Xiaoneng Zhu

Shanghai University of Finance and Economics

Professor

777 Guoding Road

Shanghai, AK Shanghai 200433

China

  • Shanghai University of Finance and Economics

SCHOLARLY PAPERS

12

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12

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3

Scholarly Papers (12)

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1.

Average Skewness Matters!

Swiss Finance Institute Research Paper No. 15-47
Number of pages: 49 Posted: 12 Nov 2015 Last Revised: 07 Dec 2018
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 1,323 (23,123)
Citation 9

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return predictability, average skewness, idiosyncratic skewness

2.

Unspanned Global Macro Risks in Bond Returns

forthcoming in Management Science
Number of pages: 51 Posted: 30 Jan 2014 Last Revised: 31 Aug 2020
Feng Zhao, Guofu Zhou and Xiaoneng Zhu
University of Texas at Dallas - Jindal School of Management, Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 1,203 (26,626)
Citation 2

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Bond risk premia, global economic factor, real-time macroeconomic factors, return predictability, unspanning puzzle.

3.

The Momentum of News

Number of pages: 55 Posted: 08 Nov 2018
Ying Wang, Bohui Zhang and Xiaoneng Zhu
Central University of Finance and Economics (CUFE), The Chinese University of Hong Kong, Shenzhen and Shanghai University of Finance and Economics
Downloads 1,113 (29,870)
Citation 3

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News; Momentum; Fundamentals; Information Environments; Future Returns

4.

Global Disaster Risk Matters

forthcoming in Management Science
Number of pages: 47 Posted: 05 Oct 2017 Last Revised: 11 Feb 2022
Jian Chen, Jiaquan Yao, Qunzi Zhang and Xiaoneng Zhu
Xiamen University - School of Economics, Jinan University - Management School, Shandong University and Shanghai University of Finance and Economics
Downloads 639 (63,606)

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Rare Disaster, International Stock Markets, Global Disaster, Discount Rate Channel, Partial Least Square

5.

When Are Stocks Less Volatile in the Long Run?

Swiss Finance Institute Research Paper No. 18-07
Number of pages: 49 Posted: 30 Jan 2018 Last Revised: 09 Feb 2018
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 410 (109,393)

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Bayesian method, predictive variance, non-negative equity premium

6.

A Tale of One Day: Morning Momentum, Afternoon Reversal

Number of pages: 49 Posted: 22 Aug 2022 Last Revised: 30 Aug 2022
Haoyu Xu and Xiaoneng Zhu
Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 303 (152,487)

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Intraday returns, Reversal, Momentum, Liquidity provision

7.

Crude Awakening: Oil Prices and Bond Returns

Swiss Finance Institute Research Paper No. 19-24
Number of pages: 49 Posted: 15 Apr 2019 Last Revised: 17 Oct 2022
Eric Jondeau, Yuanzhi Wang, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University - School of Economics, Shandong University and Shanghai University of Finance and Economics
Downloads 261 (177,704)

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bond risk premium, demand shocks, oil prices, return predictability

8.

Model Uncertainty and Term Structure Anomalies

Number of pages: 50 Posted: 12 Mar 2015 Last Revised: 19 Nov 2015
Ting Wu and Xiaoneng Zhu
Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 253 (183,271)

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Ambiguity, bond risk premia, model uncertainty, term structure, robustness.

9.

Macroeconomic Expectations in Bond Returns

Number of pages: 73 Posted: 19 Apr 2022
Yuting Gong, Feng Zhao and Xiaoneng Zhu
SILC Business School, Shanghai University, University of Texas at Dallas - Jindal School of Management and Shanghai University of Finance and Economics
Downloads 234 (197,808)

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10.

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Number of pages: 46 Posted: 14 Oct 2014
Rui Chen, Ke Du and Xiaoneng Zhu
Central University of Finance and Economics (CUFE), Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and Shanghai University of Finance and Economics
Downloads 225 (205,367)

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Term structures, Bond market, Arbitrage-free model, Unspanned stochastic volatility, Interest rate derivatives

11.

Oil Strikes Back: Trend Factors and Exchange Rates

Number of pages: 47 Posted: 16 Dec 2018
Liyan Han, Yang Xu, Qunzi Zhang and Xiaoneng Zhu
Beihang University (BUAA) - School of Economic and Management Science, Beijing University of Technology, Shandong University and Shanghai University of Finance and Economics
Downloads 219 (210,728)

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Exchange Rates, Forecasting, Out-of-Sample, Oil, Asset Allocation

12.

Disaster Risks in Bond Returns

Number of pages: 64 Posted: 18 Nov 2019
Hai Lin, Liya Liu, Hao Su and Xiaoneng Zhu
Victoria University of Wellington - Te Herenga Waka - School of Economics & Finance, Shanghai University of Finance and Economics, Shanghai University of Economics and Finance and Shanghai University of Finance and Economics
Downloads 125 (337,791)
Citation 1

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disaster risks; treasury bond; risk premium; predictability