Zhenzhen Fan

University of Manitoba - Department of Accounting and Finance

Faculty of Management

Winnipeg, MB R3T 5V4

Canada

SCHOLARLY PAPERS

4

DOWNLOADS

1,118

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Moment Risk Premia and Stock Return Predictability

Number of pages: 54 Posted: 12 Feb 2018 Last Revised: 12 Aug 2020
Zhenzhen Fan, Xiao Xiao and Hao Zhou
University of Manitoba - Department of Accounting and Finance, University of Amsterdam - Amsterdam Business School and SUSTech Business School
Downloads 605 (62,326)
Citation 8

Abstract:

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Moment risk premia; Variance risk premium; Option-implied moments; Stock return predictability; Predictive regression

2.

Equity Tail Risk and Currency Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 11 May 2021
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and University of Amsterdam - Amsterdam Business School
Downloads 431 (94,247)
Citation 1

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Global tail risk; Option-implied equity tail risk; Currency returns; Carry trade; Currency momentum

3.

Us Equity Tail Risk and Currency Risk Premia

FRB International Finance Discussion Paper No. 1253
Number of pages: 51 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and University of Amsterdam - Amsterdam Business School
Downloads 59 (481,519)

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4.

Asymmetric Excitation and the US Bias in Portfolio Choice

Number of pages: 68 Posted: 25 Nov 2019 Last Revised: 10 Mar 2020
University of Manitoba - Department of Accounting and Finance, University of Amsterdam - Department of Quantitative Economics (KE) and APG Asset Management
Downloads 23 (669,683)

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Portfolio choice; US bias; International diversification; Asymmetric excitation; Mutually exciting jumps