Psychology and Interdisciplinary Studies (PAIS) Bldg 571 Tel. (T): +1 (202) 279-1278
Department of Economics, Emory University Fax (v): +1 (404) 727-4639
1602 Fishburne Drive, Atlanta, GA 30322 E–mail (B): yifeng.zhu@emory.edu
United States of America
Zhongcairongjin Building 4017 Tel. (T): +86 17326932430
School of Finance, Central University of Finance and Economics
South Xueyuan Road, Beijing, 100081 E–mail (B): yfng zhu@yahoo.com
China Last updated: January 18th, 2018
Web (@): http://yifengzhu.weebly.com/
CURRENT EMPLOYMENT
08/2017– Visiting Assistant Professor, Department of Economics, Emory University, Atlanta, USA
08/2016– Assistant Professor in Finance, School of Finance, Central University of Finance and
Economics, Beijing, China
EDUCATION
Emory University, Atlanta, GA
Ph.D. in Economics, August 2011 – May 2016
George W. Woodruff Fellow
Dissertation Title: “Essays on Empirical Applications of Entropy-based Inference”
Committee: Esfandiar Maasoumi (Chair), Zhongjian Lin, Tao Zha, Guofu Zhou
Georgetown University, Washington, DC
M.S. in Math and Statistics, May 2011
Shanghai Jiao Tong University, Shanghai, China
M.S. in Applied Mathematics, Dec. 2007
Tongji University, Shanghai, China
B.S. in Applied Mathematics & Minor in Business Administration, July 2005
RESEARCH INTERESTS
Empirical Asset Pricing, Financial Econometrics, Commodity Forecasting
WORKING PAPERS
“Stock Return Asymmetry: Beyond Skewness” with Lei Jiang, Ke Wu & Guofu Zhou, Revise and
Resubmit at Journal of Financial and Quantitative Analysis
– Presented at Tsinghua University (2014), Central University of Finance and Economics (2014)
Shanghai University of Finance and Economics (2014), Emory University (2015)
South University of Science and Technology of China (2015)
Washington University in St. Louis (2015), Renmin University of China (2015)
Case Western Reserve University (2016), San Francisco State University (2016)
Yifeng Zhu
China Finance Review International Conference (2015)
MFA Annual Meeting, Atlanta, GA, USA (2016)
Fifth ITAM Finance Conference, Mexico City, Mexico (2016)
China International Conference in Finance, Xiamen, China (2016)
FMA Annual Meeting, Las Vegas, NV, USA (2016)
– SSRN Top 10 download list for: Econometric Modeling: Capital Markets - Asset Pricing eJournal
ERN: Other Econometric Modeling: Capital Markets - Asset Pricing
“Stock Return Asymmetry and Anomalies” with Lei Jiang, & Quan Wen
– Presented at Tsinghua University (2014), University of International Business and Economics (2017)
China Finance Review International Conference (2017)
“Crude Oil Price Prediction: A Nonparametric Approach”
– Presented at 26th Australasian Finance and Banking Conference, Sydney, Australia (2013)
Southwestern Finance Association 53rd Annual Meeting, Dallas, Texas, USA (2014)
Eastern Finance Association 50th Annual Meeting, Pittsburgh, Pennsylvania, USA (2014)
7th International IFABS Conference, Hangzhou, China (2015)
Emory University (2014)
– SSRN Top 10 download list for: ERN: Energy (Topic), Nonparametric Methods (Topic)
Other Econometrics: Applied Econometric Modeling in Forecasting (Topic)
Econometric Modeling: Forecasting eJournal
“Stock Anomalies Inside Industries” with Lei Gao, & Yufeng Han
WORK IN PROGRESS
“Industry Anomalies” with Lei Gao, & Yufeng Han
PUBLICATIONS
“The Wage Premium of Naturalized Citizenship” with Esfandiar Maasoumi, Advances in Econometrics,
36:315-348, 2016.
– Presented at Northwestern U Causal Workshop, Chicago, Illinois, USA (2014), Emory U (2015)
Conference in Honor of Aman Ullah, Riverside, California, USA (2015)
“Discussion and Application of Ordinary Differential Equation with Non-local
Integral Term” with Baojun Bian, Pure and Applied Mathematics, 28:219-227, 2012.
“Existence of a Shock Wave in A One-dimensional Radiation Hydrodynamic System”
with Peng Jiang, Acta Mathematica Scientia, 31A:1-17, 2011.
Yifeng Zhu
OTHER PAPERS
“Numerical Method for American Option and Its Applications”
with Malcolm Britton, 2012.
“The Simulation of Flood Planning Based on PDE”
with Zhemin Liang & Jiakai Wang US Mathematical Contest in Modeling, 2005.
TEACHING EXPERIENCE
Spring 2018 Instructor ECON101 Principles of Microeconomics
ECON215 Stocks,Bonds & Financial Markets
ECON220 Probab. & Stat. for Economists
Fall 2017 Instructor ECON215 Stocks,Bonds & Financial Markets
ECON220 Probab. & Stat. for Economists
Spring 2017 Financial Derivatives
Operation Research
Risk Management
Summer 2013, Spring 2014 ECON220 Intro To Statistical Methods
Summer 2014 & Fall 2015 Average Evaluation Score is 7.58/9.00,
Emory Univ. same level courses mean is 7.05/9.00
Summers 2014 & 2015 Co-Instructor ECON526 Quantitative Methods (Ph.D. Course)
Fall 2015 Teaching Assistant ECON520 Probability Theory & Statistical Inference
Fall 2013 ECON500 Microeconomic Theory I
Spring 2013 ECON215 Stocks,Bonds & Financial Markets
2010-2011 MATH504 Numerical Methods
Spring 2007 MA206 Probability Theory
Fall 2006 MA202 Ordinary Differential Equations
RESEARCH EXPERIENCE
Research Assistant
2012–2016 Prof. Esfandiar Maasoumi, Department of Economics, Emory University
Spring 2015 Prof. Junghoon Lee, Department of Economics, Emory University
Fall 2014 Prof. Hashem Dezhbakhsh, Department of Economics, Emory University
Fall 2012 Prof. David Jacho-Chavez, Department of Economics, Emory University
Summer 2010 McDonough School of Business, Georgetown University
2006–2008 Prof. Ya-Guang Wang, Department of Mathematics, Shanghai Jiao Tong University
PROFESSIONAL ACTIVITIES
Professional Affiliations: American Finance Association, American Economic Association,
Financial Management Association International, Southwestern Finance Association,
Eastern Finance Association, Southern Finance Association
Southern Finance Association Program Committee, Key West, Florida, 2017
Yifeng Zhu
PREVIOUS EMPLOYMENT
08/2008–10/2009 Financial Analyst, Boomway Asset Management Co.,Ltd, Shanghai, China
– Build my own models to forecast the future stock prices.
– My area of coverage consists of cement, airport, hotel and commodities.
04/2008–04/2009 Part-time Instructor, Adult Education College of Shanghai, Shanghai, China
– Teach undergraduate level Math course-Calculus.
03/2008–08/2008 Project Analyst , Hollyhigh International Capital, Shanghai, China
– In charge of cement industry sector.
– Develop a model to forecast regional cement prices in the next 15 years.
– Included in the financial consolidation consultancy report of South Cement Company.
– http://cnbm.wsfg.hk/preview/?docid="3891
HONORS AND AWARDS
2011-2016 George W. Woodruff Fellowship, Emory University
2013-2015 Professional Development Support Conference, Research, Training, and Special Funds,
Emory University
2013-2014 Travel Grant, Emory Graduate Student Council
2010-2011 Merit-based Scholarship, Georgetown University
2008 Excellent Master Dissertation in Shanghai Anonymous Review Process
2007 Excellent Teaching Assistant, Shanghai Jiao Tong University
2005 Outstanding Student Leader, Tongji University
Honorable Mention Prize in the US Mathematical Contest in Modeling
2003–2005 Second-Class Merit-based Scholarship, Tongji University
2004 Honor Student, Tongji University; Third-Class of Mathematic Model Competition of
China in Shanghai
2003 Second-Class of Mathematic Model Competition of China in Shanghai
2002–2003 Third-Class Merit-based Scholarship & Second-Class Social Activities Scholarship, Tongji
University
2002 Third-Class in Web Design Competition, Tongji University
SKILLS AND OTHER INFORMATION
Computing R, Stata, SAS, MATLAB, C++, SPSS, SQL Server, Linux High Performance Computing,
LATEX
Database CRSP, Compustat
Certificates Specialist level-II of The Securities Association of China
Hong Kong Securities Institute Specialist Certificate in Asset Management
Languages English (Fluent), Chinese (Native)
Yifeng Zhu
REFERENCES
Esfandiar Maasoumi (Chair) Daniel Levy
Arts & Sciences Distinguished Professor of Economics
Professor of Economics Department of Economics
Department of Economics Bar-Ilan University, ISRAEL
Emory University Tel. (T): +972-3-5318331
Tel. (T): +1 (404) 727-9817 E–mail(B): daniel.levy@biu.ac.il
E–mail(B): emaasou@emory.edu
Tao Zha Guofu Zhou
Samuel Candler Dobbs Frederick Bierman & James E. Spears
Professor of Economics Professor of Finance
Department of Economics Olin Business School
Emory University Washington University in St. Louis
Tel. (T): +1 (404) 727-1128 Tel. (T): +1 (314) 935-6384
E–mail(B): tzha@emory.edu E–mail(B): zhou@wustl.edu
Yifeng Zhu
WORKING AND RECENT PUBLICATION ABSTRACTS
“Stock Return Asymmetry: Beyond Skewness”, with Lei Jiang, Ke Wu & Guofu Zhou
In this paper, we propose two asymmetry measures for stock returns. In contrast to the popular skewness
measure, our measures are based on either the entire distribution or its tails of the data instead of just the
third central moment. Empirically, we find that, with our new measures, greater upside asymmetries imply
lower average returns in the cross-section of stocks, an association that remains inconclusive when using
skewness. Our results are consistent with recent theoretical models of asymmetry.
“Stock Return Asymmetry and Anomalies”, with Lei Jiang, & Quan Wen
In this paper, we find asymmetry helps to explain a large number of financial market anomalies. 16
anomalies could be partially explained by asymmetry of stock returns based on double sorting analysis. 12
out of 16 anomalies are stronger (its long-short strategies are more profitable) for high-asymmetry stocks,
and the profitability mainly due to the short leg of each strategy. Asymmetry as a coordination signal help
to correct mispricing when facing arbitrage risk.
“Crude Oil Price Prediction: A Nonparametric Approach”
In this paper, we propose linear and nonparametric models to predict one month, three months, six
months, one year, eighteen months and two years ahead oil price in out-of-sample background. Mainly,
our forecast depends on three predictor variables, the change in crude oil inventories, its previous prices
and product spread. By employing mean-squared prediction error (MSPE) and stochastic dominance (SD)
tests, we find that the prediction result of our nonparametric models is significantly better than the random
walk model. And, the corresponding linear models’ performance is better than the random walk model only
for longer horizon forecasts (one to two years). In general, for the sample period from 1995.1 to 2015.4,
the conclusion is that our model applying nonparametric estimation always outperforms all other models
in different horizon forecasting. For the nonparametric model including all three predictors, we document
MSPE reduction as high as 62.5% and directional accuracy ratio as high as 77.5% at the two years horizon
compared to the random walk model.
“The Wage Premium of Naturalized Citizenship”, with Esfandiar Maasoumi
We examine the potential effect of naturalization on the U.S. immigrants’ earnings. We find the earning
gap between naturalized citizens and non-citizens is positive and a generally stable tent shape. We report
a new entropy measure of the entire distribution gap, and conventional measures at the mean, median and
other quantile. In addition, naturalized citizen earnings (at least) second order stochastically dominate
non-citizen earnings in many of the recent years. We construct two counterfactual distributions to further
examine the potential sources of the earning gap, the “wage structure” effect and the “composition” effect.
Both of these sources contribute to the whole earning gap, but the composition effect, while diminishing
somewhat after 2005, accounts for about 3/4 of the gap. The unconditional quantile regression (based on
the Recentered Influence Function), and conditional quantile regression results also confirm that citizenship
is generally associated with higher earnings, although the magnitudes are varied for different income groups.
