IDEAS home Printed from https://ideas.repec.org/f/pzh420.html
   My authors  Follow this author

Guofu Zhou

Personal Details

First Name:Guofu
Middle Name:
Last Name:Zhou
Suffix:
RePEc Short-ID:pzh420
[This author has chosen not to make the email address public]
http://apps.olin.wustl.edu/faculty/zhou
Terminal Degree:1990 Department of Economics; Duke University (from RePEc Genealogy)

Affiliation

Olin School of Business
Washington University in St. Louis

St. Louis, Missouri (United States)
http://www.olin.wustl.edu/
RePEc:edi:oswusus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  2. Jay Shanken & Guofu Zhou, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," CEMA Working Papers 275, China Economics and Management Academy, Central University of Finance and Economics.
  3. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," CEMA Working Papers 503, China Economics and Management Academy, Central University of Finance and Economics.
  4. Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers 539, China Economics and Management Academy, Central University of Finance and Economics.
  5. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," CEMA Working Papers 12, China Economics and Management Academy, Central University of Finance and Economics.
  6. John Geweke & Guofu Zhou, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," CEMA Working Papers 276, China Economics and Management Academy, Central University of Finance and Economics.
  7. Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.

Articles

  1. Liu, Hong & Tang, Xiaoxiao & Zhou, Guofu, 2022. "Recovering the FOMC risk premium," Journal of Financial Economics, Elsevier, vol. 145(1), pages 45-68.
  2. Xi Dong & Yan Li & David E. Rapach & Guofu Zhou, 2022. "Anomalies and the Expected Market Return," Journal of Finance, American Finance Association, vol. 77(1), pages 639-681, February.
  3. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
  4. Huang, Dashan & Li, Jiangyuan & Wang, Liyao & Zhou, Guofu, 2020. "Time series momentum: Is it there?," Journal of Financial Economics, Elsevier, vol. 135(3), pages 774-794.
  5. Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
  6. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  7. Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 791-837.
  8. Bai, Jushan & Zhou, Guofu, 2015. "Fama–MacBeth two-pass regressions: Improving risk premia estimates," Finance Research Letters, Elsevier, vol. 15(C), pages 31-40.
  9. Han, Yufeng & Yang, Ke & Zhou, Guofu, 2013. "A New Anomaly: The Cross-Sectional Profitability of Technical Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1433-1461, October.
  10. David E. Rapach & Jack K. Strauss & Guofu Zhou, 2013. "International Stock Return Predictability: What Is the Role of the United States?," Journal of Finance, American Finance Association, vol. 68(4), pages 1633-1662, August.
  11. Zhou, Guofu & Zhu, Yingzi, 2012. "Volatility Trading: What Is the Role of the Long-Run Volatility Component?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(2), pages 273-307, April.
  12. Raymond Kan & Guofu Zhou, 2012. "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
  13. Tu, Jun & Zhou, Guofu, 2011. "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," Journal of Financial Economics, Elsevier, vol. 99(1), pages 204-215, January.
  14. Gormley, Todd & Liu, Hong & Zhou, Guofu, 2010. "Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance," Journal of Financial Economics, Elsevier, vol. 96(2), pages 331-344, May.
  15. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  16. Ravi Jagannathan & Ernst Schaumburg & Guofu Zhou, 2010. "Cross-Sectional Asset Pricing Tests," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 49-74, December.
  17. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 959-986, August.
  18. Zhou, Guofu, 2010. "How much stock return predictability can we expect from an asset pricing model?," Economics Letters, Elsevier, vol. 108(2), pages 184-186, August.
  19. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
  20. David E. Rapach & Jack K. Strauss & Guofu Zhou, 2010. "Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy," Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 821-862, February.
  21. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  22. G. Liu & G. Zhou, 2008. "Temperature-dependent transport and spin accumulation in a quantum wire with Rashba spin-orbit interaction," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(1), pages 85-90, September.
  23. Kan, Raymond & Zhou, Guofu, 2007. "Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(3), pages 621-656, September.
  24. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
  25. Pin-Huang Chou & Guofu Zhou, 2006. "Using Bootstrap to Test Portfolio Efficiency," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 217-249, November.
  26. Raymond Kan & Guofu Zhou, 2006. "A New Variance Bound on the Stochastic Discount Factor," The Journal of Business, University of Chicago Press, vol. 79(2), pages 941-962, March.
  27. Chou, Pin-Huang & Li, Wen-Shen & Zhou, Guofu, 2006. "Portfolio optimization under asset pricing anomalies," Japan and the World Economy, Elsevier, vol. 18(2), pages 121-142, March.
  28. Yongmiao Hong & Jun Tu & Guofu Zhou, 2006. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1547-1581, 2007 23.
  29. Tu, Jun & Zhou, Guofu, 2004. "Data-generating process uncertainty: What difference does it make in portfolio decisions?," Journal of Financial Economics, Elsevier, vol. 72(2), pages 385-421, May.
  30. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 249-298, November.
  31. Pin-Huang Chou & Yuan-Lin Hsu & Guofu Zhou, 2000. "Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange," Annals of Economics and Finance, Society for AEF, vol. 1(1), pages 79-100, May.
  32. Steve Heston & Guofu Zhou, 2000. "On the Rate of Convergence of Discrete‐Time Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 53-75, January.
  33. Zhou, Guofu, 1999. "Security factors as linear combinations of economic variables," Journal of Financial Markets, Elsevier, vol. 2(4), pages 403-432, November.
  34. Velu, Raja & Zhou, Guofu, 1999. "Testing multi-beta asset pricing models," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 219-241, September.
  35. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-587.
  36. Lamoureux, Christopher G & Zhou, Guofu, 1996. "Temporary Components of Stock Returns: What Do the Data Tell Us?," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1033-1059.
  37. Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 71-93, March.
  38. Zhou, Guofu, 1994. "Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 687-709.
  39. Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
  40. Zhou, Guofu, 1993. "Asset-Pricing Tests under Alternative Distributions," Journal of Finance, American Finance Association, vol. 48(5), pages 1927-1942, December.
  41. Zhou, Guofu, 1991. "Small sample tests of portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 30(1), pages 165-191, November.
  42. Harvey, Campbell R. & Zhou, Guofu, 1990. "Bayesian inference in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 26(2), pages 221-254, August.

Chapters

  1. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages
  22. Number of Journal Pages, Weighted by Simple Impact Factor
  23. Number of Journal Pages, Weighted by Recursive Impact Factor
  24. Number of Journal Pages, Weighted by Number of Authors
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Number of Abstract Views in RePEc Services over the past 12 months
  28. Number of Downloads through RePEc Services over the past 12 months
  29. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  30. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  31. Euclidian citation score
  32. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (1) 2010-04-11
  2. NEP-ECM: Econometrics (1) 2006-02-26
  3. NEP-FOR: Forecasting (1) 2010-04-11
  4. NEP-UPT: Utility Models & Prospect Theory (1) 2010-04-11

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Guofu Zhou should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.