Education background

• 2011-2016 Hong Kong University of Science and Technology (HKUST) Finance, PhD

• 2007-2009 State University of New York, Stony Brook Applied Math and Statistics, Master

• 2003-2007 Sun Yat-sen University Bachelor of Mathematics （Minored in Finance）

Working experience

• 2016.8 – Assistant professor in finance, SUSTech

• 2009.9 – 2011.8 Quantitative Research Associate, Guotai Junan Securities Asset Management Department

• 2009.6-2009.8 Summer Intern, Citigroup HK
  

Teaching:

Financial derivatives, Quantitative investment analysis, Empirical methods in finance, Financial econometrics with applications

Research interests
Empirical asset pricing, Derivative Pricing, Portfolio Choice, Big data analysis in finance

Research Articles

1. Out-of-Sample Equity Premium Prediction: The Role Option-Implied Constraints  (with Yunqi Wang), Journal of Empirical Finance, 2023, 70, 199-226,

2. Higher-order Moment Risk and Stock Market Returns: Evidence from the China’s Options Market (with Yunqi Wang), Journal of Management Sciences in China, 2024, 27(05), 122-140, DOI:10.19920/j.cnki.jmsc.2024.05.007

3. Macroeconomic Expectations and Expected Returns (with Yizhe Deng and Yunqi Wang), Journal of Financial and Quantitative Analysis, Forthcoming, DOI:10.1017/S0022109024000279

4. International Stock Return Predictability: The Role of U.S. Volatility Risk (with Yizhe Deng Fuwei Jiang and Yuqi Wang)

5. Optimal Portfolio Choice under Parameter Uncertainty and Return Predictability (with Yunqi Wang)

6. On the Optimal Combination of Portfolio Strategies (with Yifan Ye)

7. There is No Place to Hide: Tail Risk Connectedness among Equity Anomalies (with Di Zhang)

8. Approaching the Mean-Variance Efficiency in a High Dimension: Which Firm Characteristics Matter? (with Bin Luo)

9. 基于时变隐马尔可夫机制转换模型的多资产配置研究 (与李仲飞，胡家啓合作)  (审稿中)

10. Can Conditioning Information Add Value in Portfolio Choice: An Out-of-Sample Analysis (with Qiqian Li and Yifan Ye) Submitted

11. Term Structure of Recession Probabilities and the Cross-Section of Asset Returns

12. Forward-Looking Tail Risk Measures (with Markus Huggenberger and Chu Zhang)

Honors

• 2011 -2016 Hong Kong University of Science and Technology Graduate Scholarship

• 2014, 2015 University Grants Committee (UGC) Travel Grant, Hong Kong University of Science and Technology

• 2015 Australian Finance and Bank PhD Student Conference Best Paper (3rd Prize)

• 2020, Best paper award in 18th International Symposium on Financial System Engineering and Risk Management

• 2021, Best paper award in the second China Derivative Youth Forum

Further Information:

http://faculty.sustech.edu.cn/zhout/en/

(Welcome applications for RA & Post-doc)