Zhenzhen Fan

University of Manitoba - Department of Accounting and Finance

Faculty of Management

Winnipeg, MB R3T 5V4

Canada

  • University of Manitoba - Department of Accounting and Finance

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 44,367

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15

CROSSREF CITATIONS

3

Scholarly Papers (6)

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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, City University London - Bayes Business School and Tsinghua University - PBC School of Finance
Downloads 707 (64,053)
Citation 8

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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 City University London - Bayes Business School
Downloads 518 (94,473)
Citation 10

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

3.

Can AI Read the Minds of Corporate Executives?

Number of pages: 49 Posted: 07 Jul 2023
Nicolas Chapados, Zhenzhen Fan, Ruslan Goyenko, Issam Hadj Laradji, Fred Liu and Chengyu Zhang
ServiceNow Research, University of Manitoba - Department of Accounting and Finance, McGill University - Desautels Faculty of Management, ServiceNow Research, University of Guelph and McGill University - Desautels Faculty of Management
Downloads 455 (110,408)

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4.

Risk-Return Relation of Cryptocurrency Carry Trade

Number of pages: 34 Posted: 24 Apr 2023
Zhenzhen Fan, Feng Jiao, Lei Lu and Xin Tong
University of Manitoba - Department of Accounting and Finance, University of Lethbridge - Dhillon School of Business, University of Manitoba and University of Manitoba - Asper School of Business
Downloads 175 (293,155)

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Cryptocurrency, Carry trade, Uncovered interest rate parity, Geopolitical risk

5.

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 City University London - Bayes Business School
Downloads 128 (377,942)

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6.

Asymmetric Excitation and the US Bias in Portfolio Choice

Number of pages: 68 Posted: 25 Nov 2019 Last Revised: 10 Mar 2020
Zhenzhen Fan, Roger J. A. Laeven and Rob van den Goorbergh
University of Manitoba - Department of Accounting and Finance, University of Amsterdam - Department of Quantitative Economics (KE) and APG Asset Management
Downloads 41 (716,535)

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