Yichao Zhu

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

Postdoctoral Fellow

Kingsley Street

acton, ACT 0200

Australia

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 39,025

SSRN RANKINGS

Top 39,025

in Total Papers Downloads

1,100

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

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
University of New South Wales (UNSW), University of Melbourne, 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 1,094 (18,960)
Citation 1

Abstract:

Loading...

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: 59 Posted: 30 Jul 2018 Last Revised: 01 Aug 2019
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 6 (609,056)

Abstract:

Loading...

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