Shaojun Zhang

The Ohio State University

2100 Neil Avenue

Columbus, OH 43210-1144

United States

http://sites.google.com/view/zhangshaojun

The Vanguard Group, Inc.

100 Vanguard Blvd

Malvern, PA 19355

United States

SCHOLARLY PAPERS

8

DOWNLOADS

1,654

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Limited Risk Sharing and International Equity Returns

Fisher College of Business Working Paper No. 2016-03-025, Charles A. Dice Center Working Paper No. 2016-25, Journal of Finance, Forthcoming
Number of pages: 59 Posted: 01 Jan 2014 Last Revised: 08 Mar 2020
Shaojun Zhang
The Ohio State University
Downloads 517 (66,674)
Citation 1

Abstract:

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comovement, exchange rate, limited participation, equity return, incomplete markets

2.

Systemic Default and Return Predictability in the Stock and Bond Markets

Charles A. Dice Center Working Paper No. 2016-2, Fisher College of Business Working Paper No. 2016-03-02
Number of pages: 62 Posted: 27 Jan 2016 Last Revised: 31 Mar 2021
Jack Bao, Kewei Hou and Shaojun Zhang
University of Delaware - Department of Finance, Ohio State University (OSU) - Department of Finance and The Ohio State University
Downloads 489 (71,465)
Citation 4

Abstract:

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Systemic risk, Joint default, Predictability, Stock returns, Bond returns

3.
Downloads 324 (115,110)

Dissecting Currency Momentum

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 28 Jan 2021 Last Revised: 18 May 2021
Shaojun Zhang
The Ohio State University
Downloads 172 (212,900)

Abstract:

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momentum, time series momentum, return, factor, exchange rate

Dissecting Currency Momentum

Fisher College of Business Working Paper No. 2020-03-015, Charles A Dice Working Paper No. 2020-15
Number of pages: 42 Posted: 07 Jul 2020 Last Revised: 02 Jan 2021
Shaojun Zhang
The Ohio State University
Downloads 152 (236,706)

Abstract:

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momentum, return, factor, exchange rate

4.

Housing Cycles and Exchange Rates

Fisher College of Business Working Paper No. 2019-03-014, Charles A. Dice Center Working Paper No. 2019-14
Number of pages: 54 Posted: 09 May 2019 Last Revised: 07 Apr 2020
Sai Ma and Shaojun Zhang
Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 147 (242,776)
Citation 2

Abstract:

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housing, exchange rate, predictability

5.

Housing Risk and the Cross-Section of Returns Across Many Asset Classes

Fisher College of Business Working Paper No. 2020-03-008, Charles A. Dice Working Paper No. 2020-08
Number of pages: 55 Posted: 10 May 2020
Sai Ma and Shaojun Zhang
Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 101 (319,553)

Abstract:

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asset classes, cross section, risk, housing, demand shocks

6.

The Causal Effect of the Dollar on Trade

CESifo Working Paper No. 8727
Number of pages: 26 Posted: 03 Dec 2020
Sai Ma, Tim Schmidt-Eisenlohr and Shaojun Zhang
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and The Ohio State University
Downloads 67 (407,414)

Abstract:

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7.

Toward Tax Efficient Low Volatility Investing

Number of pages: 12 Posted: 22 Jul 2021
Shaojun Zhang
The Ohio State University
Downloads 8 (724,103)

Abstract:

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tax efficiency, low volatility, return, transaction cost

8.

Factor Construction Zoo: Are Factor Exposures Created Equal?

forthcoming, Journal of Portfolio Management
Number of pages: 1 Posted: 29 Dec 2020 Last Revised: 21 Jul 2021
Shaojun Zhang
The Ohio State University
Downloads 1 (776,594)

Abstract:

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factor exposure, portfolio construction, risk, return, non-linearity