Jing-Zhi Huang

Pennsylvania State University - University Park - Department of Finance

University Park, PA 16802

United States

http://www.personal.psu.edu/jxh56

SCHOLARLY PAPERS

40

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26,512

SSRN CITATIONS
Rank 825

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Top 825

in Total Papers Citations

1,282

CROSSREF CITATIONS

587

Scholarly Papers (40)

How Much of Corporate-Treasury Yield Spread is Due to Credit Risk?

Forthcoming in the Review of Asset Pricing Studies, 14th Annual Conference on Financial Economics and Accounting (FEA); Texas Finance Festival; 2003 Western Finance Association Meetings
Number of pages: 57 Posted: 15 Jan 2004 Last Revised: 05 Oct 2012
Jing-Zhi Huang and Ming Huang
Pennsylvania State University - University Park - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,158 (3,316)
Citation 140

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Credit risk, credit spread puzzle, time varying risk premia, jumps and stochastic asset volatility

How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?

NYU Working Paper No. S-CDM-02-05
Number of pages: 70 Posted: 05 Nov 2008
Jing-Zhi Huang and Ming Huang
Pennsylvania State University - University Park - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 835 (55,569)
Citation 228

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How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?

NYU Working Paper No. FIN-02-040
Number of pages: 70 Posted: 03 Nov 2008 Last Revised: 10 Oct 2012
Jing-Zhi Huang and Ming Huang
Pennsylvania State University - University Park - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 547 (96,152)

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2.

Structural Models of Corporate Bond Pricing: An Empirical Analysis

Number of pages: 68 Posted: 21 Mar 2002
Young Ho Eom, Jing-Zhi Huang and Jean Helwege
Yonsei University, Pennsylvania State University - University Park - Department of Finance and UC Riverside
Downloads 3,489 (6,477)
Citation 174

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Credit risk, structural models

An Analytical Approach to the Valuation of American Path-Dependent Options

Salomon Center WP S-96-42
Number of pages: 43 Posted: 23 Jan 1997
Jing-Zhi Huang, Bin Gao and Marti G. Subrahmanyam
Pennsylvania State University - University Park - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,789 (18,326)

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An Analytic Approach to the Valuation of American Path Dependent Options

NYU Working Paper No. FIN-96-015
Number of pages: 47 Posted: 07 Nov 2008
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 120 (439,973)

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Real-Time Profitability of Published Anomalies: An Out-of-Sample Test

Quarterly Journal of Finance, Volume 3, Issue 3n4, 2013
Number of pages: 40 Posted: 17 Mar 2010 Last Revised: 25 Aug 2014
Jing-Zhi Huang and Zhijian (James) Huang
Pennsylvania State University - University Park - Department of Finance and Rochester Institute of Technology (RIT) - Department of Accounting and Finance
Downloads 882 (51,554)
Citation 4

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Data-snooping Bias, Asset-pricing Anomalies, Out-of-sample Test, Published Anomalies

5.
Downloads 1,232 (32,655)
Citation 41

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 944 (46,920)
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 Tsinghua University - PBC School of Finance
Downloads 288 (200,025)
Citation 15

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

6.

Liquidity Effects in Corporate Bond Spreads

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 23 Nov 2011 Last Revised: 18 Aug 2013
Jean Helwege, Jing-Zhi Huang and Yuan Wang
UC Riverside, Pennsylvania State University - University Park - Department of Finance and Concordia University, Quebec
Downloads 994 (44,395)
Citation 27

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Corporate bond spreads, Liquidity risk, Credit risk, Pairwise difference estimation

Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

Number of pages: 46 Posted: 30 Mar 2000
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 825 (56,617)
Citation 7

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Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

NYU Working Paper No. FIN-99-048
Number of pages: 46 Posted: 11 Nov 2008
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 105 (486,619)

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Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt

NYU Working Paper No. FIN-01-043
Number of pages: 46 Posted: 03 Nov 2008
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 61 (677,649)

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An Econometric Model of Credit Spreads with Rebalancing, Arch and Jump Effects

Number of pages: 42 Posted: 23 May 2003
Herman J. Bierens, Jing-Zhi Huang and Weipeng Kong
Pennsylvania State University - College of the Liberal Arts - Department of Economic, Pennsylvania State University - University Park - Department of Finance and Pennsylvania State University
Downloads 697 (70,641)
Citation 10

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Credit risk, corporate bonds, credit spread index, index rebalancing, jumps

An Econometric Model of Credit Spreads with Rebalancing, Arch and Jump Effects

NYU Working Paper No. S-CDM-03-07
Number of pages: 43 Posted: 05 Nov 2008
Herman J. Bierens and Jing-Zhi Huang
Pennsylvania State University - College of the Liberal Arts - Department of Economic and Pennsylvania State University - University Park - Department of Finance
Downloads 85 (560,876)

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Credit risk, corporate bonds, credit spread index, index rebalancing, jumps

An Economeic Model of Credit Spreads with Rebalancing, Arch and Jump Effects

NYU Working Paper No. FIN-03-012
Number of pages: 43 Posted: 11 Nov 2008
Herman J. Bierens, Jing-Zhi Huang and Weipeng Kong
Pennsylvania State University - College of the Liberal Arts - Department of Economic, Pennsylvania State University - University Park - Department of Finance and Pennsylvania State University
Downloads 65 (655,346)

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Credit risk, corporate bonds, credit spread index, index rebalancing, jumps

9.

Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance

Number of pages: 98 Posted: 17 Mar 2010 Last Revised: 10 Nov 2021
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 791 (60,755)
Citation 1

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Bond excess returns, Unspanned predictability, Machine learning

10.

Should Investors Invest in Hedge Fund-Like Mutual Funds? Evidence from the 2007 Financial Crisis

Journal of Financial Intermediation Vol. 22, Iss. 3, pp. 482-512, 2013
Number of pages: 44 Posted: 02 Jan 2010 Last Revised: 10 Jun 2014
Jing-Zhi Huang and Ying Wang
Pennsylvania State University - University Park - Department of Finance and State University of New York at Albany - School of Business
Downloads 742 (66,089)
Citation 4

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Hedge fund-like mutual funds, 130/30 funds, market neutral funds, long/short funds, financial crisis

11.

Credit Spread Bounds and Their Implications for Credit Risk Modeling

Number of pages: 44 Posted: 22 Jul 2001
Jing-Zhi Huang and Ren-Raw Chen
Pennsylvania State University - University Park - Department of Finance and Fordham University - Gabelli School of Business
Downloads 740 (66,341)
Citation 4

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Credit risk modeling, Credit spread bounds

12.

Macroeconomic News Announcements and Corporate Bond Credit Spreads

Number of pages: 32 Posted: 27 Mar 2005
Jing-Zhi Huang and Weipeng Kong
Pennsylvania State University - University Park - Department of Finance and Pennsylvania State University
Downloads 643 (79,354)
Citation 7

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Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Journal of Finance and Data Science, Forthcoming
Number of pages: 36 Posted: 19 Mar 2009 Last Revised: 15 Jun 2018
Jing-Zhi Huang, John Liechty and Marco Rossi
Pennsylvania State University - University Park - Department of Finance, Pennsylvania State University, University Park and Texas A&M
Downloads 367 (154,160)

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Hedge Funds, Smoothing, Performance Persistence, Bayesian Model

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Number of pages: 45 Posted: 18 Mar 2010 Last Revised: 21 Mar 2010
Jing-Zhi Huang, John Liechty and Marco Rossi
Pennsylvania State University - University Park - Department of Finance, Pennsylvania State University, University Park and Texas A&M
Downloads 253 (228,242)

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Hedge funds, return smoothing, performance persistence, Bayesian analysis, time-varying betas

14.

Testing Moving Average Trading Strategies on ETFs

Number of pages: 44 Posted: 12 Mar 2018
Jing-Zhi Huang and Zhijian (James) Huang
Pennsylvania State University - University Park - Department of Finance and Rochester Institute of Technology (RIT) - Department of Accounting and Finance
Downloads 613 (84,219)
Citation 1

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Moving Average, Technical Trading Rules, Data-Snooping Bias, Exchange Traded Funds

15.

Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 53 Posted: 24 May 2013 Last Revised: 23 Sep 2021
Xuanjuan Chen, Jing-Zhi Huang, Zhenzhen Sun, Tong Yao and Tong Yu
Shanghai University of Finance and Economics, Pennsylvania State University - University Park - Department of Finance, University of Massachusetts Dartmouth, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 599 (86,727)
Citation 8

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Corporate Bond Holdings, Liquidity Clientele, Corporate Bond Liquidity and Spreads

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

Number of pages: 47 Posted: 03 Aug 2003
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 425 (130,311)
Citation 1

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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

NYU Working Paper No. S-DRP-03-09
Number of pages: 48 Posted: 07 Nov 2008
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 54 (719,380)
Citation 60

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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

NYU Working Paper No. FIN-03-016
Number of pages: 48 Posted: 11 Nov 2008
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 52 (732,158)
Citation 26

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17.

Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings

Management Science 60 (8), 2091-2109, 2014
Number of pages: 36 Posted: 10 Nov 2008 Last Revised: 02 Feb 2015
Jing-Zhi Huang and Ying Wang
Pennsylvania State University - University Park - Department of Finance and State University of New York at Albany - School of Business
Downloads 430 (129,864)
Citation 10

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Market Timing, Government Bond Funds, Holdings-based Timing Measure, Bootstrap

18.

Debt Covenants and Cross-Sectional Equity Returns

Management Science, Forthcoming
Number of pages: 48 Posted: 20 Mar 2012 Last Revised: 05 Sep 2015
Jean Helwege, Jing-Zhi Huang and Yuan Wang
UC Riverside, Pennsylvania State University - University Park - Department of Finance and Concordia University, Quebec
Downloads 415 (135,273)
Citation 9

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The Valuation of American Barrier Options Using the Decomposition Technique

NYU Working Paper No. FIN-99-002
Number of pages: 47 Posted: 07 Nov 2008
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 314 (182,492)
Citation 2

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The Valuation of American Barrier Options Using the Decomposition Technique

NYU Working Paper No. FIN-98-067
Number of pages: 44 Posted: 11 Nov 2008
Marti G. Subrahmanyam and Jing-Zhi Huang
New York University (NYU) - Leonard N. Stern School of Business and Pennsylvania State University - University Park - Department of Finance
Downloads 98 (514,495)

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The Valuation of American Barrier Options Using The Decomposition Technique

Posted: 08 Feb 2001
Bin Gao, Jing-Zhi Huang and Marti G. Subrahmanyam
University of North Carolina (UNC) at Chapel Hill - Finance Area, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business

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20.
Downloads 393 (143,981)
Citation 22

When Does Strategic Debt-Service Matter?

Number of pages: 45 Posted: 27 May 2002
New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 280 (205,904)
Citation 2

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strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management

When Does Strategic Debt Service Matter?

NYU Working Paper No. FIN-02-013
Number of pages: 45 Posted: 03 Nov 2008
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 55 (713,181)

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When Does Strategic Debt Service Matter?

NYU Working Paper No. S-CDM-02-03
Number of pages: 45 Posted: 05 Nov 2008
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 35 (858,823)

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When Does Strategic Debt-Service Matter?

Number of pages: 47 Posted: 13 Nov 2002
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance
Downloads 23 (972,326)
Citation 1
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Strategic debt-service, interaction of optionalities, liquidity default, strategic default, cash-management

When Does Strategic Debt Service Matter?

Economic Theory, pp. 1-16, April 2006
Posted: 09 May 2006
New York University (NYU) - Leonard N. Stern School of Business, Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Finance

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Strategic debt-service, optimal cash management, liquidity defaults, strategic defaults, yield spreads

Time Variation in Diversification Benefits of Commodity, REITs, and TIPS

Number of pages: 58 Posted: 17 Mar 2006 Last Revised: 24 Mar 2011
Jing-Zhi Huang and Zhaodong Zhong
Pennsylvania State University - University Park - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 335 (170,287)
Citation 16

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Diversification, Commodity, REITs, TIPS, DCC

Time Variation in Diversification Benefits of Commodity, REITs, and TIPS

Journal of Real Estate Finance and Economics, Vol. 46, No. 1, 2013, Forthcoming
Posted: 21 Dec 2012
Jing-Zhi Huang and Zhaodong Zhong
Pennsylvania State University - University Park - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

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diversification, commodity, REITs, TIPS, DCC

22.

Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market

PBCSF-NIFR Research Paper
Number of pages: 67 Posted: 02 Mar 2020 Last Revised: 29 Oct 2020
Jing-Zhi Huang, Bibo Liu and Zhan Shi
Pennsylvania State University - University Park - Department of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 314 (183,770)
Citation 9

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Corporate credit spreads, Structural credit risk models, Commercial papers, Debt market liquidity

23.

Can structural credit risk models hedge interest rate risk in corporate bonds?

Number of pages: 76 Posted: 12 Feb 2016 Last Revised: 10 Aug 2020
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 286 (202,695)
Citation 1

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structural credit risk models, interest rate sensitivity puzzle, hedge ratios for corporate bond returns, dynamic term structure models, bond market liquidity

24.

Breadth of Ownership and the Cross Section of Corporate Bond Returns

Management Science, Forthcoming
Number of pages: 70 Posted: 09 Feb 2018 Last Revised: 17 Apr 2023
Jing-Zhi Huang, Nan Qin and Ying Wang
Pennsylvania State University - University Park - Department of Finance, College of Business, Northern Illinois University and State University of New York at Albany - School of Business
Downloads 266 (218,171)
Citation 6

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Miller’s theory • breadth of corporate bond fund ownership • corporate bond return predictability • short-sale constraints • divergence of opinions

Inflation Risk Premium: Evidence from the TIPS Market

FEDS Working Paper No. 2012-06
Number of pages: 49 Posted: 22 Mar 2012
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance
Downloads 243 (237,549)
Citation 25

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TIPS market, expected inflation, inflation risk premium, term structure of real rates, TIPS liquidity

Inflation Risk Premium: Evidence from the TIPS Market

Journal of Fixed Income, Vol. 22, No. 4, 2013
Posted: 21 Mar 2008 Last Revised: 22 May 2019
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance

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TIPS market, inflation risk premium, TIPS liquidity, expected inflation, term structure of real rates, liquidity

Inflation Risk Premium: Evidence from the Tips Market

Posted: 18 Feb 2009
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance

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TIPS market, inflation risk premium, expected inflation

Inflation Risk Premium: Evidence from the Tips Market

Posted: 23 Mar 2009
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance

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26.

Asset Growth Anomaly of Corporate Bonds: A Decomposition Analysis

Number of pages: 60 Posted: 23 Nov 2021 Last Revised: 05 Jun 2024
Fang Chen, Yifei Li, Wenfeng Wu, Tong Yu and Jing-Zhi Huang
University of New Haven, University of Nevada Reno, Shanghai Jiao Tong University - Antai College of Economics & Management, University of Cincinnati - Department of Finance - Real Estate and Pennsylvania State University - University Park - Department of Finance
Downloads 186 (307,465)

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27.

Low-Price Effect: Evidence from the Chinese IPO Market

Kelley School of Business Research Paper No. 18-25
Number of pages: 50 Posted: 31 Mar 2018
Jing-Zhi Huang, Zhijian (James) Huang and Xiaoyun Yu
Pennsylvania State University - University Park - Department of Finance, Rochester Institute of Technology (RIT) - Department of Accounting and Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 175 (323,076)

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Low-Price Effect, Initial Public Offering, Chinese Stock Market, Nominal Price Illusion, Investor Attention

28.

Rainy Day Liquidity

Number of pages: 58 Posted: 03 Jun 2019 Last Revised: 07 Sep 2021
Jing-Zhi Huang, Xin Li, Mehmet Saglam and Tong Yu
Pennsylvania State University - University Park - Department of Finance, Michigan Technological University - College of Business, University of Cincinnati - Department of Finance - Real Estate and University of Cincinnati - Department of Finance - Real Estate
Downloads 167 (336,541)

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Liquidity provision, Market liquidity, Corporate bonds, Funding liquidity, Life insurance

Pricing and Hedging American Options: A Recursive Integration Method

NYU Working Paper No. FIN-95-025
Number of pages: 32 Posted: 11 Nov 2008
Jing-Zhi Huang, Marti G. Subrahmanyam and George C Yu
Pennsylvania State University - University Park - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business and O'Melveny & Myers LLP
Downloads 153 (362,487)
Citation 24

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Pricing and Hedging American Options: A Recursive Integration Method

REVIEW OF FINANCIAL STUDIES, Vol 9 No. 1
Posted: 20 Jul 1998
Jing-Zhi Huang and Marti G. Subrahmanyam
Pennsylvania State University - University Park - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business

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30.

Does Ownership Concentration Affect Corporate Bond Volatility? Evidence from Bond Mutual Funds

Journal of Banking and Finance, Forthcoming
Number of pages: 57 Posted: 22 May 2020 Last Revised: 14 May 2024
Jing-Zhi Huang, Yan Wang and Ying Wang
Pennsylvania State University - University Park - Department of Finance, McMaster University and State University of New York at Albany - School of Business
Downloads 149 (370,285)

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Excess corporate bond volatility, ownership concentration, corporate bond illiquidity, corporate bond mutual funds, liquidity shocks, price fragility

31.

Informed Trading and Variations in Trading Volume and Liquidity: Evidence from Index CDSs

Number of pages: 60 Posted: 16 Jun 2020 Last Revised: 11 Jan 2023
Jing-Zhi Huang, Xinjie Wang, Weike Xu and Zhaodong Zhong
Pennsylvania State University - University Park - Department of Finance, Southern University of Science and Technology, Clemson University - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 147 (374,463)
Citation 2

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informed trading, index CDSs, intraday trading pattern, trading costs, COVID-19

32.

Why Do Firms Issue Guaranteed Bonds?

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 16 Feb 2015 Last Revised: 13 Aug 2018
Fang Chen, Jing-Zhi Huang, Zhenzhen Sun and Tong Yu
University of New Haven, Pennsylvania State University - University Park - Department of Finance, University of Massachusetts Dartmouth and University of Cincinnati - Department of Finance - Real Estate
Downloads 109 (470,600)
Citation 1

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Guarantee, Credit Enhancement, Corporate Bonds, Credit Rating, Corporate Investments

33.

The Global Credit Spread Puzzle

PBCSF-NIFR Research Paper
Number of pages: 212 Posted: 24 Sep 2019 Last Revised: 14 Mar 2024
Jing-Zhi Huang, Yoshio Nozawa and Zhan Shi
Pennsylvania State University - University Park - Department of Finance, University of Toronto and Tsinghua University - PBC School of Finance
Downloads 94 (520,773)

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Corporate credit spreads, Credit spread puzzle, Structural credit risk models, Endogenous Liquidity, Search, Credit default swaps, Fixed income asset pricing

34.

Return-Based Firm-Specific Sentiment Measure under the Unique 'T+1' Trading Rule in China

Number of pages: 86 Posted: 01 Feb 2024
Pennsylvania State University - University Park - Department of Finance, Rochester Institute of Technology (RIT) - Department of Accounting and Finance, Central South University - School of Business and Central South University - School of Business
Downloads 75 (596,613)

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'T+1' trading rule, Investor sentiment, Overnight return, Short-term speculation

35.

What Do We Know About Corporate Bond Returns?

Annual Review of Financial Economics, Vol. 13, pp. 363-399, 2021
Posted: 09 Nov 2021
Jing-Zhi Huang and Zhan Shi
Pennsylvania State University - University Park - Department of Finance and Tsinghua University

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36.

The Inflation Risk Premium: Evidence from the TIPS Market

Midwest Finance Association 2013 Annual Meeting Paper, https://doi.org/10.3905/jfi.2013.22.4.005
Posted: 21 May 2019
Olesya V. Grishchenko and Jing-Zhi Huang
Board of Governors of the Federal Reserve System and Pennsylvania State University - University Park - Department of Finance

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TIPS market, inflation risk premium, expected inflation, term structure of real rates, liquidity

37.

The Information Content of Basel III Liquidity Risk Measures

Journal of Financial Stability, 2014, 15, 91-111
Posted: 25 Oct 2013 Last Revised: 24 Aug 2022
Han Hong, Jing-Zhi Huang and Deming Wu
Stanford University, Pennsylvania State University - University Park - Department of Finance and Government of the United States of America - Office of the Comptroller of the Currency (OCC)

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Basel III, Liquidity coverage ratio, Net stable funding ratio, Liquidity risk, Bank failure, Insolvency risk

38.

Sentiment and Corporate Bond Valuations Before and After the Onset of the Credit Crisis

Journal of Fixed Income, Forthcoming
Posted: 26 Jul 2013 Last Revised: 22 May 2019
Jing-Zhi Huang, Marco Rossi and Yuan Wang
Pennsylvania State University - University Park - Department of Finance, Texas A&M and Concordia University, Quebec

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sentiment, credit crisis, equity/bond market integration

Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices

Stern School of Business Working Paper No. FIN-03-013
Posted: 11 Jun 2003
Jing-Zhi Huang and Weipeng Kong
Pennsylvania State University - University Park - Department of Finance and Pennsylvania State University

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Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices

New York University, Stern School of Business Finance Paper No. 03-013
Posted: 28 Jun 2003
Jing-Zhi Huang and Weipeng Kong
Pennsylvania State University - University Park - Department of Finance and Pennsylvania State University

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Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices

NYU Working Paper No. S-CDM-03-08
Posted: 05 Nov 2008
Jing-Zhi Huang
Pennsylvania State University - University Park - Department of Finance

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Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices

NYU Working Paper No. S-FI-03-22
Posted: 11 Nov 2008
Jing-Zhi Huang
Pennsylvania State University - University Park - Department of Finance

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Explaining Credit Spread Changes: Some New Evidence from Option-Adjusted Spreads of Bond Indices

NYU Working Paper No. FIN-03-013
Posted: 11 Nov 2008
Jing-Zhi Huang and Weipeng Kong
Pennsylvania State University - University Park - Department of Finance and Pennsylvania State University

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40.

Riding the Waves: How Do Interest Rate Changes Affect Corporate Bond Mutual Fund Flows? *

Number of pages: 47
Pennsylvania State University - University Park - Department of Finance, Department of Finance, College of Business, SUSTech, State University of New York at Albany - School of Business, Southern University of Science and Technology, affiliation not provided to SSRN and School of Business, Southern University of Science and Technology, China
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bond fund investor behavior, corporate bond mutual fund flows, investment-grade bond funds, high-yield bond funds, interest rate risk, credit risk, monetary policy, financial stability, interest rate changes