Sophia Zhengzi Li

10 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-0448-8125

Rutgers Business School, Newark, New Jersey 07102

Publications

• Systematic Momentum: A New Class of Price Patterns — Management Science 2026
• Anomalies as New Hedge Fund Factors — Journal of Financial and Quantitative Analysis 2025
• Automated Volatility Forecasting — Management Science 2025
• News-based investor disagreement and stock returns — Review of Accounting Studies 2025
• When Shareholders Disagree: Trading after Shareholder Meetings — The Review of Financial Studies 2022
• Pervasive underreaction: Evidence from high-frequency data — Journal of Financial Economics 2021
• Good Volatility, Bad Volatility, and the Cross Section of Stock Returns — Journal of Financial and Quantitative Analysis 2020
• Market intraday momentum — Journal of Financial Economics 2018
• Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns — Journal of Financial Economics 2016
• Forecasting and Managing Correlation Risks — Management Science