Follow
Sophia Zhengzi Li
Sophia Zhengzi Li
Assistant Professor of Finance, Rutgers University
Verified email at business.rutgers.edu - Homepage
Title
Cited by
Cited by
Year
Market intraday momentum
L Gao, Y Han, SZ Li, G Zhou
Journal of Financial Economics 129 (2), 394-414, 2018
2272018
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
T Bollerslev, SZ Li, V Todorov
Journal of Financial Economics 120 (3), 464-490, 2016
1722016
Jump tails, extreme dependencies, and the distribution of stock returns
T Bollerslev, V Todorov, SZ Li
Journal of Econometrics 172 (2), 307-324, 2013
1632013
Good volatility, bad volatility, and the cross section of stock returns
T Bollerslev, SZ Li, B Zhao
Journal of Financial and Quantitative Analysis 55 (3), 751-781, 2020
1562020
Efficient Gaussian graphical model determination under G-Wishart prior distributions
H Wang, SZ Li
1442012
When shareholders disagree: Trading after shareholder meetings
SZ Li, E Maug, M Schwartz-Ziv
The Review of Financial Studies 35 (4), 1813-1867, 2022
552022
Pervasive underreaction: Evidence from high-frequency data
H Jiang, SZ Li, H Wang
Journal of Financial Economics 141 (2), 573-599, 2021
462021
News momentum
H Jiang, SZ Li, H Wang
Technical report, 2019
222019
Intraday momentum: The first half-hour return predicts the last half-hour return
L Gao, Y Han, SZ Li, G Zhou
Available at SSRN 2552752, 2015
192015
Automated Volatility Forecasting
SZ Li, Y Tang
Available at SSRN 3776915, 2021
17*2021
Continuous beta, discontinuous beta, and the cross-section of expected stock returns
SZ Li
Working Paper, 2012
102012
Risk momentum: A new class of price patterns
SZ Li, P Yuan, G Zhou
Available at SSRN 4062260, 2023
72023
Automated risk forecasting
SZ Li, Y Tang
Automated Risk Forecasting: Li, Sophia Zhengzi| uTang, Yushan, 2022
72022
How are shareholder votes and trades related
SZ Li, M Schwartz-Ziv
SSRN Electronic Journal, 2018
72018
ETFs, anomalies and market efficiency
I Filippou, S He, SZ Li, G Zhou
Available at SSRN 4056260, 2023
52023
Jump Tail dependence in the Chinese stock market
SZ Li, H Wang, H Zhao
Emerging Markets Finance and Trade 52 (10), 2379-2396, 2016
52016
Granular information and sectoral movements
H Jiang, SZ Li, P Yuan
Available at SSRN 3700466, 2023
4*2023
Risk-based momentum of corporate bonds
SZ Li, P Yuan, G Zhou
Available at SSRN 4374766, 2023
32023
Anomalies as new hedge fund factors: A machine learning approach
Y Chen, SZ Li, Y Tang, G Zhou
Anomalies as New Hedge Fund Factors: A Machine Learning Approach: Chen, Yong …, 2023
22023
Risk-based momentum
SZ Li, P Yuan, G Zhou
Available at SSRN, 2022
22022
The system can't perform the operation now. Try again later.
Articles 1–20