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Effects of liquidity on the non-default component of corporate yield spreads : evidence from intraday transactions data

Han, Song; Zhou, Hao - In: The quarterly journal of finance 6 (2016) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10011531498

Institutional herding and its price impact : Evidence from the corporate bond market

Cai, Fang; Han, Song; Li, Dan; Li, Yi - In: Journal of financial economics 131 (2019) 1, pp. 139-167

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Expected stock returns and variance risk premia

Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - In: The review of financial studies 22 (2009) 11, pp. 4463-4492

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Bond risk premia and realized jump risk

Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345

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Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - 2012

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Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - 2013 - First Draft: March 2011, This Version: January 2013

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...

Persistent link: https://www.econbiz.de/10009710603