (Shenzhen) and Washington University in St. Louis - John M. Olin Business School
Downloads 232 (249,101)

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

115.

Optimal Portfolio Choice with Economic Constraints: A Genetic Programming Approach

Number of pages: 50 Posted: 16 Jan 2024 Last Revised: 14 Apr 2024
Yang Liu and Guofu Zhou
Hunan University - College of Finance and Statistics and Washington University in St. Louis - John M. Olin Business School
Downloads 227 (254,414)

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Portfolio Optimization, Estimation Risk, Machine Learning, Genetic Programming

116.

Expected Index Option Return: What Can We Learn From Macro and Anomalies ?

Number of pages: 30 Posted: 13 Jan 2024
Heiner Beckmeyer, Guoshi Tong and Guofu Zhou
University of Münster, Fudan University and Washington University in St. Louis - John M. Olin Business School
Downloads 220 (262,124)

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117.

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 214 (268,970)
Citation 9

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

118.

Unspanned Risk and Risk-Return Tradeoff

Number of pages: 77 Posted: 06 Feb 2023 Last Revised: 29 Jan 2024
Huacheng Zhang and Guofu Zhou
University of Edinburgh Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 189 (301,164)

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

119.

Iterated Combination Forecast and Treasury Bond Predictability

Number of pages: 52 Posted: 13 Aug 2018
Hai Lin, Wen-Rang Liu, Chunchi Wu and Guofu Zhou
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, National Taiwan University - Department of Finance, SUNY at Buffalo - School of Management and Washington University in St. Louis - John M. Olin Business School
Downloads 184 (308,432)

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Treasury; Iterated Combination Forecast; Predictability; Utility Gain

120.

Bottom Up vs Top Down: What Does Firm 10-K Tell Us?

Number of pages: 63 Posted: 04 Apr 2024 Last Revised: 30 Apr 2024
U.S. Securities and Exchange Commission, Washington University in St. Louis - John M. Olin Business School, Stanford University, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 146 (375,791)

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Text Analysis, Asset Pricing, Word Dictionary, Word Count

121.

Leading Stocks and the Stock Market Expected Returns

Number of pages: 52 Posted: 15 Apr 2024
Zhuo Chen, Xianfeng Hao, Honghai Yu and Guofu Zhou
Nanjing University - School of Management and Engineering, Nanjing University - School of Management and Engineering, Nanjing University and Washington University in St. Louis - John M. Olin Business School
Downloads 141 (386,334)

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Market return predictability, Lead-lag effect, Investor Attention, The LASSO

122.

What Determines Expected International Asset Returns?

NBER Working Paper No. w4660
Number of pages: 55 Posted: 28 Dec 2000 Last Revised: 26 Sep 2022
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 141 (386,334)
Citation 3

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123.

Useful Factors Are Fewer Than You Think

Number of pages: 68 Posted: 27 Mar 2023 Last Revised: 09 Apr 2024
Bin Chen, Qiyang Yu and Guofu Zhou
Department of Economics, University of Rochester, University of Rochester - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 130 (411,668)

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

124.

No Sparsity in Asset Pricing: Evidence from a Generic Statistical Test

Number of pages: 48 Posted: 26 Mar 2024
Junnan He, Lingxiao Zhao and Guofu Zhou
Sciences Po, Peking University HSBC Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 115 (451,542)

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JEL Classification: G12, C12 factor models, characteristic-based factors, sparsity, test

125.

Fama-MacBeth Regression with Asset Pricing Restriction

Number of pages: 78 Posted: 14 May 2024
Yuanqi Yang, Guofu Zhou and Yifeng Zhu
Central University of Finance and Economics (CUFE) - School of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 93 (523,457)

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JEL Classification: G11, G12 Fama-MacBeth regression, LASSO, characteristics selection, high-dimensional prediction

126.

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

Number of pages: 70 Posted: 13 Dec 2023
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 47 (747,027)
Citation 1

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

127.

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

CEPR Discussion Paper No. DP15305
Number of pages: 117 Posted: 22 Sep 2020
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 9 (1,085,557)
Citation 4
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carry trade, deep neural network, Elastic Net, exchange rate predictability

128.

Volatility-Managed Portfolio: Does It Really Work?

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

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129.

Industry Return Predictability: A Machine Learning Approach

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

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

130.

Bayesian Portfolio Analysis

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

Abstract:

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131.

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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132.

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

133.

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

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

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C22, C53, G11, G12

134.

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

135.

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

136.

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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137.

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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138.

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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