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Dr Yichao Zhu

Research School of Finance, Actuarial Studies & Statistics

Position: Post-doctoral Fellow
Email: yichao.zhu@anu.edu.au
Phone: +61 2 612 57314
Office: Room 4.53, CBE Bld (26C)

Dr Yichao Zhu

Research Interests

Empirical Asset Pricing, with focus on fixed income, short selling and stock return idiosyncratic volatility

Working Papers

“Two Tales of Corporate Bond Borrowing” with Antje Berndt

“Long-term Performance and Return Reversal Properties of the Idiosyncratic Volatility Puzzle”

“Informed Trading in Options or Price Pressure in Stocks? Connecting the DOTS in Option-Based Return Predictability”, with Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed and Thijs van der Heijden

“Pulling the Correct Lever on Sticky Debt and the Common Factors in Idiosyncratic Volatilities”, with Thijs van der Heijden and Qi Zeng


Updated:   1 March 2017 / Responsible Officer:  Dean, Business & Economics / Page Contact:  College Web Team