• ZHOU, Guofu

    Visiting Professor

  • Email:

    gfzhou@saif.sjtu.edu.cn

  • 　　

    　　

  • Support Staff:

    Yaqian Ding

  • Support Staff Email:

    yqding@saif.sjtu.edu.cn

  • Research Interests

    Investment Strategies, Big Data, Machine Learning, Forecasting, Technical Analysis, Asset Allocation, Asset Pricing Tests and Econometric Methods.

Guofu Zhou is a Visiting Professor 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 journal publications 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, 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, 2018-2020), 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), etc.

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.


Journal Publications

1. Yuan, Ming, and Guofu Zhou, 2023, Why Naive 1/N Diversification Is Not So Naive, and How to Beat It?, Journal of Financial and Quantitative Analysis, .

2. Chen, Ding, Biao Guo, and Guofu Zhou, 2023, Firm fundamentals and the cross-section of implied volatility shapes, Journal of Financial Markets, 63, 100771.

3. Chen, Jian, Guohao Tang, Jiaquan Yao, and Guofu Zhou, 2023, Employee sentiment and stock returns, Journal of Economic Dynamics and Control, 149, 104636.

4. He, Ai, Dashan Huang, Jiaen Li, and Guofu Zhou, 2023, Shrinking Factor Dimension: A Reduced-Rank Approach, Management Science, 69(9), 5501-5522.

5. He, Ai, and Guofu Zhou, 2023, Diagnostics for asset pricing models, Financial Management, 52(4), 617-642.

6. Huang, Dashan, Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou, 2023, Are bond returns predictable with real-time macro data?, Journal of Econometrics, 237(2), 105438.

7. Chib, Siddhartha, Lingxiao Zhao, and Guofu Zhou, 2024, Winners from Winners: A Tale of Risk Factors, Management Science, 70(1), 396-414.

8. Liu, Yang, Guofu Zhou, and Yingzi Zhu, 2024, Trend Factor in China: The Role of Large Individual Trading, Review of Asset Pricing Studies, 14(2), 348-380.

9. Han, Yufeng, Dashan Huang, Dayong Huang, and Guofu Zhou, 2022, Expected return, volume, and mispricing, Journal of Financial Economics, 143(3), 1295-1315.

10. Liu, Hong, Xiaoxiao Tang, and Guofu Zhou, 2022, Recovering the FOMC risk premium, Journal of Financial Economics, 145(1), 45-68.

11. Guo, Xu, Hai Lin, Chunchi Wu, and Guofu Zhou, 2022, Predictive information in corporate bond yields, Journal of Financial Markets, 59, 100687.

12. Kan, Raymond, Xiaolu Wang, and Guofu Zhou, 2022, Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case, Management Science, 68(3), 2047-2068.

13. Dong, Xi, Yan Li, David E. Rapach, and Guofu Zhou, 2022, Anomalies and the Expected Market Return, Journal of Finance, 77(1), 639-681.

14. Chen, Jian, Guohao Tang, Jiaquan Yao, and Guofu Zhou, 2022, Investor Attention and Stock Returns, Journal of Financial and Quantitative Analysis, 57(2), 455-484.

15. Huang, Dashan, Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou, 2022, Scaled PCA: A New Approach to Dimension Reduction, Management Science, 68(3), 1678-1695.

16. Detzel, Andrew, Hong Liu, Jack Strauss, Guofu Zhou, and Yingzi Zhu, 2021, Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard-to-value fundamentals, Financial Management, 50(1), 107-137.

17. Wang, Yintian, Guofu Zhou, and Yingzi Zhu, 2021, The Chinese warrant bubble: A fundamental analysis, Journal of Futures Markets, 41(1), 3-26.

18. Zhao, Feng, Guofu Zhou, and Xiaoneng Zhu, 2021, Unspanned Global Macro Risks in Bond Returns, Management Science, 67(12), 7825-7843.

19. Han, Yufeng, Dayong Huang, and Guofu Zhou, 2021, Anomalies enhanced: A portfolio rebalancing approach, Financial Management, 50(2), 371-424.

20. Jiang, Lei, Ke Wu, Guofu Zhou, and Yifeng Zhu, 2020, Stock Return Asymmetry: Beyond Skewness, Journal of Financial and Quantitative Analysis, 55(2), 357-386.

21. Huang, Dashan, Jiangyuan Li, Liyao Wang, and Guofu Zhou, 2020, Time series momentum: Is it there?, Journal of Financial Economics, 135(3), 774-794.

22. Jiang, Lei, Ke Wu, Guofu Zhou, and Yifeng Zhu, 2020, Corrigendum: Stock return asymmetry: Beyond skewness (Journal of Financial and Quantitative Analysis (2020) 55 (357-386) DOI: 10.1017/S0022109019000206), Journal of Financial and Quantitative Analysis, 55(2), 707.

23. Rapach, David E., Jack K. Strauss, Jun Tu, and Guofu Zho, 2019, Industry Return Predictability: A Machine Learning Approach, Journal of Financial Data Science, 1(3), 9-28.

24. Jiang, Fuwei, Joshua Lee, Xiumin Martin, and Guofu Zhou, 2019, Manager sentiment and stock returns, Journal of Financial Economics, 132(1), 126-149.

25. Liu, Fang, Xiaoxiao Tang, and Guofu Zhou, 2019, Volatility-managed portfolio: Does it really work?, Journal of Portfolio Management, 46(1), 38-51.

26. Gao, Lei, Yufeng Han, Sophia Zhengzi Li, and Guofu Zhou, 2018, Market intraday momentum, Journal of Financial Economics, 129(2), 394-414.

27. Lin, Hai, Chunchi Wu, and Guofu Zhou, 2018, Forecasting corporate bond returns with a large set of predictors: An iterated combination approach, Management Science, 64(9), 4218-4238.

28. Jiang, Fuwei, Guohao Tang, and Guofu Zhou, 2018, Firm Characteristics and Chinese Stocks, Journal of Management Science and Engineering, 3(4), 259-283.

29. Jiang, Lei, Ke Wu, and Guofu Zhou, 2018, Asymmetry in Stock Comovements: An Entropy Approach, Journal of Financial and Quantitative Analysis, 53(4), 1479-1507.

30. Zhou, Guofu, 2018, Measuring investor sentiment, Annual Review of Financial Economics, 10, 239-259.

31. Kan, Raymond, and Guofu Zhou, 2017, Modeling non-normality using multivariate t: implications for asset pricing, China Finance Review International, 7(1), 2-32.

32. Huang, Dashan, and Guofu Zhou, 2017, Upper Bounds on Return Predictability, Journal of Financial and Quantitative Analysis, 52(2), 401-425.

33. Rapach, David E., Matthew C. Ringgenberg, and Guofu Zhou, 2016, Short interest and aggregate stock returns, Journal of Financial Economics, 121(1), 46-65.

34. Han, Yufeng, Guofu Zhou, and Yingzi Zhu, 2016, A trend factor: Any economic gains from using information over investment horizons?, Journal of Financial Economics, 122(2), 352-375.

35. Zhou, Guofu, and Yingzi Zhu, 2015, Macroeconomic volatilities and long-run risks of asset prices, Management Science, 61(2), 413-430.

36. Bai, Jushan, and Guofu Zhou, 2015, Fama-MacBeth two-pass regressions: Improving risk premia estimates, Finance Research Letters, 15, 31-40.

37. Fan, Longzhen, Fuwei Jiang, and Guofu Zhou, 2015, The Chinese bond market: Risk, return, and opportunities, Journal of Portfolio Management, 41(5), 110-125.

38. Huang, Dashan, Fuwei Jiang, Jun Tu, and Guofu Zhou, 2015, Investor sentiment aligned: A powerful predictor of stock returns, Review of Financial Studies, 28(3), 791-837.

39. Neely, Christopher J., David E. Rapach, Jun Tu, and Guofu Zhou, 2014, Forecasting the equity risk premium: The role of technical indicators, Management Science, 60(7), 1772-1791.

40. Han, Yufeng, Ke Yang, and Guofu Zhou, 2013, A new anomaly: The cross-sectional profitability of technical analysis, Journal of Financial and Quantitative Analysis, 48(5), 1433-1461.

41. Rapach, David E., Jack K. Strauss, and Guofu Zhou, 2013, International stock return predictability: What is the role of the united states?, Journal of Finance, 68(4), 1633-1662.

42. Fan, Longzhen, Canlin Li, and Guofu Zhou, 2013, The supply and demand factor in the bond market: Implications for bond risk and return, Journal of Fixed Income, 23(2), 62-81.

43. Olszweski, Francis, and Guofu Zhou, 2013, Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio, Journal of Derivatives and Hedge Funds, 19(4), 311-320.

44. Zhou, Guofu, Yingzi Zhu, and Sheng Qiang, 2012, Asset allocation: can technical analysis add value?, International Journal of Portfolio Analysis and Management, 1(1), 43-52.

45. Zhou, Guofu, and Yingzi Zhu, 2012, Volatility trading: What is the role of the long-run volatility component?, Journal of Financial and Quantitative Analysis, 47(2), 273-307.

46. Kan, Raymond, and Guofu Zhou, 2012, Tests of mean-variance spanning, Annals of Economics and Finance, 13(1), 139-187.

47. 姜富伟, 徐俊, RapachDavid E., StraussJack K., 周国富, 2011, 中国股票市场可预测性的实证研究, 金融研究, (9), 107-121.

48. Kong, Aiguo, David E. Rapach, Jack K. Strauss, and Guofu Zhou, 2011, Predicting market components out of sample: Asset allocation implications, Journal of Portfolio Management, 37(4), 29-41.

49. Tu, Jun, and Guofu Zhou, 2011, Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies, Journal of Financial Economics, 99(1), 204-215.

50. Tu, Jun, and Guofu Zhou, 2010, Incorporating economic objectives into Bayesian priors: Portfolio choice under parameter uncertainty, Journal of Financial and Quantitative Analysis, 45(4), 959-986.

51. Zhou, Guofu, 2010, How much stock return predictability can we expect from an asset pricing model?, Economics Letters, 108(2), 184-186.

52. Gormley, Todd, Hong Liu, and Guofu Zhou, 2010, Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance, Journal of Financial Economics, 96(2), 331-344.

53. Zhou, Guofu, and Yingzi Zhu, 2010, Is the recent financial crisis really a "once-in-a-century" event?, Financial Analysts Journal, 66(1), 24-27.

54. Kan, Raymond, and Guofu Zhou, 2010, What will the likely range of my wealth be?: Author response, Financial Analysts Journal, 66(3), 12.

55. Avramov, Doron, and Guofu Zhou, 2010, Bayesian portfolio analysis, Annual Review of Financial Economics, 2, 25-47.

56. Fabozzi, Frank J., Dashan Huang, and Guofu Zhou, 2010, Robust portfolios: Contributions from operations research and finance, Annals of Operations Research, 176(1), 191-220.

57. Rapach, David E., Jack K. Strauss, and Guofu Zhou, 2010, Out-of-sample equity premium prediction: Combination forecasts and links to the real economy, Review of Financial Studies, 23(2), 821-862.

58. Jagannathan, Ravi, Ernst Schaumburg, and Guofu Zhou, 2010, Cross-sectional asset pricing tests, Annual Review of Financial Economics, 2, 49-74.

59. Zhu, Yingzi, and Guofu Zhou, 2009, Technical analysis: An asset allocation perspective on the use of moving averages, Journal of Financial Economics, 92(3), 519-544.

60. Kan, Raymond, and Guofu Zhou, 2009, What will the likely range of my wealth be?, Financial Analysts Journal, 65(4), 68-77.

61. Guofu, Zhou, 2009, Beyond black-litterman: Letting the data speak, Journal of Portfolio Management, 36(1), 36-45+8.

62. Zhou, Guofu, 2008, On the fundamental law of active portfolio management: What happens if our estimates are wrong?, Journal of Portfolio Management, 34(4), 26-33+4.

63. Zhou, Guofu, 2008, On the fundamental law of active portfolio management: How to make conditional investments unconditionally optimal, Journal of Portfolio Management, 35(1), 12-21.

64. Hong, Yongmiao, Jun Tu, and Guofu Zhou, 2007, Asymmetries in stock returns: Statistical tests and economic evaluation, Review of Financial Studies, 20(5), 1547-1581.

65. Shanken, Jay, and Guofu Zhou, 2007, Estimating and testing beta pricing models: Alternative methods and their performance in simulations, Journal of Financial Economics, 84(1), 40-86.

66. Kan, Raymond, and Guofu Zhou, 2007, Optimal portfolio choice with parameter uncertainty, Journal of Financial and Quantitative Analysis, 42(3), 621-656.

67. Kan, Raymond, and Guofu Zhou, 2006, A new variance bound on the stochastic discount factor, Journal of Business, 79(2), 941-961.

68. Chou, Pin Huang, Wen Shen Li, and Guofu Zhou, 2006, Portfolio optimization under asset pricing anomalies, Japan and the World Economy, 18(2), 121-142.

69. Tu, Jun, and Guofu Zhou, 2004, Data-generating process uncertainty: What difference does it make in portfolio decisions?, Journal of Financial Economics, 72(2), 385-421.

70. Chou, Pin Huang, Yuan Lin Hsu, and Guofu Zhou, 2000, Investment horizon and the cross section of expected returns: Evidence from the Tokyo stock exchange, Annals of Economics and Finance, 1(1), 79-100.

71. Heston, Steve, and Guofu Zhou, 2000, On the rate of convergence of discrete-time contingent claims, Mathematical Finance, 10(1), 53-75.

72. Zhou, Guofu, 1999, Security factors as linear combinations of economic variables, Journal of Financial Markets, 2(4), 403-432.

73. Kan, Raymond, and Guofu Zhou, 1999, A critique of the stochastic discount factor methodology, Journal of Finance, 54(4), 1221-1248.

74. Velu, Raja, and Guofu Zhou, 1999, Testing multi-beta asset pricing models, Journal of Empirical Finance, 6(3), 219-241.

75. Beaglehole, David R., Philip H. Dybvig, and Guofu Zhou, 1997, Going to extremes: Correcting simulation bias in exotic option valuation, Financial Analysts Journal, 53(1), 62-68.

76. Geweke, John, and Guofu Zhou, 1996, Measuring the Pricing Error of the Arbitrage Pricing Theory, Review of Financial Studies, 9(2), 557-587.

77. Lamoureux, Christopher G., and Guofu Zhou, 1996, Temporary components of stock returns: What do the data tell us?, Review of Financial Studies, 9(4), 1033-1059.

78. Strauss, Jack, and Guofu Zhou, 1995, TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE, Journal of Financial Research, 18(1), 115-127.

79. Zhou, Guofu, 1995, Small sample rank tests with applications to asset pricing, Journal of Empirical Finance, 2(1), 71-93.

80. Zhou, Guofu, 1994, Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums, Review of Financial Studies, 7(4), 687-709.

81. Harvey, Campbell R., and Guofu Zhou, 1993, International asset pricing with alternative distributional specifications, Journal of Empirical Finance, 1(1), 107-131.

82. ZHOU, GUOFU, 1993, Asset‐pricing Tests under Alternative Distributions, Journal of Finance, 48(5), 1927-1942.

83. Zhou, Guofu, 1992, ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES, Journal of Time Series Analysis, 13(2), 171-188.

84. Zhou, Guofu, 1991, Small sample tests of portfolio efficiency, Journal of Financial Economics, 30(1), 165-191.

85. Harvey, Campbell R., and Guofu Zhou, 1990, Bayesian inference in asset pricing tests, Journal of Financial Economics, 26(2), 221-254.

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