Zhenzhen Fan

School of Finance, Nankai University

38 Tongyan Road, Jinnan District

Tianjin, Tianjin 300350

China

SCHOLARLY PAPERS

2

DOWNLOADS

377

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (2)

1.

Higher-Order Risk Premium, Stock Return Predictability, and Rare Event Dynamics

Number of pages: 60 Posted: 12 Feb 2018 Last Revised: 16 Mar 2019
Zhenzhen Fan, Xiao Xiao and Hao Zhou
School of Finance, Nankai University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tsinghua University - PBC School of Finance
Downloads 294 (103,837)
Citation 5

Abstract:

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Equity risk premium; Predictive regression; Higher-order risk premium; Variance risk premium; Rare events

2.

US Equity Tail Risk and Currency Risk Premia

Number of pages: 53 Posted: 17 Jun 2019
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
School of Finance, Nankai University, Federal Reserve Board of Governors and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 83 (300,784)

Abstract:

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Equity tail risk; Global tail risk; Currency returns; Carry trade; Currency momentum