Ran Zhao

Claremont Graduate University, Drucker School of Management

150 E. Tenth Street

Claremont, CA 91711

United States

  • Claremont Graduate University, Drucker School of Management

SCHOLARLY PAPERS

11

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Ideas:
“  Credit derivatives, credit risk modeling, financial econometrics  ”

  • Claremont Graduate University, Drucker School of Management

Scholarly Papers (11)

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1.

Salience Theory and Cryptocurrency Returns

Number of pages: 70 Posted: 15 Dec 2021 Last Revised: 19 Jan 2022
Charlie X. Cai and Ran Zhao
University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 337 (139,818)

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Salience Theory, Asset Pricing, Behavioral Finance, Cryptocurrency, Portfolio Choice

2.

Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns

Downloads 324 (145,739)

Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns

Number of pages: 42 Posted: 01 Sep 2021 Last Revised: 02 Sep 2021
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management
Downloads 274 (172,910)

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Cryptocurrency, realized jump, return predictability, realized volatility

Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns

Number of pages: 43 Posted: 16 Sep 2022
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management
Downloads 50 (598,970)

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cryptocurrency, realized jump, return predictability, realized volatility

3.

Is Overnight Volatility Overlooked?

Number of pages: 53 Posted: 07 May 2020 Last Revised: 27 Feb 2021
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management
Downloads 296 (159,758)
Citation 1

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Overnight volatility, Realized Volatility, Overnight Returns, Daily Realized Volatility, Overnight Jumps, Stochastic Volatility, Bayesian MCMC, Predictive Density

4.

Credit Derivatives and Corporate Default Prediction

Number of pages: 43 Posted: 12 May 2020 Last Revised: 07 Sep 2021
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Exeter Business School - Department of Finance, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 131 (333,384)

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Credit default swap spread, corporate default prediction, physical default, default risk premium, CDS liquidity

5.

Improving Volatility Identification and Prediction of Realized Stochastic Volatility Model with Implied volatility

Number of pages: 33 Posted: 03 Jun 2019 Last Revised: 15 Jul 2020
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management
Downloads 117 (362,201)

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Stochastic volatility, realized volatility, implied volatility, MCMC, Bayesian forecasting

6.

Corporate Social Responsibility and Bond Volatility

Number of pages: 56 Posted: 11 Aug 2020 Last Revised: 22 Jun 2021
Trevor W. Chamberlain, Zehua Zhang, Ran Zhao and Lu Zhu
McMaster University - Finance & Business Economics, Hunan University, Claremont Graduate University, Drucker School of Management and California State University, Long Beach - College of Business Administration
Downloads 113 (371,151)

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Bond volatility, corporate social responsibility, overinvestment, CEO risk taking, tax avoidance

7.

Bond Volatility and CDS Auctions

Number of pages: 55 Posted: 24 Dec 2019 Last Revised: 13 Jan 2020
Jennifer Mace, Fan Yu and Ran Zhao
Independent, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 100 (403,848)
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bond volatility, corporate default, CDS auction, market manipulation

8.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 69 Posted: 19 Feb 2021 Last Revised: 13 Jan 2022
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Exeter Business School - Department of Finance and Claremont Graduate University, Drucker School of Management
Downloads 98 (412,076)
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uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta

9.

Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums

Number of pages: 52 Posted: 25 Jul 2022 Last Revised: 06 Mar 2023
Michael B. Imerman, Xiaoxia Ye and Ran Zhao
University of California, Irvine - Paul Merage School of Business, University of Exeter Business School - Department of Finance and Claremont Graduate University, Drucker School of Management
Downloads 96 (414,893)

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Climate change, voluntary disclosure, climate risk, CDS premium, informational uncertainty

10.

Improving the Asymmetric Stochastic Volatility Model with Ex-post Volatility: The Identification of the Asymmetry

Number of pages: 63 Posted: 25 Mar 2020 Last Revised: 07 Oct 2022
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management
Downloads 59 (545,195)

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Asymmetric Stochastic Volatility, Leverage Effect, Bayesian MCMC, Realized Volatility, Bipower Variation

11.

Corporate Bond Illiquidity and Bond Return Synchronicity

Posted: 14 Aug 2020 Last Revised: 23 Nov 2020
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management

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bond illiquidity, return synchronicity, price informativeness, credit rating, institutional ownership