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A critique of the stochastic discount factor methodology

Kan, Raymond; Zhou, Guofu - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1221-1248

Persistent link: https://www.econbiz.de/10001395748

Out-of-sample equity premium prediction : economic fundamentals vs. moving-average rules

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - 2010

Persistent link: https://www.econbiz.de/10008651185

Forecasting the equity risk premium : the role of technical indicators

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791

Persistent link: https://www.econbiz.de/10010399441

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

Out-of-sample equity premium prediction : combination forecasts and links to the real economy

Rapach, David E.; Strauss, Jack; Zhou, Guofu - In: The review of financial studies 23 (2010) 2, pp. 821-862

Persistent link: https://www.econbiz.de/10003943103

Fama-MacBeth two-pass regressions : improving risk premia estimates

Bai, Jushan; Zhou, Guofu - In: Finance research letters 15 (2015), pp. 31-40

Persistent link: https://www.econbiz.de/10011552938

Short interest and aggregate stock returns

Rapach, David E.; Ringgenberg, Matthew C.; Zhou, Guofu - In: Journal of financial economics 121 (2016) 1, pp. 46-65

Persistent link: https://www.econbiz.de/10011590566

Fama-MacBeth Two-Pass Regressions : Improving Risk Premia Estimates

Bai, Jushan - 2015

In this paper, we provide the asymptotic theory for the widely used Fama and MacBeth (1973) two-pass regression in the usual case of a large number of assets. We find that the convergence of the OLS two-pass estimator depends critically on the time series sample size in addition to the number of...

Persistent link: https://www.econbiz.de/10013024744

Time series momentum : is it there?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu - In: Journal of financial economics 135 (2020) 3, pp. 774-794

Persistent link: https://www.econbiz.de/10012543228

Unspanned global macro risks in bond returns

Zhao, Feng; Zhou, Guofu; Zhum, Xiaoneng - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7825-7843

Persistent link: https://www.econbiz.de/10012815767