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  • zhenyaliu

Asset pricing


Current Work (2020-2022):

My recently published research papers in this area are the followings:

On Risk-Neutral Skewness and Commodity Pricing, Journal of Futures Markets, January 2022, with Ana-Maria Fuertes and Weiqing Tang.

Industry Momentum with Correlation Consolidation: Evidence from China stock market, Journal of Asset Management, February 2022, 23, 73–82, with Sabri Boubaker and Lechuan Du.

Decomposing Anomalies, Economics Letters, May 2021, with Sabri Boubaker, Bo Li, Yifan Zhang.

Trading signal, functional data analysis and time series momentum, Finance Research Letters, January 2021, with Sabri Boubaker, Shanglin Lu, and Yifan Zhang.

A Study of Data-driven Momentum and Disposition Effects in China Stock Market by Functional Analysis, Review of Quantitative Finance and Accounting, issue 1, 2020, pp. 335-358, with Ruanmin Cao, Lajos Horvath, Yuqian Zhao.

Time-varying Beta in Functional Factor Models: Evidence from China, North America Journal of Economics and Finance, Volume 54, November, 2020, with Lajos Horvath, Bo Li, and Hemei Li.

Asymmetry, Tail Risk and Time Series Momentum, International Review of Financial Analysis, with Shanglin Lu, Shixuan Wang.

Future work

A related paper I am currently working on with my co-authors is to investigate momentum debate in China stock market. I intend to complete and submit for publication within the next six months, which may lead to further related projects.

Inspired by professor B. Kelly’s paper on the IPCA, I am now working on the statistical factor model and will produce a series papers next year on this topic.

At the same time, I have the following research papers in this area for revision and resubmit(R&R):

1. Asset Pricing; Time Series Momentum; Momentum Reversal; Realized Semivariance; High-frequency Data, with Bo Li, Shanglin Lu, Shixuan Wang. Submitted to Journal of Empirical Finance. R&R.

2. Mirror of History: How to Statistically Identify the Stock Market Bubbles?, with Sabri Boubaker, Tianqing Sui, Ling Zhai. Submitted to Journal of Economic Behavior and Organization. R&R.

3. Change-points and Functional Features of Intraday Volatility in China Stock Market, with Sabri Boubaker, Ling Zhai. Submitted to Annals of Operations Research. R&R.

4. Forecasting Oil Commodity Spot Price in a Data-rich Environment, with Sabri Boubaker and Yifan Zhang, Submitted to Annals of Operations Research. R&R.

5. The Evolvement of Momentum Effects in China: Evidence from Functional Data Analysis, with Bo Li and Shixuan Wang, Submitted to Research in International Business and Finance. R&R.

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