Chu Zhang

Hong Kong University of Science & Technology (HKUST) - Department of Finance

not provided

Clear Water Bay, Kowloon

Hong Kong

SCHOLARLY PAPERS

9

DOWNLOADS
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SSRN RANKINGS

Top 34,374

in Total Papers Downloads

1,862

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Testing the Apt with Maximum Sharpe Ratio of Extracted Factors

Number of pages: 37 Posted: 16 Mar 2006
Chu Zhang
Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 444 (85,252)

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APT, Sharpe ratio, extracted factors, pricing error, eigenvalues

2.

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 12 Nov 2018
Yung Chiang Yang, Bohui Zhang and Chu Zhang
University College Dublin (UCD) College of Business, The Chinese University of Hong Kong, Shenzhen and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 406 (94,622)
Citation 3

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Information Risk, Idiosyncratic Volatility, Earnings Announcement, Expected Returns

3.

Forward-Looking Tail Risk Measures

Number of pages: 67 Posted: 01 Feb 2017 Last Revised: 17 Jun 2018
Markus Huggenberger, Chu Zhang and Ti Zhou
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Southern University of Science and Technology
Downloads 254 (156,948)
Citation 5

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Tail Risk, Options, Risk Management, Value-at-Risk, Expected Shortfall

4.

Corporate Payout Policy and Credit Risk: Evidence from CDS Markets

Forthcoming at Management Science
Number of pages: 46 Posted: 15 Sep 2017 Last Revised: 28 Sep 2020
Chengzhu Sun, Shujing Wang and Chu Zhang
The Hong Kong Polytechnic University, Tongji University and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 222 (178,615)

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Dividend announcements; Credit default swaps; Industrial firms; Financial firms; Troubled Asset Relief Program

5.

Rental Adjustment and Housing Prices: Evidence from Hong Kong's Residential Property Market

HKIMR Working Paper No.01/2013
Number of pages: 29 Posted: 30 Jan 2013
Honglin Wang, Chu Zhang and Weihang Dai
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Hong Kong University of Science & Technology (HKUST) - Department of Finance and The Chinese University of Hong Kong (CUHK)
Downloads 214 (184,863)
Citation 1

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Rental Adjustment, Residential Property Market, Price-To-Rent Ratio

6.

Why are Excess Returns on China’s Treasury Bonds So Predictable?

Number of pages: 48 Posted: 03 Apr 2010 Last Revised: 15 Oct 2011
Longzhen Fan, Shu Tian and Chu Zhang
Department of Finance, School of Management, Fudan University, Asian Development Bank and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 183 (213,148)

Abstract:

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bond excess return, official rate, inflation rate, risk premiums

7.

The Macroeconomic Announcement Premium and Information Uncertainty

Number of pages: 59 Posted: 16 Oct 2017 Last Revised: 25 Aug 2021
Chu Zhang and Shen Zhao
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 107 (324,099)

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market premium, macroeconomic news announcements, information uncertainty, fundamentals uncertainty, business cycles

8.

Jumps and Diffusive Variance: A Granular Analysis of Individual Stock Returns

HKUST Business School Research Paper No. 2021-027
Number of pages: 46 Posted: 26 Apr 2021 Last Revised: 04 Jun 2021
Gang Li, Ruicong Li and Chu Zhang
Hong Kong Polytechnic University, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 32 (580,044)

Abstract:

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Jumps, Diffusive Variance, Implied Volatility Smile

9.

Market Reactions to the 'Hot Stock' Column of the Financial Post

Canadian Journal of Administrative Sciences, Vol. 16, No. (2), pp. 118-131, DOI: 10.1111/j.1936-4490.1999.tb00618.x , University of Alberta School of Business Research Paper No. 2013-226
Posted: 24 May 2013 Last Revised: 30 May 2013
Vikas Mehrotra, Wayne Yu and Chu Zhang
University of Alberta - Department of Finance and Statistical Analysis, City University of Hong Kong and Hong Kong University of Science & Technology (HKUST) - Department of Finance

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