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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

39

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CITATIONS
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744

Scholarly Papers (39)

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1.

Expected Stock Returns and Variance Risk Premia

Downloads 3,205 ( 2,821)
Citation 129

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 2,921 (3,252)
Citation 129

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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 284 (96,124)
Citation 129

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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 2,621 ( 3,990)
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 2,314 (4,836)
Citation 65

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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 307 (88,100)
Citation 65

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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 2,560 ( 4,157)
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 2,143 (5,487)
Citation 21

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

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 29 Posted: 14 Mar 2011 Last Revised: 16 May 2018
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 417 (61,636)

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

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 (7,381)
Citation 87

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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 1,617 ( 9,025)

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 1,560 (9,392)
Citation 56

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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 57 (338,559)
Citation 58

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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)

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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 1,436 ( 10,934)
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 984 (19,332)
Citation 11

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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 452 (55,758)
Citation 11

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

7.

Risk, Uncertainty, and Expected Returns

Downloads 1,435 ( 6,679)

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 1,215 (13,994)
Citation 36

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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 220 (125,251)
Citation 36

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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

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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 890 (22,822)

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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 (23,874)
Citation 26

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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 830 ( 25,248)
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 466 (53,687)
Citation 7

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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 310 (87,158)
Citation 7

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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 54 (347,759)
Citation 7

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

11.

Specification Analysis of Structural Credit Risk Models

Downloads 818 ( 25,808)
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 776 (27,337)
Citation 14

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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 42 (388,205)
Citation 13

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

12.

Variance Risk Premiums and the Forward Premium Puzzle

Downloads 759 ( 28,595)

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 641 (35,508)

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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 107 (231,659)

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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 11 (548,128)

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13.

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 (22,519)
Citation 17

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

14.

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
Warwick Business School, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 740 (22,451)
Citation 4

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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 (39,923)
Citation 52

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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 574 (41,674)
Citation 22

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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 (37,495)

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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 552 ( 43,826)
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 461 (54,414)
Citation 14

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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 54 (347,759)
Citation 14

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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 37 (407,656)
Citation 13

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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 (47,156)
Citation 17

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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 460 ( 55,165)
Citation 1

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

Number of pages: 52 Posted: 28 Nov 2012
Lamont 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 304 (89,107)
Citation 1

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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 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 156 (171,962)
Citation 1

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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 447 (57,106)
Citation 17

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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 431 (59,730)
Citation 25

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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 (56,832)
Citation 5

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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 377 ( 70,084)
Citation 98

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 377 (69,456)
Citation 98

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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

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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 (69,459)
Citation 4

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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 316 ( 85,782)

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 255 (107,745)

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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 61 (327,164)

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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 258 (106,949)
Citation 2

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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 (52,973)

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

29.

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Number of pages: 54 Posted: 21 Jul 2014 Last Revised: 30 Mar 2018
Ming Guo and Hao Zhou
ShanghaiTech University - School of Entrepreneurship and Management and Tsinghua University - PBC School of Finance
Downloads 229 (120,712)

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Subjective model uncertainty, signal mean and precision, option-implied uncertainty premium, variance risk premium, trading volume

30.

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 (17,198)

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

31.

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

Number of pages: 56 Posted: 14 May 2015 Last Revised: 12 Jun 2018
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 (23,271)

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Shadow banking, interest rate liberalization, dual-track reform, Kaldor-Hicks improvement, Pareto improvement

32.

Do Behavioral Biases Affect Order Aggressiveness?

Downloads 153 (174,563)

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
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics, CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 104 (236,377)

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Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Number of pages: 61 Posted: 03 Oct 2016 Last Revised: 30 Oct 2017
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics, CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 49 (363,761)

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Order submission, Order aggressiveness, Disposition effect

33.

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

Journal of Money, Credit, and Banking, Forthcoming, PBCSF-NIFR Research Paper No. 14-06, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 211
Number of pages: 47 Posted: 02 Nov 2014 Last Revised: 28 Feb 2018
Steven Wei Ho, Ji Zhang and Hao Zhou
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 108 (101,209)

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

34.

Variance Risk Premium, Higher Order Risk Premium, and Expected Stock Returns

Number of pages: 60 Posted: 12 Feb 2018 Last Revised: 19 Apr 2018
Zhenzhen Fan, Xiao Xiao and Hao Zhou
School of Finance, Nankai University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tsinghua University - PBC School of Finance
Downloads 0 (177,552)

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Equity risk premium; Predictive regression; Variance risk premium; Higher order risk premium; Option implied information

35.

Active Monetary or Fiscal Policy and Stock-Bond Correlation

Number of pages: 59 Posted: 28 Jan 2018 Last Revised: 26 Feb 2018
Erica X. N. Li, Ji Zhang and Hao Zhou
Cheung Kong Graduate School of Business, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 0 (380,809)

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bond-stock return correlation, monetary-fiscal policy regime, inflation risk premium

36.

Rural‐Urban Disparity and Sectoral Labour Allocation in China

Journal of Development Studies (1997)
Number of pages: 29 Posted: 09 Oct 2017
Dennis Tao Yang and Hao Zhou
Chinese University of Hong Kong - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 0 (551,872)
Citation 12

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37.

Leverage-Induced Fire Sales and Stock Market Crashes

Number of pages: 67 Posted: 04 Oct 2017
Jiangze Bian, Zhiguo He, Kelly Shue and Hao Zhou
University of International Business and Economics, University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 0 (86,114)

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Fire Sales, Leverage, Financial Crisis, Margin Trading, Shadow Financing

38.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 48 Posted: 28 Sep 2017 Last Revised: 30 Oct 2017
Jiangze Bian, Zhi Da, Dong Lou and Hao Zhou
University of International Business and Economics, University of Notre Dame - Mendoza College of Business, London School of Economics & Political Science (LSE) and Tsinghua University - PBC School of Finance
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39.

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

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 59 Posted: 01 Feb 2017 Last Revised: 09 Nov 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
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Anti-corruption, competition, contagion, credit reallocation, financing capacity, political risk