Staff directory

Dr Yichao Zhu
Research School of Finance, Actuarial Studies & Statistics
Position: Senior Lecturer
Email: yichao.zhu@anu.edu.au
Phone: +61 2 612 50776
Office:
Room 4.05, CBE Bld (26C)
Research: File (.PDF, 108KB)
Research areas
Asset pricing; Short selling; Fixed income; Financial institutions.
Biography
Yichao Zhu is a Senior Lecturer of Finance. Yichao’s research centres on asset pricing, in particular, its application to short selling, fixed income, idiosyncratic volatility, options pricing and financial institutions. Specific examples of his work include the price efficiency impacts of short-selling in the U.S. corporate bond market, especially in light of post-crisis regulatory reforms. Yichao’s work on the too-big-too-fail issue has led to collaborations focused on quantifying changes in the likelihood of big U.S. bank holding companies being bailed out at insolvency. His idiosyncratic stock return volatility study investigates the strong co-movement of idiosyncratic volatilities across the market. Yichao’s research has featured in the internationally renowned outlet Management Science.
Research publications
Publication
“Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market”, with Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed and Thijs van der Heijden, forthcoming, Management Science
Working Papers
"The Decline of Too Big to Fail" with Antje Berndt and Darrell Duffie
"Across-the-Curve Credit Spread Indices" with Antje Berndt and Darrell Duffie
“Dealer Inventory, Short Interest and Price Efficiency in the Corporate Bond Market” with Antje Berndt
“A Multi-Factor Model of Idiosyncratic Volatility”, with Thijs van der Heijden and Qi Zeng
“Long-term Performance and Return Reversal Properties of the Idiosyncratic Volatility Puzzle”
Research grants and awards
Awards
2016 INQUIRE Europe Research Award
2015 Best PhD Paper Award, Auckland Finance Meeting
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