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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

"The Decline of Too Big to Fail" with Antje Berndt and Darrell Duffie

Dealer Inventory, Short Interest and Price Efficiency in the Corporate Bond Market” with Antje Berndt

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

A Three-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”

Updated:   1 March 2017 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team