Sophia Zhengzi Li
Rutgers, The State University of New Jersey
H-index: 10
North America-United States
Top articles of Sophia Zhengzi Li
Information Transmission from Corporate Bonds to the Aggregate Stock Market
Available at SSRN 4374753
2024/2/15
Sophia Zhengzi Li
H-Index: 46
Guofu Zhou
H-Index: 32
Anomalies as New Hedge Fund Factors
2023
ETFs, anomalies and market efficiency
Available at SSRN 4056260
2023/10/18
Risk momentum: A new class of price patterns
Available at SSRN 4062260
2023/10/3
Sophia Zhengzi Li
H-Index: 46
Guofu Zhou
H-Index: 32
Forecasting and Managing Correlation Risks
Available at SSRN 4281900
2023/9/1
Tim Bollerslev
H-Index: 64
Sophia Zhengzi Li
H-Index: 46
News-based Investor Disagreement and Cross Section of Stock Returns
Available at SSRN 4538670
2023/8/11
Sophia Zhengzi Li
H-Index: 46
Granular information and sectoral movements
Available at SSRN 3700466
2023/5/27
Hao Jiang
H-Index: 9
Sophia Zhengzi Li
H-Index: 46
Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs
New Evidence from Corporate Bond ETFs (April 20, 2023)
2023/4/20
Hao Jiang
H-Index: 9
Sophia Zhengzi Li
H-Index: 46
Risk-based momentum of corporate bonds
Available at SSRN 4374766
2023/3/1
Sophia Zhengzi Li
H-Index: 46
Guofu Zhou
H-Index: 32
Dealer Disagreement and Asset Prices in FX Markets
Available at SSRN 4053044
2023/2/17
Sophia Zhengzi Li
H-Index: 46
Zhaogang Song
H-Index: 11
Can Asymmetric Information in Corporate Bonds Predict Equity Market Return?
2023
Sophia Zhengzi Li
H-Index: 46
Guofu Zhou
H-Index: 32
Anomalies as new hedge fund factors: A machine learning approach
2023
When shareholders disagree: Trading after shareholder meetings
The Review of Financial Studies
2022/4/1
Automated risk forecasting
2022
Sophia Zhengzi Li
H-Index: 46
A new finite approximation method for evaluating steady-state performance of a continuous-state Markov chain with an application to queues with customer abandonment
Available at SSRN 4393232
2021/12/28
Pervasive underreaction: Evidence from high-frequency data
Journal of Financial Economics
2021/8/1
Automated Volatility Forecasting
Available at SSRN 3776915
2021/5/23
Sophia Zhengzi Li
H-Index: 46
Good volatility, bad volatility, and the cross section of stock returns
Journal of Financial and Quantitative Analysis
2020/5
Tim Bollerslev
H-Index: 64
Sophia Zhengzi Li
H-Index: 46
Co-Authors
