中文版
Guofu Zhou
Frederick Bierman and James E. Spears Professor of Finance,
Washington University

zhou@wustl.edu

CV

Support Staff: Xiaojun Gao xjgao@saif.sjtu.edu.cn

  • PROFILE
  • RESEARCH
  • TEACHING

Guofu Zhou is a Special-Term Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), and Frederick Bierman and James E. Spears Professor of Finance at Washington University in St. Louis.
 
Professor Zhou’s research interests include portfolio choice, asset allocation, technical analysis, bubbles and crashes, anomalies, asymmetric information, asset pricing tests, Bayesian learning, model selection, econometric methods in finance. His research papers have appeared in Journal of Finance,Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, and other leading academic journals. Also, He is co-author of the book Financial Economic, and contributor to several books, including Advanced Fixed-Income Valuation Tools, and Q-finance, etc. Presently, he also serves as Associate Editor of Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, and on the Editorial Board of Journal of Portfolio Management, International Journal of Portfolio Analysis & Management, Annals of Economics and Finance.
 
Professor Zhou received Reid Teaching Award (1997, 2010, 2014), Special Recognition for Excellence in mentoring graduate students (2003 and 2013). He was named Marcile and James Reid Chair for his consistently outstanding teaching (1998). He has also won various research awards.
 
Professor Zhou teaches Research Seminar in Empirical Finance at SAIF. At Washington University, Professor Zhou has taught extensive finance courses at undergraduate, master (MSFin, MBA and EMBA), and Ph.D. levels.
 
Professor Zhou holds a BS degree from Chengdu College of Geology, a MS in Computational Mathematics from Chengdu Branch, Academia Sinica, and a  Ph.D. in Economics from Duke University in 1990.

 

Research Interests
Portfolio Choice, Asset Allocation, Technical Analysis, Bubbles and Crashes,Anomalies, Asymmetric Information, Asset Pricing Tests, Bayesian Learning,Model Selection, Econometric Methods in Nance, and Real Option.

Journal Publications & Working Papers
1. David Rapach and Matthew Ringgenberg,Guofu zhou, Forthcoming, Short Interest and Aggregate Market Returns, Journal of Financial Economics.
2. Yufeng Han, Guofu Zhou, Yingzi Zhu, Forthcoming, A Trend Factor: Any Economic Gains from Using Information over Investment Hori- zons?, Journal of Financial Economics.
3. Dashan Huang, Guofu Zhou, Forthcoming, Upper Bounds on Return Predictability, Journal of Financial and Quantitative Analysis.
4. G.Zhou, Yingzi Zhu, 2015, Macroeconomic Volatilities and the Long-run Risks of Asset Prices, Management Science.
5. Dashan Huang, Fuwei Jiang, Jun Tu, Guofu Zhou , 2015, Investor Sentiment Aligned: A Powerful Predictor of Stock Returns, Review of Financial Studies.
6. Longzhen Fan, Fuwei Jiang, Guofu Zhou, 2015, The Chinese Bond Market: Risk, Return and Opportunities, Journal of Portfolio Management.
7. Jushan Bai, Guofu Zhou, 2015, Fama-MacBeth Two-pass Regressions: Improving Risk Premia Estimates, Finance Research Letters.
8. Francis Olszweski, Guofu Zhou, 2014, Strategy Diversification: Combining Momentum and Carry Strategies within a Foreign Exchange Portfolio, Journal of Derivatives & Hedge Funds.
9. Christopher Neely, David Rapach, Jun Tu, and Guofu Zhou , 2014, Forecasting the Equity Risk Premium: The Role of Technical Indicators, Management Science.
10. Yufeng Han, Xiongjian Wang, Guofu Zhou and Heng-fu , 2014, Are There Trends in Chinese Stock Market?, 金融研究.
11. Longzhen Fan, Canlin Li, Guofu Zhou, 2013, The Supply Factor in the Bond Market: Implications for Bond Risk and Return, Journal of Fixed Income.
12. Longzhen Fan, Canlin Li, Guofu Zhou, 2013, Preferred-habitat and demand factors in the term structure: Evidence from the Chinese bond market, Journal of Fixed Income.
13. David Rapach, Jack Strauss, Guofu Zhou , 2013, International Stock Return Predictability: What Is the Role of the United States?, Journal of Finance.
14. David Rapach, Guofu Zhou, 2013, Forcasting Stock Returns, Handbook of Economic Forecasting .
15. Yufeng Han, Ke Yang, Guofu Zhou, 2013, A New Anomaly: The Cross-Sectional Profitability of Technical Analysis, Journal of Financial and Quantitative Analysis.
16. G.Zhou, Sheng Qiang and Yingzi Zhu, 2012, Asset Allocation: Can Technical Analysis Add Value?, International Journal of Portfolio Analysis and Management.
17. Guofu Zhou, Yingzi Zhu, 2012, Volatility Trading: What Is the Role of the Long-Run Volatility Component?, Journal of Financial and Quantitative Analysis.
18. Raymond Kan and Guofu Zhou , 2012, Tests of Mean-variance Spanning, Annals of Economics and Finance.
19. Jun Tu, Guofu Zhou, 2011, Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies, Journal of Financial Economics.
20. Jiang Fuwei, David Rapach, Jack Strauss, Jun Tu, Guofu Zhou , 2011, How Predictable Is the Chinese Stock Market?, 金融研究.
21. Aiguo Kong, David E. Rapach, Jack K. Strauss, and Guofu Zhou, 2011, Predicting Market Components Out of Sample: Asset Allocation Implications, Journal of Portfolio Management.
22. Frank J. Fabozzi, Dashan Huang, Guofu Zhou, 2010, Robust Portfolios: Contributions from Operations Research and Finance, Annals of Operations Research.
23. Doron Avramov, Guofu Zhou, 2010, Bayesian Portfolio Analysis, Annual Review of Financial Economics.
24. Ravi Jagannathan, Ernst Schaumburg and Guofu Zhou, 2010, Cross Sectional Asset Pricing Tests , Annual Review of Financial Economics.
25. Guofu Zhou and Yingzi Zhu, 2010, Is the Recent Financial Crisis Really a “Once-in-a-Century” Event?, Financial Analysts Journal.
26. Raymond Kan, Guofu Zhou, 2010, What Will the Likely Range of My Wealth Be?: Author Response, Financial Analysts Journal.
27. David Rapach, Jack Strauss, Guofu Zhou, 2010, Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy, Review of Financial Studies.
28. Todd Gormley, Hong Liu and Guofu Zhou, 2010, Limited Participation, Consumption, and Saving Puzzles: A Simple Explanation and the Role of Insurance, Journal of Financial Economics.
29. Guofu Zhou, 2010, How Much Stock Return Predictability Can We Expect From an Asset Pricing Model?, Economics Letters.
30. Jun Tu and Guofu Zhou, 2010, Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty, Journal of Financial and Quantitative Analysis.
31. Yingzi Zhu, Guofu Zhou, 2009, Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages, Journal of Financial Economics.
32. GuoFu Zhou, 2009, Beyond Black-Litterman: Letting the Data Speak, Journal of Portfolio Management.
33. Raymond Kan and Guofu Zhou, 2009, What Likely Range of My Wealth Will Be?, Financial Analysts Journal.
34. G.Zhou, 2008, On the Fundamental Law of Active Portfolio Management: What Happens if Our Estimates Are Wrong?, Journal of Portfolio Management.
35. G.Zhou, 2008, On the Fundamental Law of Active Portfolio Management: How to Make Conditional Investments Unconditionally Optimal?, Journal of Portfolio Management.
36. G.Zhou, Jay Shanken, 2007, Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations, Journal of Financial Economics.
37. G.Zhou, Raymond Kan, 2007, Optimal Portfolio Choice with Parameter Uncertainty, Journal of Financial and Quantitative Analysis.
38. G.Zhou, Yongmiao Hong and Jun Tu, 2007, Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation, Review of Financial Studies.
39. G.Zhou, Raymond Kan, 2006, A New Variance Bound On the Stochastic Discount Factor, Journal of Business Research.
40. G.Zhou, Pin-Huang Chou and Wen-Shen Li, 2006, Portfolio Optimization Under Asset Pricing Anomalies, Japan & The World Economy.
41. G.Zhou, Pin-Huang Chou, 2006, Using Bootstrap to Test Portfolio Effciency, Annals of Economics and Finance.
42. G,Zhou, Campbell Harvey, 2006, Bayesian Inference in Asset Pricing Tests, Journal of Financial Economics.
43. G.Zhou, Jun Tu, 2004, Data-generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions?, Journal of Financial Economics.
44. G.Zhou, Campbell Harvey and Bruno Solnik, 2002, What Determines Expected International Asset Returns, Annals of Economics and Finance.
45. G.Zhou, Pin-Huang Chou and Yuan-Lin Hsu, 2000, Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange, Annals of Economics and Finance.
46. G.Zhou, Steve Heston, 2000, On Rate of Convergence of Discrete-time Contingent Claims, Mathematical Finance.
47. G.Zhou, Raymond Kan, 1999, A Critique of the Stochastic Discount Factor Methodology, Journal of Finance.
48. G.Zhou, Raja Velu, 1999, Testing Multi-beta Pricing Models, Journal of Empirical Finance.
49. G.Zhou, 1999, Security Factors as Linear Combinations of Economic Variables, Journal of Financial Markets.
50. G.Zhou, David Beaglehole and Philip Dybvig, 1997, Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation,, Financial Analysts Journal.
51. G.Zhou, John Geweke, 1996, Measuring the Pricing Error of the Arbitrage Pricing Theory,, Review of Financial Studies.
52. G.Zhou, Christopher Lamoureux, 1996, Temporary Components of Stock Returns: What Do the Data Tell Us, Review of Financial Studies.
53. G.Zhou, , 1995, Small Sample Rank Tests with Applications to Asset Pricing, Journal of Empirical Finance.
54. G.Zhou, Jack Strauss, 1995, Time to Build Effects and the Term Structure, Journal of Financial Research.
55. G.Zhou, 1994, Analytical GMM Tests: Asset Pricing with Time-varying Risk Premiums, Review of Financial Studies.
56. G.Zhou, 1993, Asset Pricing Tests Under Alternative Distributions, Journal of Finance.
57. G.Zhou, Campbell Harvey, 1993, International Asset Pricing with Alternative Distributional Speci, Journal of Empirical Finance.
58. G.Zhou, 1991, Small Sample Tests of Portfolio E±ciency, Journal of Financial Economics.
59. G.Zhou, , 1991, Algorithms for the Estimation of Possibly Nonstationary Vector Time Series, Journal of Time Series Analysis.
60. G.Zhou, Campbell Harvey, 1990, Bayesian Inference in Asset Pricing Tests, Journal of Financial Economics.
61. G.Zhou, Chiding Kang, 1983, On Giuga's Conjecture and a Necessary and Sufficient Condition for Mersenne's Numbers to be Prime, Mathematical Monthly, Chinese Mathematical Society.
62. G.Zhou, Chiding Kang, 1983, On the Diophantine Equation ∑_(k=1)^m?〖k^n=〖(m+1)〗^n 〗, Journal of Mathematical Research and Exposition .
63. G.Zhou, Chiding Kang, Daqing Wan and Liren Zhao, 1982, On the Diophantine Equation X4 - 2Dy2= 1, Journal of China University of Science and Technology .
64. G.Zhou, Chiding Kang, Daqing Wan and Liren Zhao, 1982, Remarks on the Diophantine Equation ∏_(i=1)^k?〖x_i〗^(x_i ) =z^z, Journal of China University of Science and Technology supplement.
65. G.Zhou, Chiding Kang and Daqing Wan, 1982, Remarks on Two Diophantine Equations of the Fourth Order, Annuals of Hunan Mathematical Society.
66. G.Zhou, Chiding Kang, 1980, On Gigua's Conjecture, Journal of Chengdu College of Geology.
67. Guofu Zhou with David Rapach, Jack Strauss and Jun Tu, Out-of-Sample Industry Return Predictability: Evidence from a Large Number of Predictors.
68. Guofu Zhou with Yingzi Zhu, A Long-run Risks Model with Long- and Short-run Volatilities: Explaining Predictability and Volatility Risk Premium.
69. Guofu Zhou with Jeremy Goh, Fuwei Jiang, and Jun Tu, Forecasting Bond Risk Premia Using Technical Indicators.
70. Guofu Zhou with Longzhen Fan and Canlin Li, Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market.
71. Guofu Zhou with Raymond Kan, Modeling Non-normality Using Multivariate t: Implications for Asset Pricing.
72. Guofu Zhou with Raymond Kan, Hansen-Jagannathan Distance: Geometry and Exact Distribution.
73. Guofu Zhou with Yufeng Han and Yingzi Zhu, Technical Trading: A Trend Factor.
74. Guofu Zhou Hai Lin and Chunchi Wu, Forecasting Corporate Bond Returns: A Regressed Combination Approach” (with Hai Lin and Chunchi Wu).
75. Guofu Zhou with Wei Tu, Hongkui Liu and Heng-fu Zou, Does Monetary Policy Moderate or Exacerbate the Economic Fluctuations and Stock Market Volatility in China?.
76. Guofu Zhou with Dashan Huang, Fuwei Jiang and Jun Tu, Mean Reversion, Momentum and Return Predictability.
77. Guofu Zhou with Dashan Huang, Fuwei Jiang and Jun Tu, Cost Growth and Stock Returns.
78. Guofu Zhou with Charles Cao and David Rapach, Which Hedge Fund Styles Hedge Against Bad Times? .
79. Guofu Zhou with Yufeng Han and Yingzi Zhu, Taming Momentum Crashes: A Simple Stop-loss Strategy” (with Yufeng Han and Yingzi Zhu).
80. Guofu Zhou with Lei Gao, Yufeng Han and Sophia Zhengzi Li, Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return.
81. Guofu Zhou with David Rapach and Matthew Ringgen-berg, Short Interest and Aggregate Market Returns.
82. Guofu Zhou with Lei Jiang and Ke Wu, Asymmetry in Stock Returns: an Entropy Measure.
83. Guofu Zhou with Jeremy Goh, Fuwei Jiang, and Jun Tu, Forecasting Bond Risk Premia Using Technical Indicators.
84. Guofu Zhou with Xiaoneng Zhu, What Drives the International Bond Risk Premia?.
85. Guofu Zhou with David Rapach, Jack Strauss and Jun Tu, Industry Return Predictability.
86. Guofu Zhou with Dashan Huang, Upper Bounds on Return Predictability.
87. Guofu Zhou with Ray-mond Kan, Modeling Non-normality using Multivariate t: Implications for Asset Pricing.
88. Guofu Zhou with Raymond Kan, Hansen-Jagannathan Distance: Geometry and Exact Distribution.

Teaching Interests
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Current Courses
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Faculty & Research
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