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Zhu Yifeng

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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):

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

China Last updated: January 18th, 2018

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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


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


Empirical Asset Pricing, Financial Econometrics, Commodity Forecasting


“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


“Industry Anomalies” with Lei Gao, & Yufeng Han


“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


“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.


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 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 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


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.



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


2002 Third-Class in Web Design Competition, Tongji University


Computing R, Stata, SAS, MATLAB, C++, SPSS, SQL Server, Linux High Performance Computing,


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


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):


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): E–mail(B):

Yifeng Zhu


“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.

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