Hao Zhou

SUSTech Business School

Dean and Chair Professor

1088 Xueyuan Avenue, Nanshan District

Southern University of Science and Technology

Shenzhen, Guangdong

China

Tsinghua University - PBC School of Finance

Professor of Finance

No. 43, Chengfu Road

Haidian District

Beijing, 100083

China

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 896

SSRN RANKINGS

Top 896

in Total Papers Downloads

39,502

SSRN CITATIONS
Rank 447

SSRN RANKINGS

Top 447

in Total Papers Citations

1,325

CROSSREF CITATIONS

779

Scholarly Papers (45)

1.
Downloads 3,682 ( 4,113)
Citation 316

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
Duke University - Finance, Duke University - Economics Group and SUSTech Business School
Downloads 3,354 (4,781)
Citation 55

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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 SUSTech Business School
Downloads 328 (128,998)
Citation 302

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

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 50 Posted: 07 May 2009 Last Revised: 24 Aug 2012
Hao Zhou
SUSTech Business School
Downloads 2,263 (9,026)
Citation 32

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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: 26 Aug 2018
Hao Zhou
SUSTech Business School
Downloads 576 (66,381)
Citation 45

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

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Annual Review of Financial Economics, Vol. 10, pp. 481-497, 2018
Posted: 08 Nov 2018
Hao Zhou
SUSTech Business School

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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
Duke University - Finance, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 2,465 (7,902)
Citation 5

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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
Duke University - Finance, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 360 (116,415)
Citation 103

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

4.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost

Georgetown McDonough School of Business Research Paper No. 2603022, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 48 Posted: 07 May 2015 Last Revised: 29 Jul 2019
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - Department of Finance and SUSTech Business School
Downloads 2,027 (11,073)
Citation 13

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Chinese local government debt, real estate, political risk, government guarantee

5.

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
UBS AG, SUSTech Business School and Bank for International Settlements (BIS)
Downloads 1,875 (12,524)
Citation 62

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

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, SUSTech Business School and Bank for International Settlements (BIS)
Downloads 1,628 (15,383)
Citation 6

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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, SUSTech Business School and Bank for International Settlements (BIS)
Downloads 99 (367,189)
Citation 20

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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, SUSTech Business School 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

7.

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

Number of pages: 58 Posted: 14 May 2015 Last Revised: 16 Oct 2021
Tsinghua University, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Chinese University of Hong Kong (CUHK) - Department of Economics and SUSTech Business School
Downloads 1,709 (14,547)
Citation 25

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

8.
Downloads 1,625 ( 10,251)
Citation 22

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 - McDonough School of Business and SUSTech Business School
Downloads 1,363 (20,064)
Citation 19

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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 - McDonough School of Business and SUSTech Business School
Downloads 262 (162,858)
Citation 3

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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 - McDonough School of Business and SUSTech Business School

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

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
Duke University - Finance, University of Chicago, Independent and SUSTech Business School
Downloads 1,014 (31,068)
Citation 7

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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
Duke University - Finance, University of Chicago, Duke University and SUSTech Business School
Downloads 497 (79,935)
Citation 84

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

10.

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: 53 Posted: 27 Oct 2014 Last Revised: 18 Feb 2019
Hui Guo, Kent Wang and Hao Zhou
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and SUSTech Business School
Downloads 1,124 (27,169)
Citation 5

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

11.
Downloads 1,110 ( 27,706)
Citation 27

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 SUSTech Business School
Downloads 865 (38,851)
Citation 22

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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

Number of pages: 61 Posted: 04 Mar 2007 Last Revised: 10 Feb 2019
Jing-Zhi Huang, Zhan Shi and Hao Zhou
Pennsylvania State University - University Park - Department of Finance, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 245 (173,978)
Citation 15

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

12.

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

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 66 Posted: 01 Feb 2017 Last Revised: 15 Mar 2022
Bo Li, Zhengwei Wang and Hao Zhou
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 1,014 (31,533)

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Anti-corruption, credit allocation, state ownership, public disclosure

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, SUSTech Business School and Bank for International Settlements (BIS)
Downloads 1,014 (31,533)
Citation 25

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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
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and SUSTech Business School
Downloads 1,003 (31,991)
Citation 12

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15.

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 SUSTech Business School
Downloads 902 (37,156)
Citation 40

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

16.
Downloads 883 ( 38,290)
Citation 10

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, SUSTech Business School and San Francisco State University
Downloads 497 (79,935)
Citation 1

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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, SUSTech Business School and San Francisco State University
Downloads 322 (131,479)
Citation 4

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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
SUSTech Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 64 (474,075)
Citation 6

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

17.
Downloads 874 ( 38,874)
Citation 15

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
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 686 (53,057)
Citation 2

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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
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 125 (311,735)
Citation 13

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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
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 63 (477,941)
Citation 1

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18.

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 SUSTech Business School
Downloads 829 (41,821)
Citation 8

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

19.
Downloads 748 ( 47,901)
Citation 3

Leverage-Induced Fire Sales and Stock Market Crashes

Number of pages: 67 Posted: 04 Oct 2017
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and SUSTech Business School
Downloads 626 (59,674)
Citation 2

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

Leverage-Induced Fire Sales and Stock Market Crashes

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-28, Yale ICF Working Paper No. 2019-07
Number of pages: 72 Posted: 04 Mar 2019
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and SUSTech Business School
Downloads 82 (413,105)
Citation 2

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Leverage-Induced Fire Sales and Stock Market Crashes

NBER Working Paper No. w25040
Number of pages: 72 Posted: 17 Sep 2018 Last Revised: 03 Jun 2022
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and SUSTech Business School
Downloads 40 (584,188)
Citation 1

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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
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 519 (75,687)
Citation 17

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Corporate bond yields, credit default swaps, liquidity

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
Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 87 (398,606)
Citation 7

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Corporate bond spreads, credit default swaps, liquidity

21.

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 SUSTech Business School
Downloads 658 (56,683)
Citation 13

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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

22.

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
SUSTech Business School and Duke University - Finance
Downloads 633 (59,555)
Citation 28

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

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

Number of pages: 52 Posted: 28 Nov 2012
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 347 (121,266)
Citation 7

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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

International Finance Discussion Paper No. 1083
Number of pages: 60 Posted: 30 May 2017 Last Revised: 11 Jun 2017
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 269 (158,518)
Citation 5

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24.

Moment Risk Premia and Stock Return Predictability

Number of pages: 54 Posted: 12 Feb 2018 Last Revised: 12 Aug 2020
Zhenzhen Fan, Xiao Xiao and Hao Zhou
University of Manitoba - Department of Accounting and Finance, University of Amsterdam - Amsterdam Business School and SUSTech Business School
Downloads 612 (62,197)
Citation 8

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Moment risk premia; Variance risk premium; Option-implied moments; Stock return predictability; Predictive regression

25.

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

Number of pages: 34 Posted: 18 Sep 2003
Hao Zhou and Tim Bollerslev
SUSTech Business School and Duke University - Finance
Downloads 596 (64,303)
Citation 25

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

26.

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, SUSTech Business School and Bank for International Settlements (BIS)
Downloads 551 (71,012)
Citation 20

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

27.

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
SUSTech Business School
Downloads 504 (79,294)

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

28.

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 SUSTech Business School
Downloads 473 (85,571)
Citation 2

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

29.

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 SUSTech Business School
Downloads 455 (89,613)
Citation 11

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

30.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 58 Posted: 28 Sep 2017 Last Revised: 13 Mar 2019
Jiangze Bian, Zhi Da, Dong Lou and Hao Zhou
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, London School of Economics & Political Science (LSE) and SUSTech Business School
Downloads 440 (93,138)
Citation 19

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Margin trading, leverage, contagion, network centrality

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
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and SUSTech Business School
Downloads 343 (122,852)
Citation 3

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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
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and SUSTech Business School
Downloads 76 (432,054)

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

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

Number of pages: 71 Posted: 18 Apr 2022
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and SUSTech Business School
Downloads 16 (759,002)

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

32.
Downloads 416 ( 99,424)
Citation 69

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
SUSTech Business School and Duke University and NBER
Downloads 416 (98,574)
Citation 69

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

Term Structure of Interest Rates with Regime Shifts

Posted: 05 Aug 2004
Ravi Bansal and Hao Zhou
Duke University and NBER and SUSTech Business School

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33.

Jump-Diffusion Term Structure and Ito Conditional Moment Generator

Number of pages: 36 Posted: 21 Sep 2001
Hao Zhou
SUSTech Business School
Downloads 411 (100,829)
Citation 5

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

34.

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 SUSTech Business School
Downloads 381 (109,999)
Citation 1

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

35.
Downloads 374 (112,281)
Citation 13

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 SUSTech Business School
Downloads 314 (134,996)
Citation 12

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

Ambiguity Aversion and Variance Premium

FRB Atlanta Working Paper No. 2018-14
Number of pages: 41 Posted: 31 Jan 2019 Last Revised: 29 Apr 2020
Jianjun Miao, Bin Wei and Hao Zhou
Boston University - Department of Economics, Federal Reserve Bank of Atlanta and SUSTech Business School
Downloads 60 (489,876)
Citation 3

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ambiguity aversion, learning, variance premium, regime shifts, belief distortion

36.

Variance Risk Premiums in Emerging Markets

Number of pages: 93 Posted: 25 Jun 2018 Last Revised: 02 Aug 2021
Fang Qiao, Lai Xu, Xiaoyan Zhang and Hao Zhou
University of International Business and Economics (UIBE) - School of Banking and Finance, Syracuse University, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 366 (115,067)
Citation 4

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Variance risk premium, emerging markets, stock return predictability, currency return predictability, market integration, economic uncertainty

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Number of pages: 59 Posted: 21 Jul 2014 Last Revised: 29 Jul 2019
Ming Guo, Ming Guo and Hao Zhou
ShanghaiTech UniversityShanghaiTech University - School of Entrepreneurship and Management and SUSTech Business School
Downloads 267 (159,705)

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subjective model uncertainty, signal precision or mean, option-implied uncertainty premium, variance risk premium, trading volume

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Number of pages: 54 Posted: 30 Jun 2013 Last Revised: 29 Jul 2019
Ming Guo, Ming Guo and Hao Zhou
ShanghaiTech UniversityShanghaiTech University - School of Entrepreneurship and Management and SUSTech Business School
Downloads 66 (466,500)

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

38.
Downloads 324 (131,406)
Citation 3

Margin Trading and Leverage Management

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-29
Number of pages: 74 Posted: 11 Mar 2021
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, University of Chicago - Finance, London School of Economics & Political Science (LSE), Yale School of Management and SUSTech Business School
Downloads 278 (153,278)
Citation 4

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margin trading, leverage management, liquidation policy, contagion

Margin Trading and Leverage Management

Number of pages: 74 Posted: 22 Mar 2021
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, University of Chicago - Finance, London School of Economics & Political Science (LSE), Yale School of Management and SUSTech Business School
Downloads 46 (552,502)

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margin trading, leverage management, liquidation policy, contagion

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Journal of Monetary Economics, Forthcoming
Number of pages: 62 Posted: 28 Jan 2018 Last Revised: 07 Mar 2022
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 272 (156,785)
Citation 2

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Stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

NBER Working Paper No. w27861
Number of pages: 50 Posted: 28 Sep 2020 Last Revised: 17 Jun 2022
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 10 (818,233)

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40.

Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime

FRB Atlanta Working Paper No. 2020-19
Number of pages: 54 Posted: 20 Apr 2021
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 245 (174,549)

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stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

41.
Downloads 239 (178,770)
Citation 2

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: 15 Sep 2018
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and SUSTech Business School
Downloads 157 (260,635)
Citation 2

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Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Review of Finance, forthcoming
Number of pages: 61 Posted: 03 Oct 2016 Last Revised: 10 Nov 2021
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and SUSTech Business School
Downloads 82 (413,105)

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Order submission, Order aggressiveness, Disposition effect

42.

Not All Bonds Are Created Equal - As Benchmarks for Corporate Bonds

Number of pages: 69 Posted: 09 Jul 2021
Keqi Chen, Yi Huang, Kathy Yuan and Hao Zhou
Tsinghua University, PBC School of Finance, Students, Graduate Institute of International and CEPR, London School of Economics & Political Science (LSE) - Department of Finance and SUSTech Business School
Downloads 73 (436,703)

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Municipal corporate bond; Benchmark Bonds; Government Bonds; Spanning enhance- ment; Price discovery; Maturity impact.

43.

Real(istic) Time-Varying Probability of Consumption Disasters

Number of pages: 64 Posted: 30 Apr 2021 Last Revised: 18 May 2021
Xiaoyu Huang, Tao Jin and Hao Zhou
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 70 (446,605)

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consumption disasters, time-varying probability, asset pricing, risk aversion, equity-premium prediction

44.

Countercyclical Risk Aversion: Evidence from 10 Million Auto Insurance Transactions in China

Number of pages: 58 Posted: 10 Apr 2020
Fudan University - Fanhai International School of Finance (FISF), Tsinghua University - School of Economics & Management, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 66 (460,350)

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Risk Aversion, Countercyclical, Auto Insurance

45.

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 SUSTech Business School
Downloads 22 (685,397)

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