Chu Zhang

Hong Kong University of Science & Technology (HKUST) - Department of Finance

not provided

Clear Water Bay, Kowloon

Hong Kong

SCHOLARLY PAPERS

8

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1,307

SSRN CITATIONS

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CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Testing the Apt with Maximum Sharpe Ratio of Extracted Factors

Number of pages: 37 Posted: 16 Mar 2006
Chu Zhang
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 429 (67,466)

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APT, Sharpe ratio, extracted factors, pricing error, eigenvalues

2.

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 12 Nov 2018
Yung Chiang Yang, Bohui Zhang and Chu Zhang
University College Dublin (UCD) College of Business, The Chinese University of Hong Kong, Shenzhen and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 263 (116,939)

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Information Risk, Idiosyncratic Volatility, Earnings Announcement, Expected Returns

3.

Rental Adjustment and Housing Prices: Evidence from Hong Kong's Residential Property Market

HKIMR Working Paper No.01/2013
Number of pages: 29 Posted: 30 Jan 2013
Honglin Wang, Chu Zhang and Weihang Dai
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Hong Kong University of Science & Technology (HKUST) - Department of Finance and The Chinese University of Hong Kong (CUHK)
Downloads 187 (162,893)
Citation 1

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Rental Adjustment, Residential Property Market, Price-To-Rent Ratio

4.

Why are Excess Returns on China’s Treasury Bonds So Predictable?

Number of pages: 48 Posted: 03 Apr 2010 Last Revised: 15 Oct 2011
Longzhen Fan, Shu Tian and Chu Zhang
Department of Finance, School of Management, Fudan University, Asian Development Bank and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 165 (181,921)

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bond excess return, official rate, inflation rate, risk premiums

5.

Forward-Looking Tail Risk Measures

Number of pages: 67 Posted: 01 Feb 2017 Last Revised: 17 Jun 2018
Markus Huggenberger, Chu Zhang and Ti Zhou
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Southern University of Science and Technology-Department of Finance
Downloads 94 (278,377)
Citation 2

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Tail Risk, Options, Risk Management, Value-at-Risk, Expected Shortfall

6.

Corporate Payout Policy and Credit Risk: Evidence from CDS Markets

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 59 Posted: 15 Sep 2017 Last Revised: 11 Jan 2019
Chengzhu Sun, Shujing Wang and Chu Zhang
Hong Kong University of Science & Technology (HKUST), Tongji University and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 92 (282,174)

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Credit default swaps, Dividend announcements, Industrial firms, Financial firms, Troubled Assets Relief Program

7.

The Macroeconomic Announcement Premium and Information Uncertainty

Number of pages: 59 Posted: 16 Oct 2017 Last Revised: 23 Nov 2018
Chu Zhang and Shen Zhao
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 77 (314,684)

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equity premium, macroeconomic announcements, uncertainty, information frictions, business cycles

8.

Market Reactions to the 'Hot Stock' Column of the Financial Post

Canadian Journal of Administrative Sciences, Vol. 16, No. (2), pp. 118-131, DOI: 10.1111/j.1936-4490.1999.tb00618.x , University of Alberta School of Business Research Paper No. 2013-226
Posted: 24 May 2013 Last Revised: 30 May 2013
Vikas Mehrotra, Wayne Yu and Chu Zhang
University of Alberta - Department of Finance and Statistical Analysis, City University of Hong Kong and Hong Kong University of Science & Technology (HKUST) - Department of Finance

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