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Details about Guofu Zhou

E-mail:
Homepage:http://apps.olin.wustl.edu/faculty/zhou
Workplace:Olin School of Business, Washington University in St. Louis, (more information at EDIRC)
China Economics and Management Academy, Central University of Finance and Economics (CUFE), (more information at EDIRC)

Access statistics for papers by Guofu Zhou.

Last updated 2020-02-11. Update your information in the RePEc Author Service.

Short-id: pzh420


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Working Papers

2010

  1. Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (18)

2007

  1. Estimating and testing beta pricing models: Alternative methods and their performance in simulations
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (71)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads

    See also Journal Article in Journal of Financial Economics (2007)

2002

  1. What Determines Expected International Asset Returns?
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (26)
    Also in Working Papers, HAL (1994) View citations (5)
    Working Papers, HAL (1994) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (1994) Downloads View citations (14)

    See also Journal Article in Annals of Economics and Finance (2002)

2001

  1. Tests of Mean-Variance Spanning
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (12)
    See also Journal Article in Annals of Economics and Finance (2012)

1999

  1. A Critique of the Stochastic Discount Factor Methodology
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (21)

1996

  1. Measuring the Pricing Error of the Arbitrage Pricing Theory
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (92)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1995) Downloads View citations (6)

    See also Journal Article in Review of Financial Studies (1996)

1993

  1. International asset pricing with alternative distributional specifications
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics Downloads View citations (40)
    See also Journal Article in Journal of Empirical Finance (1993)

Journal Articles

2016

  1. Short interest and aggregate stock returns
    Journal of Financial Economics, 2016, 121, (1), 46-65 Downloads View citations (51)

2015

  1. Fama–MacBeth two-pass regressions: Improving risk premia estimates
    Finance Research Letters, 2015, 15, (C), 31-40 Downloads View citations (4)
  2. Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
    Review of Financial Studies, 2015, 28, (3), 791-837 Downloads View citations (92)

2013

  1. A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
    Journal of Financial and Quantitative Analysis, 2013, 48, (5), 1433-1461 Downloads View citations (28)
  2. International Stock Return Predictability: What Is the Role of the United States?
    Journal of Finance, 2013, 68, (4), 1633-1662 Downloads View citations (126)

2012

  1. Tests of Mean-Variance Spanning
    Annals of Economics and Finance, 2012, 13, (1), 139-187 Downloads View citations (31)
    See also Working Paper (2001)
  2. Volatility Trading: What Is the Role of the Long-Run Volatility Component?
    Journal of Financial and Quantitative Analysis, 2012, 47, (2), 273-307 Downloads View citations (6)

2011

  1. Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
    Journal of Financial Economics, 2011, 99, (1), 204-215 Downloads View citations (76)

2010

  1. Bayesian Portfolio Analysis
    Annual Review of Financial Economics, 2010, 2, (1), 25-47 Downloads View citations (20)
  2. Cross-Sectional Asset Pricing Tests
    Annual Review of Financial Economics, 2010, 2, (1), 49-74 Downloads View citations (12)
  3. How much stock return predictability can we expect from an asset pricing model?
    Economics Letters, 2010, 108, (2), 184-186 Downloads View citations (16)
  4. Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty
    Journal of Financial and Quantitative Analysis, 2010, 45, (4), 959-986 Downloads View citations (16)
  5. Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance
    Journal of Financial Economics, 2010, 96, (2), 331-344 Downloads View citations (12)
  6. Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
    Review of Financial Studies, 2010, 23, (2), 821-862 Downloads View citations (280)
  7. Robust portfolios: contributions from operations research and finance
    Annals of Operations Research, 2010, 176, (1), 191-220 Downloads View citations (36)

2009

  1. Technical analysis: An asset allocation perspective on the use of moving averages
    Journal of Financial Economics, 2009, 92, (3), 519-544 Downloads View citations (60)

2008

  1. Temperature-dependent transport and spin accumulation in a quantum wire with Rashba spin-orbit interaction
    The European Physical Journal B: Condensed Matter and Complex Systems, 2008, 65, (1), 85-90 Downloads

2007

  1. Estimating and testing beta pricing models: Alternative methods and their performance in simulations
    Journal of Financial Economics, 2007, 84, (1), 40-86 Downloads View citations (80)
    See also Working Paper (2007)
  2. Optimal Portfolio Choice with Parameter Uncertainty
    Journal of Financial and Quantitative Analysis, 2007, 42, (3), 621-656 Downloads View citations (132)

2006

  1. A New Variance Bound on the Stochastic Discount Factor
    The Journal of Business, 2006, 79, (2), 941-962 Downloads View citations (7)
  2. Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
    Review of Financial Studies, 2006, 20, (5), 1547-1581 Downloads View citations (12)
  3. Portfolio optimization under asset pricing anomalies
    Japan and the World Economy, 2006, 18, (2), 121-142 Downloads View citations (2)
  4. Using Bootstrap to Test Portfolio Efficiency
    Annals of Economics and Finance, 2006, 7, (2), 217-249 Downloads View citations (12)

2004

  1. Data-generating process uncertainty: What difference does it make in portfolio decisions?
    Journal of Financial Economics, 2004, 72, (2), 385-421 Downloads View citations (33)

2002

  1. What Determines Expected International Asset Returns?
    Annals of Economics and Finance, 2002, 3, (2), 249-298 Downloads View citations (37)
    See also Working Paper (2002)

2000

  1. Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
    Annals of Economics and Finance, 2000, 1, (1), 79-100 Downloads
  2. On the Rate of Convergence of Discrete‐Time Contingent Claims
    Mathematical Finance, 2000, 10, (1), 53-75 Downloads View citations (25)

1999

  1. Security factors as linear combinations of economic variables
    Journal of Financial Markets, 1999, 2, (4), 403-432 Downloads View citations (5)
  2. Testing multi-beta asset pricing models
    Journal of Empirical Finance, 1999, 6, (3), 219-241 Downloads View citations (13)

1996

  1. Measuring the Pricing Error of the Arbitrage Pricing Theory
    Review of Financial Studies, 1996, 9, (2), 557-87 Downloads View citations (110)
    See also Working Paper (1996)
  2. Temporary Components of Stock Returns: What Do the Data Tell Us?
    Review of Financial Studies, 1996, 9, (4), 1033-59 Downloads View citations (25)

1995

  1. Small sample rank tests with applications to asset pricing
    Journal of Empirical Finance, 1995, 2, (1), 71-93 Downloads View citations (16)

1994

  1. Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums
    Review of Financial Studies, 1994, 7, (4), 687-709 Downloads View citations (24)

1993

  1. Asset-Pricing Tests under Alternative Distributions
    Journal of Finance, 1993, 48, (5), 1927-42 Downloads View citations (32)
  2. International asset pricing with alternative distributional specifications
    Journal of Empirical Finance, 1993, 1, (1), 107-131 Downloads View citations (56)
    See also Working Paper (1993)

1991

  1. Small sample tests of portfolio efficiency
    Journal of Financial Economics, 1991, 30, (1), 165-191 Downloads View citations (27)

1990

  1. Bayesian inference in asset pricing tests
    Journal of Financial Economics, 1990, 26, (2), 221-254 Downloads View citations (34)

Chapters

2013

  1. Forecasting Stock Returns
    Elsevier Downloads View citations (66)
 
Page updated 2020-02-22