Shaojun Zhang

Hong Kong Polytechnic University

Hung Hom, Kowloon

Hong Kong

SCHOLARLY PAPERS

8

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CITATIONS
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8

Scholarly Papers (8)

1.

Evaluating Long-Horizon Event Study Methodology

Number of pages: 38 Posted: 17 Jun 2011
James S. Ang and Shaojun Zhang
Florida State University and Hong Kong Polytechnic University
Downloads 1,202 (8,887)
Citation 1

Abstract:

Bootstrap, Long-horizon event study, Skewness-adjusted t-test, Simulation, Weighted least-squares regression

An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading

Number of pages: 45 Posted: 14 Mar 2006 Last Revised: 08 Aug 2011
Yuxing Yan and Shaojun Zhang
Canisius College and Hong Kong Polytechnic University
Downloads 901 (20,163)
Citation 7

Abstract:

decimalization, informed trading, market microstructure, PIN, tax-loss selling

An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading

Journal of Banking and Finance, Forthcoming
Posted: 09 Aug 2011
Yuxing Yan and Shaojun Zhang
Canisius College and Hong Kong Polytechnic University

Abstract:

Boundary Solution, Probability of Informed Trading, PIN

3.

The Fama-French Three Factors in Chinese Stock Market

China Accounting and Finance Review, 2014, Volume 16, Issue 2, 210-227
Number of pages: 18 Posted: 21 Dec 2013 Last Revised: 08 Dec 2014
Jin Xu and Shaojun Zhang
Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 365 (28,428)

Abstract:

Chinese stock market; Non-tradable shares; Three-factor model; Value premium

4.

Online Appendix for: Quality of PIN Estimates and the PIN-Return Relationship

Journal of Banking and Finance 43 (2014), pp 137-149
Number of pages: 10 Posted: 17 Feb 2013 Last Revised: 29 Apr 2014
Yuxing Yan and Shaojun Zhang
Canisius College and Hong Kong Polytechnic University
Downloads 72 (262,978)

Abstract:

Probability of informed trading, PIN-return relationship, Quality of PIN estimates

5.

Quality of PIN Estimates and the PIN-Return Relationship

Journal of Banking and Finance, Vol. 43, No. C, 2014
Number of pages: 54 Posted: 29 Apr 2014 Last Revised: 06 Dec 2014
Yuxing Yan and Shaojun Zhang
Canisius College and Hong Kong Polytechnic University
Downloads 9 (394,763)

Abstract:

Probability of informed trading, PIN-return relationship, Quality of PIN estimates

6.

The Profitability and Investment Factors in the Chinese Stock Market

Number of pages: 50 Posted: 26 Jan 2017 Last Revised: 21 Aug 2017
Fangfang Hou and Shaojun Zhang
Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 0 (262,978)

Abstract:

Chinese stock market, investment factor, profitability factor, Sharpe ratio, value premium

7.

Trading on Inside Information: Evidence from the Share-Structure Reform in China

Journal of Banking and Finance, Forthcoming
Posted: 17 Oct 2012
Wilson H.S. Tong, Shaojun Zhang and Yanjian Zhu
Hong Kong Polytechnic University, Hong Kong Polytechnic University and Zhejiang University

Abstract:

Regulation of insider trading, Share-structure reform in China, Stealth trading

8.

The Volatility Risk Premium Embedded in Currency Options

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 29 Dec 2004
Buen Sin Low and Shaojun Zhang
Nanyang Technological University (NTU) - Division of Banking & Finance and Hong Kong Polytechnic University

Abstract:

Volatility risk premium, stochastic volatility, currency option, term structure of risk premium

Other Papers (3)

Total Downloads: 879    Citations: 5
1.

Choosing Benchmarks and Test Statistics for Long Horizon Event Study

EFMA 2002 London Meetings
Number of pages: 48 Posted: 18 Mar 2002
James S. Ang and Shaojun Zhang
Florida State University and Hong Kong Polytechnic University
Downloads 671
Citation 5

Abstract:

Abnormal return, Bootstrap, Event study, Long Horizon

2.

Forward-looking Information and Stock Price Around Earnings Announcement

Posted: 20 Mar 2005
James S. Ang and Shaojun Zhang
Florida State University and Hong Kong Polytechnic University
Downloads 164

Abstract:

Analyst forecast, Earnings announcement, Earnings surprises, Information disclosure, Price response

Information Asymmetry and Cross-Sectional Returns: A Re-Examination of the Relationship between Stock Return and the Adjusted Probability of Informed Trading

Number of pages: 43 Posted: 11 Jan 2015 Last Revised: 12 Mar 2015
Shaojun Zhang and Yuxing Yan
Hong Kong Polytechnic University and Canisius College
Downloads 23

Abstract:

Adjusted PIN, Earnings announcements, Information asymmetry, Probability of informed trading

Information Asymmetry and Cross-Sectional Returns: A Re-Examination of the Relationship between Stock Return and the Adjusted Probability of Informed Trading

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 43 Posted: 31 Jan 2015 Last Revised: 24 Feb 2015
Shaojun Zhang and Yuxing Yan
Hong Kong Polytechnic University and Canisius College
Downloads 10

Abstract:

Adjusted PIN; Earnings announcements; Information asymmetry; Probability of informed trading