Yanhui Zhao

University of Wisconsin - Whitewater - College of Business and Economics

Assistant Professor

Whitewater, WI 53190

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 41,786

SSRN RANKINGS

Top 41,786

in Total Papers Downloads

1,228

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Ideas:
“  I am currently working on information from option markets.  ”

Scholarly Papers (6)

1.

Belief Heterogeneity in the Option Markets and the Cross-Section of Stock Returns

Number of pages: 62 Posted: 20 Jan 2016 Last Revised: 07 Mar 2019
Paul Borochin and Yanhui Zhao
University of Miami - Department of Finance and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 471 (69,624)
Citation 4

Abstract:

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Options; Implied Volatility; Belief Heterogeneity

2.

Risk Neutral Skewness Predicts Price Rebounds and so can Improve Momentum Performance

Number of pages: 59 Posted: 27 Feb 2018 Last Revised: 23 Jun 2020
Paul Borochin and Yanhui Zhao
University of Miami - Department of Finance and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 406 (83,152)

Abstract:

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Risk Neutral Skewness, Momentum, Return Predictability

3.

The Economic Value of Equity Implied Volatility Forecasting with Machine Learning

Number of pages: 59 Posted: 15 Oct 2020
Paul Borochin and Yanhui Zhao
University of Miami - Department of Finance and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 115 (276,812)
Citation 1

Abstract:

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Volatility Forecasting, Options, Return Predictability, Machine Learning

4.

Short-Term and Long-Term Discount Rates for Commercial Real Estate

University of Connecticut School of Business Research Paper No. 19-04
Number of pages: 47 Posted: 25 Jan 2019 Last Revised: 22 Feb 2019
University of Connecticut - Department of Finance, Syracuse University - Whitman School of Management - Finance Department; James D. Kuhn Center for Real Estate and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 93 (319,602)

Abstract:

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Cost of Capital Term-Structure, Risk Premium, Cost of Capital for REITs, CAPM

5.

The Effect of Option-implied Skewness on Delta- and Vega-Hedged Option Returns

Number of pages: 42 Posted: 29 Jul 2019 Last Revised: 17 Jan 2020
Paul Borochin, Zekun Wu and Yanhui Zhao
University of Miami - Department of Finance, University of Connecticut and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 89 (331,081)
Citation 1

Abstract:

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Risk Neutral Skewness; Options; Return Predictability

6.

An Application of Real Options to Capital Budgeting for Power Grid Reliability

Number of pages: 8 Posted: 12 Mar 2018 Last Revised: 15 Mar 2019
Paul Borochin and Yanhui Zhao
University of Miami - Department of Finance and University of Wisconsin - Whitewater - College of Business and Economics
Downloads 54 (427,267)

Abstract:

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Resilience, Power System Economics, Power System Stability