Chu ZHANG


Contact Information:

Department of Finance
The Hong Kong University of Science and Technology
Clear Water Bay, Kowloon, Hong Kong
Ph: 852-2358-7684
Fax: 852-2358-1749
Email: czhang@ust.hk

CV: [Download] .

Education

  • Ph.D (finance), 1992, University of Chicago, Chicago, U.S.A.
  • M.B.A.(finance), 1988, University of Chicago, Chicago, U.S.A.
  • M.S.(quantitative economics), 1984, Fudan University, Shanghai, China.
  • B.S.(mathematics), 1982, East-China Normal University, Shanghai, China.

    • Work Experience

    • 1997-present: School of Business and Management, The Hong Kong University of Science and Technology, Hong Kong.
      • Assistant professor (1997-1999)
      • Associate professor with tenure (2000-2010)
      • Full professor (2010-2021) and chair professor (2021-present)
    • 1991–2000: Faculty of Business, University of Alberta, Canada.
      • Assistant professor (1991-1998)
      • Associate professor with tenure (1998-2000)
    • 1984–1985. Lecturer, School of Management, Fudan University, Shanghai, China.

    Publications

    Testing pricing errors of models with latent factors and firm characteristics as covariances

    Management Science, 70, 1706-1728.
    2024

    The macroeconomic announcement premium and information environment (with Shen Zhao)

    Journal of Monetary Economics, 139,55-73.
    2023

    Corporate payout policy and credit risk: evidence from CDS markets (with Chengzhu Sun, Shujing Wang)

    Management Science, 67, 5755-5775.
    2021

    Why did the investment-cash flow sensitivity decline over time? (with Zhen Wang)

    Journal of Financial and Quantitative Analysis, 56, 2272-2308.
    2021

    Is information risk priced? Evidence from abnormal idiosyncratic volatility (with Yungchiang Yang and Bohui Zhang)

    Journal of Financial Economics, 135, 528-554.
    2020

    Counterparty Credit Risk and Derivatives Pricing (with Gang Li)

    Journal of Financial Economics, 134, 647-668.
    2019

    On the relationship between conditional jump intensity and diffusive volatility (with Gang Li)

    Journal of Empirical Finance, 37, 196-213.
    2016

    Diagnosing affine models of options pricing: Evidence from VIX (with Gang Li)

    Journal of Financial Economics, 107, 199-219.
    2013

    Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system (with Longzhen Fan, Shu Tian)

    Journal of Banking and Finance, 36, 239-248.
    2012

    An empirical evaluation of China’s monetary policies (with Longzhen Fan, Yihong Yu)

    Journal of Macroeconomics, 33, 358-371.
    2011

    Why are derivative warrants more expensive than options? an empirical study (with Gang Li)

    Journal of Financial and Quantitative Analysis, 46, 275-297.
    2011

    On the number of state variables in options pricing (with Gang Li)

    Management Science, 55, 2058-2075.
    2010

    A re-examination of the causes of time-varying stock return volatilities

    Journal of Financial and Quantitative Analysis, 45, 663-684.
    2010

    Bankruptcy prediction: the case of Japanese listed companies (with Ming Xu)

    Review of Accounting Studies, 14, 534-558.
    2009

    Testing the APT with the maximum Sharpe ratio of extracted factors

    Management Science, 55, 1255-1266.
  • erratum
    • 2009

    On the explanatory power of firm-specific variables in cross-sections of expected returns

    Journal of Empirical Finance, 16, 306-317.
    2009

    Beyond segmentation: The case of China’s repo markets (with Longzhen Fan)

    Journal of Banking and Finance, 31, 939-954.
    2007

    The Chinese interbank repo market: an analysis of term premiums (with Longzhen Fan)

    Journal of Futures Markets, 26, 153-167.
    2006

    Why did individual stocks become more volatile? (with Steven X. Wei)

    Journal of Business, 79, 259-292.
    2006

    Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities (with Steven X. Wei)

    Journal of Banking and Finance, 29, 603-621.
    2005

    The explanatory power of R&D for the cross-section of stock returns: Japan 1985-2000 (with Ming Xu)

    Pacific-Basin Finance Journal, 12, 245-269.
    2004

    Statistical and economic significance of stock return pre- dictability: A mean-variance analysis (with Steven X. Wei)

    Journal of Multinational Financial Management, 13, 443-463.
    2003

    Asset pricing specification errors and performance evaluation (with Jia He, Lilian Ng)

    European Finance Review, renamed Review of Finance, 3, 205-232.
    1999

    GMM tests of stochastic discount factor models with useless factors (with Raymond Kan)

    Journal of Financial Economics, 54, 103-127. Reprinted in Essays in Mod- ern Economics Research: A Volume in Honour of Professor Gregory Chow, Shanghai People’s Publishing House and Truth & Wisdom Press, 2008.
    1999

    Market Reactions to the Financial Posts “Hot Stock” Column (with Vikas Mehrotra, Wayne W. Yu)

    Canadian Journal of Administrative Science, 16, 118-131.
    1999

    Two-Pass Tests of Asset Pricing Models with Useless Factors (with Raymond Kan)

    Journal of Finance, 54, 203-235. Nominated for Smith Breeden Prize. Reprinted in Asset Pricing Theory and Tests, II, the International Library of Critical Writings in Financial Economics, edited by Robert R. Grauer.
    1999

    Tests of relations among marketwide factors, firm-specific variables and stock returns using a conditional asset pricing model (with Jia He, Raymond Kan, Lilian Ng)

    Journal of Finance, 51, 1891-1908.
    1996

    Investment under risk in property rights (with Guanzhong James Wen)

    China Economic Review, 4, 49-53.
    1993

    Working Papers