Lingxiao Zhao

Peking University HSBC Business School

Peking University HSBC Business School (PHBS)

University Town, Nanshan District

Shenzhen

China

SCHOLARLY PAPERS

3

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43

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Ideas:
“  I am currently working on asset pricing and Bayesian econometrics.  ”

Scholarly Papers (3)

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1.

Winners from Winners: A Tale of Risk Factors

Number of pages: 51 Posted: 17 Nov 2019 Last Revised: 15 Jun 2022
Siddhartha Chib, Lingxiao Zhao and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Peking University HSBC Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 764 (64,346)
Citation 10

Abstract:

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Model comparison, Factor models, Anomaly, Discount factor, Portfolio analysis

2.

On Comparing Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 32 Posted: 07 May 2019
Siddhartha Chib, Xiaming Zeng and Lingxiao Zhao
Washington University in St. Louis - John M. Olin Business School, Independent and Peking University HSBC Business School
Downloads 286 (205,011)
Citation 34

Abstract:

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Bayesian model comparison, marginal likelihood, risk factors

3.

No Sparsity in Asset Pricing: Evidence from a Generic Statistical Test

Number of pages: 53 Posted: 26 Mar 2024
Junnan He, Lingxiao Zhao and Guofu Zhou
Sciences Po, Peking University HSBC Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 118 (448,818)

Abstract:

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JEL Classification: G12, C12 factor models, characteristic-based factors, sparsity, test