Yichao Zhu

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics

Postdoctoral Fellow

Kingsley Street

acton, ACT 0200

Australia

  • Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Forthcoming in Management Science, FIRN Research Paper No. 2695145
Number of pages: 61 Posted: 24 Nov 2015 Last Revised: 05 Jun 2019
Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden and Yichao Zhu
University of New South Wales (UNSW), RSFAS Australian National University, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 1,906 (13,530)
Citation 1

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Price Pressure, Put-Call Parity, Return Predictability, Informed Trading

2.

A Multi-Factor Model of Idiosyncratic Volatility

31st Australasian Finance and Banking Conference 2018
Number of pages: 91 Posted: 30 Jul 2018 Last Revised: 06 Aug 2020
Thijs van der Heijden, Qi Zeng and Yichao Zhu
University of Melbourne - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 128 (338,183)
Citation 2

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Idiosyncratic Volatility, Volatility Co-movement, Risk Factors, Leverage, Capital Structure