Guofu Zhou
47 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0002-4104-403X
Olin Business School, Washington University in St. Louis, St. Louis, Missouri 63130
Publications
- Do Option Characteristics Predict the Underlying Stock Returns in the Cross-Section? — Management Science 2026
- Systematic Momentum: A New Class of Price Patterns — Management Science 2026
- Anomalies as New Hedge Fund Factors — Journal of Financial and Quantitative Analysis 2025
- Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning — Review of Finance 2024
- Why Naive Diversification Is Not So Naive, and How to Beat It? — Journal of Financial and Quantitative Analysis 2024
- Winners from Winners: A Tale of Risk Factors — Management Science 2024
- Shrinking Factor Dimension: A Reduced-Rank Approach — Management Science 2023
- Scaled PCA: A New Approach to Dimension Reduction — Management Science 2022
- Recovering the FOMC risk premium — Journal of Financial Economics 2022
- Expected return, volume, and mispricing — Journal of Financial Economics 2022
- Investor Attention and Stock Returns — Journal of Financial and Quantitative Analysis 2022
- Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case — Management Science 2022
- Unspanned Global Macro Risks in Bond Returns — Management Science 2021
- Time series momentum: Is it there? — Journal of Financial Economics 2020
- Stock Return Asymmetry: Beyond Skewness — CORRIGENDUM — Journal of Financial and Quantitative Analysis 2020
- Stock Return Asymmetry: Beyond Skewness — Journal of Financial and Quantitative Analysis 2020
- Manager sentiment and stock returns — Journal of Financial Economics 2019
- Asymmetry in Stock Comovements: An Entropy Approach — Journal of Financial and Quantitative Analysis 2018
- Market intraday momentum — Journal of Financial Economics 2018
- Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach — Management Science 2018
- Upper Bounds on Return Predictability — Journal of Financial and Quantitative Analysis 2017
- A trend factor: Any economic gains from using information over investment horizons? — Journal of Financial Economics 2016
- Short interest and aggregate stock returns — Journal of Financial Economics 2016
- Macroeconomic Volatilities and Long-Run Risks of Asset Prices — Management Science 2015
- Investor Sentiment Aligned: A Powerful Predictor of Stock Returns — The Review of Financial Studies 2015
- Forecasting the Equity Risk Premium: The Role of Technical Indicators — Management Science 2014
- A New Anomaly: The Cross-Sectional Profitability of Technical Analysis — Journal of Financial and Quantitative Analysis 2013
- International Stock Return Predictability: What Is the Role of the United States? — The Journal of Finance 2013
- Volatility Trading: What Is the Role of the Long-Run Volatility Component? — Journal of Financial and Quantitative Analysis 2012
- Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies — Journal of Financial Economics 2011
- Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty — Journal of Financial and Quantitative Analysis 2010
- Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy — The Review of Financial Studies 2010
- Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance — Journal of Financial Economics 2010
- Technical analysis: An asset allocation perspective on the use of moving averages — Journal of Financial Economics 2009
- Estimating and testing beta pricing models: Alternative methods and their performance in simulations — Journal of Financial Economics 2007
- Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation — The Review of Financial Studies 2007
- Optimal Portfolio Choice with Parameter Uncertainty — Journal of Financial and Quantitative Analysis 2007
- Data-generating process uncertainty: What difference does it make in portfolio decisions? — Journal of Financial Economics 2004
- A Critique of the Stochastic Discount Factor Methodology — The Journal of Finance 1999
- Measuring the Pricing Error of the Arbitrage Pricing Theory — The Review of Financial Studies 1996
- Temporary Components of Stock Returns: What Do the Data Tell Us? — The Review of Financial Studies 1996
- Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums — The Review of Financial Studies 1994
- Asset-pricing Tests under Alternative Distributions — The Journal of Finance 1993
- Small sample tests of portfolio efficiency — Journal of Financial Economics 1991
- Bayesian inference in asset pricing tests — Journal of Financial Economics 1990
- Anomalies and the Expected Market Return — The Journal of Finance
- ESG and the Stock Market: Is ESG Exposure Systematic? — Management Science