Details about Guofu Zhou
Access statistics for papers by Guofu Zhou.
Last updated 2023-03-16. Update your information in the RePEc Author Service.
Short-id: pzh420
Jump to Journal Articles Chapters
Working Papers
2011
- Forecasting the Equity Risk Premium: The Role of Technical Indicators
Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (15)
Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (21)
2007
- 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 View citations (115)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (5)
See also Journal Article Estimating and testing beta pricing models: Alternative methods and their performance in simulations, Journal of Financial Economics, Elsevier (2007) View citations (107) (2007)
2002
- What Determines Expected International Asset Returns?
CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (38)
Also in Working Papers, HAL (1994) View citations (13) Working Papers, HAL (1994) View citations (13) NBER Working Papers, National Bureau of Economic Research, Inc (1994) View citations (21)
See also Journal Article What Determines Expected International Asset Returns?, Annals of Economics and Finance, Society for AEF (2002) View citations (43) (2002)
2001
- Tests of Mean-Variance Spanning
CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (31)
See also Journal Article Tests of Mean-Variance Spanning, Annals of Economics and Finance, Society for AEF (2012) View citations (59) (2012)
1999
- A Critique of the Stochastic Discount Factor Methodology
CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (35)
1996
- Measuring the Pricing Error of the Arbitrage Pricing Theory
CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (165)
Also in Staff Report, Federal Reserve Bank of Minneapolis (1995) View citations (6)
See also Journal Article Measuring the Pricing Error of the Arbitrage Pricing Theory, The Review of Financial Studies, Society for Financial Studies (1996) View citations (166) (1996)
1993
- International asset pricing with alternative distributional specifications
CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (56)
See also Journal Article International asset pricing with alternative distributional specifications, Journal of Empirical Finance, Elsevier (1993) View citations (62) (1993)
Journal Articles
2022
- Anomalies and the Expected Market Return
Journal of Finance, 2022, 77, (1), 639-681 View citations (32)
- Expected return, volume, and mispricing
Journal of Financial Economics, 2022, 143, (3), 1295-1315 View citations (13)
- Recovering the FOMC risk premium
Journal of Financial Economics, 2022, 145, (1), 45-68 View citations (5)
2020
- Time series momentum: Is it there?
Journal of Financial Economics, 2020, 135, (3), 774-794 View citations (48)
2019
- Manager sentiment and stock returns
Journal of Financial Economics, 2019, 132, (1), 126-149 View citations (170)
2016
- Short interest and aggregate stock returns
Journal of Financial Economics, 2016, 121, (1), 46-65 View citations (216)
2015
- Fama–MacBeth two-pass regressions: Improving risk premia estimates
Finance Research Letters, 2015, 15, (C), 31-40 View citations (9)
- Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
The Review of Financial Studies, 2015, 28, (3), 791-837 View citations (452)
2013
- A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Journal of Financial and Quantitative Analysis, 2013, 48, (5), 1433-1461 View citations (70)
- International Stock Return Predictability: What Is the Role of the United States?
Journal of Finance, 2013, 68, (4), 1633-1662 View citations (335)
2012
- Tests of Mean-Variance Spanning
Annals of Economics and Finance, 2012, 13, (1), 139-187 View citations (59)
See also Working Paper Tests of Mean-Variance Spanning, CEMA Working Papers (2001) View citations (31) (2001)
- Volatility Trading: What Is the Role of the Long-Run Volatility Component?
Journal of Financial and Quantitative Analysis, 2012, 47, (2), 273-307 View citations (12)
2011
- Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
Journal of Financial Economics, 2011, 99, (1), 204-215 View citations (164)
2010
- Bayesian Portfolio Analysis
Annual Review of Financial Economics, 2010, 2, (1), 25-47 View citations (58)
- Cross-Sectional Asset Pricing Tests
Annual Review of Financial Economics, 2010, 2, (1), 49-74 View citations (18)
- How much stock return predictability can we expect from an asset pricing model?
Economics Letters, 2010, 108, (2), 184-186 View citations (23)
- Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty
Journal of Financial and Quantitative Analysis, 2010, 45, (4), 959-986 View citations (31)
- Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance
Journal of Financial Economics, 2010, 96, (2), 331-344 View citations (33)
- Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
The Review of Financial Studies, 2010, 23, (2), 821-862 View citations (798)
- Robust portfolios: contributions from operations research and finance
Annals of Operations Research, 2010, 176, (1), 191-220 View citations (113)
2009
- Technical analysis: An asset allocation perspective on the use of moving averages
Journal of Financial Economics, 2009, 92, (3), 519-544 View citations (101)
2008
- 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
2007
- Estimating and testing beta pricing models: Alternative methods and their performance in simulations
Journal of Financial Economics, 2007, 84, (1), 40-86 View citations (107)
See also Working Paper Estimating and testing beta pricing models: Alternative methods and their performance in simulations, CEMA Working Papers (2007) View citations (115) (2007)
- Optimal Portfolio Choice with Parameter Uncertainty
Journal of Financial and Quantitative Analysis, 2007, 42, (3), 621-656 View citations (247)
2006
- A New Variance Bound on the Stochastic Discount Factor
The Journal of Business, 2006, 79, (2), 941-962 View citations (7)
- Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
The Review of Financial Studies, 2006, 20, (5), 1547-1581 View citations (30)
- Portfolio optimization under asset pricing anomalies
Japan and the World Economy, 2006, 18, (2), 121-142 View citations (2)
- Using Bootstrap to Test Portfolio Efficiency
Annals of Economics and Finance, 2006, 7, (2), 217-249 View citations (20)
2004
- Data-generating process uncertainty: What difference does it make in portfolio decisions?
Journal of Financial Economics, 2004, 72, (2), 385-421 View citations (43)
2002
- What Determines Expected International Asset Returns?
Annals of Economics and Finance, 2002, 3, (2), 249-298 View citations (43)
See also Working Paper What Determines Expected International Asset Returns?, CEMA Working Papers (2002) View citations (38) (2002)
2000
- 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
- On the Rate of Convergence of Discrete‐Time Contingent Claims
Mathematical Finance, 2000, 10, (1), 53-75 View citations (32)
1999
- Security factors as linear combinations of economic variables
Journal of Financial Markets, 1999, 2, (4), 403-432 View citations (7)
- Testing multi-beta asset pricing models
Journal of Empirical Finance, 1999, 6, (3), 219-241 View citations (16)
1996
- Measuring the Pricing Error of the Arbitrage Pricing Theory
The Review of Financial Studies, 1996, 9, (2), 557-87 View citations (166)
See also Working Paper Measuring the Pricing Error of the Arbitrage Pricing Theory, CEMA Working Papers (1996) View citations (165) (1996)
- Temporary Components of Stock Returns: What Do the Data Tell Us?
The Review of Financial Studies, 1996, 9, (4), 1033-59 View citations (29)
1995
- Small sample rank tests with applications to asset pricing
Journal of Empirical Finance, 1995, 2, (1), 71-93 View citations (18)
1994
- Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums
The Review of Financial Studies, 1994, 7, (4), 687-709 View citations (30)
1993
- Asset-Pricing Tests under Alternative Distributions
Journal of Finance, 1993, 48, (5), 1927-42 View citations (49)
- International asset pricing with alternative distributional specifications
Journal of Empirical Finance, 1993, 1, (1), 107-131 View citations (62)
See also Working Paper International asset pricing with alternative distributional specifications, CEMA Working Papers (1993) View citations (56) (1993)
1991
- Small sample tests of portfolio efficiency
Journal of Financial Economics, 1991, 30, (1), 165-191 View citations (32)
1990
- Bayesian inference in asset pricing tests
Journal of Financial Economics, 1990, 26, (2), 221-254 View citations (47)
Chapters
2013
- Forecasting Stock Returns
Elsevier View citations (321)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|