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Hao Zhou

Tsinghua University - PBC School of Finance

Professor

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

  • Tsinghua University - PBC School of Finance

    • Email
    • Tel: 86-10-62790655
SCHOLARLY PAPERS

34

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28,355

CITATIONS
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Top 697

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727

Scholarly Papers (34)

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1.

Expected Stock Returns and Variance Risk Premia

Downloads 3,029 ( 2,758)
Citation 128

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Tim Bollerslev, George Tauchen and Hao Zhou
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 2,754 (3,187)
Citation 128

Abstract:

Equilibrium asset pricing, stochastic volatility, risk neutral expectation, return predictability, option implied volatility, realized volatility, variance risk premium

Expected Stock Returns and Variance Risk Premia

Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33 Posted: 17 Sep 2009
Tim Bollerslev and Hao Zhou
Duke University - Finance and Tsinghua University - PBC School of Finance
Downloads 275 (91,698)
Citation 128

Abstract:

Return Predictability, Implied Variance, Realized Variance, Equity Risk Premium, Variance Risk Premium, Time-Varying Risk Aversion

2.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

Downloads 2,587 ( 3,624)
Citation 65

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 2,293 (4,351)
Citation 65

Abstract:

Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

CREATES Research Paper 2007-16
Number of pages: 48 Posted: 23 Jun 2008 Last Revised: 25 Sep 2009
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 294 (85,080)
Citation 65

Abstract:

Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

3.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Downloads 2,330 ( 4,328)
Citation 21

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 50 Posted: 07 May 2009 Last Revised: 24 Aug 2012
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 2,076 (5,190)
Citation 21

Abstract:

Macroeconomic uncertainty, asset return predictability, variance risk premia, recursive utility function.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 47 Posted: 14 Mar 2011 Last Revised: 01 Sep 2016
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 254 (99,774)
Citation 21

Abstract:

Short-run predictability, variance premium dynamics, equity premium puzzle, bond risk premia, credit spread puzzle, macroeconomic uncertainty, recursive preference.

4.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Benjamin Yi-Bin Zhang, Hao Zhou and Haibin Zhu
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,747 (6,752)
Citation 85

Abstract:

Credit Default Swap, Credit Risk Premium, Stochastic Volatility, Jumps, Structural Model, Nonlinear Effect, High-Frequency Data

5.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Downloads 1,566 ( 8,523)

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01,
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,519 (8,810)
Citation 55

Abstract:

Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

BIS Working Paper No. 281
Number of pages: 44 Posted: 10 Aug 2009
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 47 (345,718)
Citation 57

Abstract:

Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

CAREFIN Research Paper No. 11/08
Posted: 22 Mar 2009 Last Revised: 17 Jan 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

Abstract:

Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation

6.

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Downloads 1,416 ( 10,064)
Citation 11

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance
Downloads 978 (17,635)
Citation 11

Abstract:

Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 08 Aug 2012
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Duke University and Tsinghua University - PBC School of Finance
Downloads 438 (53,149)
Citation 11

Abstract:

variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

7.

Risk, Uncertainty, and Expected Returns

Downloads 1,372 ( 6,312)

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 1,165 (13,487)
Citation 37

Abstract:

Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Georgetown McDonough School of Business Research Paper No. 1993304
Number of pages: 79 Posted: 30 Jan 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 207 (122,870)
Citation 37

Abstract:

Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Consumption-Based Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Sixth Singapore International Conference on Finance 2012 Paper
Posted: 30 Jul 2011 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance

Abstract:

Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

8.

Good Jumps, Bad Jumps, and Conditional Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper, PBCSF-NIFR Research Paper No. 14-05
Number of pages: 43 Posted: 27 Oct 2014 Last Revised: 23 Apr 2017
Hui Guo, Kent Wang and Hao Zhou
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 843 (22,388)

Abstract:

Realized Jump Risk, Good and Bad Jumps, Conditional Equity Premium, Downside Economic Uncertainty, Variance Risk Premium.

9.

Realized Jumps on Financial Markets and Predicting Credit Spreads

FEDS Working Paper No. 2006-35, Journal of Econometrics, Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 7, AFA 2008 New Orleans Meetings Paper
Number of pages: 44 Posted: 23 Mar 2007 Last Revised: 25 Sep 2008
George Tauchen and Hao Zhou
Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 832 (21,985)
Citation 26

Abstract:

Jump-Diffusion Process, Realized Variance, Bi-Power Variation, Realized Jumps, Jump Volatility, Credit Risk Premium.

10.

Credit Default Swap Spreads and Variance Risk Premia

Downloads 821 ( 23,299)
Citation 7

Credit Default Swap Spreads and Variance Risk Premia

Number of pages: 42 Posted: 25 Oct 2009 Last Revised: 12 Jun 2011
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 463 (49,572)
Citation 7

Abstract:

variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance

Credit Default Swap Spreads and Variance Risk Premia

AFA 2011 Denver Meetings Paper
Number of pages: 42 Posted: 11 Mar 2010 Last Revised: 05 Sep 2010
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 307 (80,908)
Citation 7

Abstract:

Variance Risk Premia, Credit Default Swap Spreads, Option-Implied Variance, Expected Variance, Realized Variance

Credit Default Swap Spreads and Variance Risk Premia

FEDS Working Paper No. 2011-02
Number of pages: 43 Posted: 11 Nov 2011
Hao Zhou, wang hao and Zhou Yi
Tsinghua University - PBC School of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 51 (333,225)
Citation 7

Abstract:

Variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance

11.

Specification Analysis of Structural Credit Risk Models

Downloads 800 ( 24,190)
Citation 14

Specification Analysis of Structural Credit Risk Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 13 Mar 2008 Last Revised: 22 Jul 2009
Jing-Zhi Huang and Hao Zhou
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 771 (25,112)
Citation 14

Abstract:

Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics

Specification Analysis of Structural Credit Risk Models

Second Singapore International Conference on Finance 2008
Number of pages: 44 Posted: 04 Mar 2007 Last Revised: 01 Sep 2016
Jing-Zhi Huang and Hao Zhou
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 29 (415,262)
Citation 13

Abstract:

Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics

12.

Systemic Risk Contributions

Number of pages: 44 Posted: 29 Jul 2010 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 750 (21,779)
Citation 16

Abstract:

Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.

13.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Philippe Mueller, Andrea Vedolin and Hao Zhou
London School of Economics & Political Science (LSE) - Department of Finance, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 740 (21,850)
Citation 4

Abstract:

14.

Variance Risk Premiums and the Forward Premium Puzzle

Downloads 728 ( 27,667)

Variance Risk Premiums and the Forward Premium Puzzle

Number of pages: 67 Posted: 22 Aug 2012 Last Revised: 22 Jun 2016
Juan M. Londono and Hao Zhou
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 620 (33,943)

Abstract:

Currency return predictability, currency and stock variance risk premiums, forward premium puzzle, local consumption uncertainty, global inflation uncertainty.

Variance Risk Premiums and the Forward Premium Puzzle

FRB International Finance Discussion Paper No. 1068
Number of pages: 54 Posted: 07 Feb 2013
Juan M. Londono and Hao Zhou
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 102 (222,682)

Abstract:

forward premium puzzle, currency variance risk premium, stock variance, risk premium, unspanned currency uncertainty, forex return predictability

Variance Risk Premiums and the Forward Premium Puzzle

FRB International Finance Discussion Paper No. 1068
Number of pages: 50 Posted: 30 May 2017
Juan M. Londono and Hao Zhou
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 6 (543,773)

Abstract:

15.

Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility

FEDS Working Paper No. 2001-49, Journal of Econometrics, Vol. 109, pp. 33-65, 2002
Number of pages: 44 Posted: 13 Dec 2001
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 575 (37,012)
Citation 52

Abstract:

Stochastic volatility diffusions, integrated volatility, quadratic variation, realized volatility, high-frequency data, foreign exchange rates, GMM Estimation

16.

Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression

FEDS Working Paper No. 2003-40
Number of pages: 34 Posted: 18 Sep 2003
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 571 (38,379)
Citation 22

Abstract:

Leverage Asymmetry, Volatility Feedback,Implied Volatility Forecast, Realized Volatility, Stochastic Volatility Model, Instrument Variable

17.

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Number of pages: 60 Posted: 18 Nov 2012 Last Revised: 20 Nov 2012
Tim Bollerslev, Lai Xu and Hao Zhou
Duke University - Finance, Independent and Tsinghua University - PBC School of Finance
Downloads 559 (35,709)

Abstract:

Return and dividend growth predictability, variance risk premium, expected variation, long-run risk, equilibrium pricing, stochastic volatility and uncertainty, reduced form VAR, structural factor GARCH

18.

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

Downloads 528 ( 42,484)
Citation 14

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

Number of pages: 55 Posted: 24 Nov 2006 Last Revised: 06 Apr 2008
Song Han and Hao Zhou
Federal Reserve Board - Division of Research and Statistics and Tsinghua University - PBC School of Finance
Downloads 444 (52,251)
Citation 14

Abstract:

Corporate bond yields, credit default swaps, liquidity

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

HKIMR Working Paper No.02/2011
Number of pages: 49 Posted: 30 Jan 2011
Song Han and Hao Zhou
Federal Reserve Board - Division of Research and Statistics and Tsinghua University - PBC School of Finance
Downloads 51 (333,225)
Citation 14

Abstract:

Corporate Bond Yield Spreads, Credit Default Swaps, Liquidity, CDS-Bond Basis

Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Data

Number of pages: 52 Posted: 23 Apr 2007 Last Revised: 01 Sep 2016
Song Han and Hao Zhou
Federal Reserve Board - Division of Research and Statistics and Tsinghua University - PBC School of Finance
Downloads 33 (397,259)
Citation 13

Abstract:

Corporate bond spreads, credit default swaps, liquidity

19.

Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis

22nd Australasian Finance and Banking Conference 2009, Finlawmetrics 2010 Conference Paper
Number of pages: 45 Posted: 23 Aug 2009 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 489 (44,055)
Citation 17

Abstract:

Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation

20.

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

Downloads 441 ( 53,239)
Citation 1

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

Number of pages: 52 Posted: 28 Nov 2012
Lamont K. Black, Ricardo Correa, Xin Huang and Hao Zhou
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 299 (83,471)
Citation 1

Abstract:

European debt crisis, macroprudential regulation, banking systemic risk, credit default swap, too-big-to-fail, interconnectedness, leverage

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

FRB International Finance Discussion Paper No. 1083
Number of pages: 60 Posted: 30 May 2017
Lamont K. Black, Ricardo Correa, Xin Huang and Hao Zhou
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 142 (172,731)
Citation 1

Abstract:

banking systemic risk, European debt crisis, too-big-to-fail, leverage, interconnectedness, credit default swap, macroprudential regulation

21.

Bond Risk Premia and Realized Jump Risk

Journal of Banking and Finance, Forthcoming, FEDS Working Paper No. 2007-22, AFA 2009 San Francisco Meetings Paper
Number of pages: 33 Posted: 20 Mar 2008 Last Revised: 27 Jul 2009
Jonathan H. Wright and Hao Zhou
Johns Hopkins University - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 437 (53,836)
Citation 17

Abstract:

Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk

22.

Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle

Duke University, Economics Working Paper
Number of pages: 33 Posted: 26 Jun 2003
Ravi Bansal, George Tauchen and Hao Zhou
Duke University and NBER, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 425 (55,683)
Citation 25

Abstract:

Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM

23.

A Study of the Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model

FEDS Discussion Paper No. 2000-45
Number of pages: 44 Posted: 23 Jan 2001
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 424 (53,239)
Citation 5

Abstract:

Monte Carlo Study, Efficient Method of Moments, Maximum Likelihood Estimation, Square-Root Diffusion, Quasi-Maximum Likelihood, Generalized Method of Moments

24.

Term Structure of Interest Rates With Regime Shifts

Downloads 372 ( 65,390)
Citation 97

Term Structure of Interest Rates With Regime Shifts

Board of Governors of the Federal Reserve System-FEDS 2001-46
Number of pages: 58 Posted: 14 Dec 2001
Hao Zhou and Ravi Bansal
Tsinghua University - PBC School of Finance and Duke University and NBER
Downloads 372 (64,762)
Citation 97

Abstract:

Regime switching, term structure of interest rate, reprojection, efficient method of moments

Term Structure of Interest Rates with Regime Shifts

Journal of Finance, Vol. 57, pp. 1997-2043, 2002
Posted: 05 Aug 2004
Ravi Bansal and Hao Zhou
Duke University and NBER and Tsinghua University - PBC School of Finance

Abstract:

25.

Jump-Diffusion Term Structure and Ito Conditional Moment Generator

FEDS Working Paper No. 2001-28
Number of pages: 36 Posted: 21 Sep 2001
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 363 (64,782)
Citation 4

Abstract:

Jump-diffusion, term structure of interest rates, conditional moment generator, multivariate weighted nonlinear least square, market price of risk

26.

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Downloads 253 (100,737)

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 74 Posted: 23 Sep 2015 Last Revised: 29 Jul 2017
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Downloads 196 (129,514)

Abstract:

Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives

Term Structure of Interest Rates with Short-Run and Long-Run Risks

FEDS Working Paper No. 2015-95
Number of pages: 65 Posted: 13 Nov 2015
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 57 (315,472)

Abstract:

Long-run risk, economic uncertainty, term structure of interest rates, bond risk premium, variance risk premium, predictability, interest rate derivatives

27.

Ambiguity Aversion and Variance Premium

Number of pages: 41 Posted: 17 Mar 2012 Last Revised: 16 May 2012
Jianjun Miao, Bin Wei and Hao Zhou
Boston University - Department of Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 245 (104,125)
Citation 2

Abstract:

Ambiguity aversion, learning, variance premium, regime-shift, belief distortion, return predictability

28.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Hui Chen, Hao Wang and Hao Zhou
Massachusetts Institute of Technology, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 230 (57,853)

Abstract:

Stock Return Volatility, Leverage Ratio, Surprise Shocks, Idiosyncratic Volatility, Uncertainty

29.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Credit Spreads

Georgetown McDonough School of Business Research Paper No. 2603022, Columbia Business School Research Paper No. 15-57, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 53 Posted: 07 May 2015 Last Revised: 31 Aug 2016
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 213 (20,394)

Abstract:

Chengtou bond, real estate, corruption, local government financing vehicle, government guarantee, systemic risk

30.

Belief Uncertainty, Volatility Risk Premium, and Speculative Trading

PBCSF-NIFR Research Paper No. 14-03
Number of pages: 45 Posted: 21 Jul 2014 Last Revised: 19 Feb 2016
Ming Guo and Hao Zhou
ShanghaiTech University and Tsinghua University - PBC School of Finance
Downloads 195 (130,299)

Abstract:

Difference-of-opinion regarding signal precision, belief uncertainty, uncertainty premium, trading volume, volatility risk premium

31.

Shadow Banking: China's Dual-Track Interest Rate Liberalization

Number of pages: 47 Posted: 14 May 2015 Last Revised: 28 Jun 2016
Hao Wang, Honglin Wang, Lisheng Wang and Hao Zhou
Tsinghua University, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Chinese University of Hong Kong (CUHK) - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 176 (33,840)

Abstract:

Shadow banking, dual-track reform, interest rate liberalization, Pareto improvement, credit resale

32.

Do Behavioral Biases Affect Order Aggressiveness?

Downloads 131 (183,728)

Do Behavioral Biases Affect Order Aggressiveness?

Asian Finance Association (AsianFA) 2015 Conference Paper, PBCSF-NIFR Research Paper No. 13-01
Number of pages: 61 Posted: 19 Aug 2013 Last Revised: 19 Feb 2016
Jiang Bian, Kalok Chan, Donghui Shi and Hao Zhou
Independent, CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 90 (242,440)

Abstract:

Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Number of pages: 61 Posted: 03 Oct 2016
Jiang Bian, Kalok Chan, Donghui Shi and Hao Zhou
Independent, CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 41 (366,034)

Abstract:

Order submission, Order aggressiveness, Disposition effect

33.

Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy

Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 211 , PBCSF-NIFR Research Paper No. 14-06
Number of pages: 48 Posted: 02 Nov 2014 Last Revised: 18 Feb 2017
Steven Wei Ho, Ji Zhang and Hao Zhou
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 108 (118,233)

Abstract:

international policy spillover, Chinese real-estate market, U.S. monetary policy, policy uncertainty, FA-VAR, shadow rate

34.

China’s Anti-Corruption Campaign and Credit Reallocation to Non-SOEs

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 59 Posted: 01 Feb 2017 Last Revised: 16 Sep 2017
Bo Li, Zhengwei Wang and Hao Zhou
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 0 (118,233)

Abstract:

Anti-corruption, competition, contagion, credit reallocation, financing capacity, political risk

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