Shaojun Zhang

Hong Kong Polytechnic University

Hung Hom, Kowloon

Hong Kong

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 13,150

in Total Papers Downloads

4,593

SSRN CITATIONS
Rank 26,112

SSRN RANKINGS

Top 26,112

in Total Papers Citations

30

CROSSREF CITATIONS

6

Scholarly Papers (14)

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 1,739 (11,952)
Citation 3

Abstract:

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

2.

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 (Karen) Xu and Shaojun Zhang
Shanghai International Studies University and Hong Kong Polytechnic University
Downloads 1,177 (21,858)
Citation 5

Abstract:

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

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
SUNY at Geneseo - John Wiley Jones School of Business and Hong Kong Polytechnic University
Downloads 989 (27,694)
Citation 9

Abstract:

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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
SUNY at Geneseo - John Wiley Jones School of Business and Hong Kong Polytechnic University

Abstract:

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Boundary Solution, Probability of Informed Trading, PIN

4.

The Profitability and Investment Factors in the Chinese Stock Market

China Accounting and Finance Review 21(2), 1-33.
Number of pages: 33 Posted: 26 Jan 2017 Last Revised: 19 Aug 2019
Fangfang Hou and Shaojun Zhang
Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 220 (170,636)
Citation 2

Abstract:

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Chinese Stock Market, Investment Factor, Profitability Factor, Sharpe Ratio, Value Premium

5.

Major Government Customer and Management Earnings Forecasts

Number of pages: 51 Posted: 08 Nov 2019 Last Revised: 28 Oct 2020
C.S. Agnes Cheng, Wenli Huang and Shaojun Zhang
Hong Kong Polytechnic University - School of Accounting and Finance, Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 117 (289,318)

Abstract:

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Customer-supplier relationship, Demand uncertainty, Major government customer, Information spillover, Management earnings forecasts

6.

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
SUNY at Geneseo - John Wiley Jones School of Business and Hong Kong Polytechnic University
Downloads 96 (330,643)

Abstract:

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

7.

Volatility Information Transfer along the Supply Chain

Number of pages: 48 Posted: 09 Apr 2021 Last Revised: 07 Jul 2021
Wenli Huang, Gang Li and Shaojun Zhang
Hong Kong Polytechnic University, Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 74 (386,693)

Abstract:

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Customer-supplier relationship, Model free implied volatility, Quarterly earnings announcement, Supply chain, Volatility information transfer

8.

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
SUNY at Geneseo - John Wiley Jones School of Business and Hong Kong Polytechnic University
Downloads 50 (468,965)
Citation 4

Abstract:

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

9.

Socially Responsible Customers and Intangible Investment

Nanyang Business School Research Paper No. 20-14
Number of pages: 45 Posted: 15 Jul 2020 Last Revised: 13 Apr 2021
Buen Sin Low and Shaojun Zhang
Nanyang Technological University (NTU) - Division of Banking & Finance and Hong Kong Polytechnic University
Downloads 46 (485,399)

Abstract:

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Customer Social Performance, Corporate Social Responsibility, Implicit Contract Theory, Supplier Intangible Capital Investment, Trust

10.

Voting Rights and the Delayed Stock Price Response to Option Information

Number of pages: 48 Posted: 26 Feb 2021
Gang Li, Linti Zhang and Shaojun Zhang
Hong Kong Polytechnic University, Hong Kong Polytechnic University, School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 29 (569,550)

Abstract:

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Implied volatility spread, Option to stock volume ratio, Special shareholder meeting, Value of voting right

11.

Order Dynamics during the Flash Crash

Journal of Asset Management (2019) 20:365–383.
Number of pages: 51 Posted: 22 Aug 2019 Last Revised: 28 Oct 2020
James S. Ang, Kenneth Hunsader and Shaojun Zhang
Florida State University, University of South Alabama and Hong Kong Polytechnic University
Downloads 26 (588,112)

Abstract:

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Flash Crash, Herfindahl Index, Market Fragmentation, Order Imbalance

12.

Float, Speculation, and Stock Price: Evidence from the Share Structure Reform in China

The Singapore Economic Review, Vol. 63, No. 3 (2018) 701–729., Asian Finance Association (AsFA) 2013 Conference
Number of pages: 40 Posted: 22 Jan 2013 Last Revised: 28 Oct 2020
Chuan-Yang Hwang, Shaojun Zhang and Yanjian Zhu
Nanyang Business School, Nanyang Technological University, Hong Kong Polytechnic University and Zhejiang University
Downloads 18 (642,392)

Abstract:

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Bubble, Float, Heterogeneous beliefs, Split Share Structure Reform in China, Speculative trading

13.

The Volatility Risk Premium Embedded in Currency Options

Journal of Financial and Quantitative Analysis, Vol. 40, No. 4, December 2005, 803-832.
Number of pages: 51 Posted: 29 Dec 2004 Last Revised: 28 Oct 2020
Buen Sin Low and Shaojun Zhang
Nanyang Technological University (NTU) - Division of Banking & Finance and Hong Kong Polytechnic University
Downloads 12 (686,589)
Citation 14

Abstract:

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Volatility risk premium, Stochastic volatility, Currency option, Term structure of risk premium

14.

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:

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

Other Papers (3)

Total Downloads: 969
1.

Choosing Benchmarks and Test Statistics for Long Horizon Event Study

Number of pages: 48 Posted: 18 Mar 2002
James S. Ang and Shaojun Zhang
Florida State University and Hong Kong Polytechnic University
Downloads 734

Abstract:

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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 180

Abstract:

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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 SUNY at Geneseo - John Wiley Jones School of Business
Downloads 41

Abstract:

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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 SUNY at Geneseo - John Wiley Jones School of Business
Downloads 14

Abstract:

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