Details about Chunsheng Zhou

Access statistics for papers by Chunsheng Zhou.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pzh551

Working Papers

2019

1. Forecasting Long- and Short-Horizon Stock Returns in a Unified Framework
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996)
2. Stock Market Fluctuations and the Term Structure
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (10)

1999

3. Credit Derivatives in Banking: Useful Tools for Managing Risk?
   Research Program in Finance Working Papers, University of California at Berkeley
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1997) View citations (8)
   See also Journal Article Credit derivatives in banking: Useful tools for managing risk?, Journal of Monetary Economics, Elsevier (2001) View citations (122) (2001)

1997

4. A jump-diffusion approach to modeling credit risk and valuing defaultable securities
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (49)
5. Default correlation: an analytical result
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (19)
6. Path-dependent option valuation when the underlying path is discontinuous
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2004

1. The illusory nature of momentum profits
   Journal of Financial Economics, 2004, 71, (2), 349-380 View citations (238)

2001

2. An Analysis of Default Correlations and Multiple Defaults
   The Review of Financial Studies, 2001, 14, (2), 555-76 View citations (79)
3. Credit derivatives in banking: Useful tools for managing risk?
   Journal of Monetary Economics, 2001, 48, (1), 25-54 View citations (122)
   See also Working Paper Credit Derivatives in Banking: Useful Tools for Managing Risk?, Research Program in Finance Working Papers (1999) (1999)
4. The term structure of credit spreads with jump risk
   Journal of Banking & Finance, 2001, 25, (11), 2015-2040 View citations (146)

2000

5. A STATE-SPACE MODEL OF SHORT- AND LONG-HORIZON STOCK RETURNS
   Journal of Financial Research, 2000, 23, (4), 523-544 View citations (2)
6. Time-to-Build and Investment
   The Review of Economics and Statistics, 2000, 82, (2), 273-282 View citations (14)

1999

7. Informational Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle
   Journal of Financial and Quantitative Analysis, 1999, 34, (4), 445-464 View citations (7)

1998

8. Dynamic portfolio choice and asset pricing with differential information
   Journal of Economic Dynamics and Control, 1998, 22, (7), 1027-1051 View citations (17)