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Guofu Zhou · Study
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Author
Guofu Zhou
72 works
· latest 2024
· 4 institutions
cluster: provisional
ORCID 0000-0002-4104-403X
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72
Citations
14,626
Works here
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Most cited in this library
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
2009 · 1,684 citations
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
2014 · 1,129 citations
Forecasting the Equity Risk Premium: The Role of Technical Indicators
2014 · 1,001 citations
Manager sentiment and stock returns
2018 · 733 citations
Optimal Portfolio Choice with Parameter Uncertainty
2007 · 704 citations
Works
60 shown
Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning
European Finance Review
·
2024
·
4 authors
47
citations
Trend Factor in China: The Role of Large Individual Trading
The Review of Asset Pricing Studies
·
2024
·
3 authors
·
Open access
44
citations
Why Naive $ 1/N $ Diversification Is Not So Naive, and How to Beat It?
Journal of Financial and Quantitative Analysis
·
2023
·
2 authors
36
citations
Are bond returns predictable with real-time macro data?
Journal of Econometrics
·
2023
·
5 authors
·
Open access
37
citations
Winners from Winners: A Tale of Risk Factors
Management Science
·
2023
·
3 authors
·
Open access
33
citations
Shrinking Factor Dimension: A Reduced-Rank Approach
Management Science
·
2022
·
4 authors
31
citations
Asset Pricing: Time-Series Predictability
Oxford Research Encyclopedia of Economics and Finance
·
2022
·
2 authors
·
other
59
citations
Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case
Management Science
·
2021
·
3 authors
·
Open access
115
citations
Expected return, volume, and mispricing
Journal of Financial Economics
·
2021
·
4 authors
·
Open access
108
citations
Time‐series and Cross‐sectional Stock Return Forecasting: New Machine Learning Methods
·
2020
·
2 authors
·
other
72
citations
Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals
Financial Management
·
2020
·
5 authors
97
citations
Anomalies and the Expected Market Return
The Journal of Finance
·
2020
·
4 authors
·
Open access
203
citations
Recovering the FOMC Risk Premium
Journal of Financial Economics
·
2020
·
3 authors
·
Open access
55
citations
Volatility-Managed Portfolio: Does It Really Work?
The Journal of Portfolio Management
·
2019
·
3 authors
49
citations
Industry Return Predictability: A Machine Learning Approach
The Journal of Financial Data Science
·
2019
·
4 authors
74
citations
Stock Return Asymmetry: Beyond Skewness
Journal of Financial and Quantitative Analysis
·
2019
·
4 authors
·
Open access
56
citations
Manager sentiment and stock returns
Journal of Financial Economics
·
2018
·
4 authors
·
Open access
733
citations
Asymmetry in Stock Comovements: An Entropy Approach
Journal of Financial and Quantitative Analysis
·
2018
·
3 authors
·
Open access
55
citations
Measuring Investor Sentiment
Annual Review of Financial Economics
·
2018
·
1 author
·
review
210
citations
Market intraday momentum
Journal of Financial Economics
·
2018
·
4 authors
·
Open access
230
citations
Investor Attention and Stock Returns
Journal of Financial and Quantitative Analysis
·
2018
·
4 authors
·
Open access
308
citations
Time series momentum: Is it there?
Journal of Financial Economics
·
2018
·
4 authors
·
Open access
117
citations
Firm Characteristics and Chinese Stocks
Journal of Management Science and Engineering
·
2018
·
3 authors
·
Open access
69
citations
Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach
Management Science
·
2017
·
3 authors
·
Open access
144
citations
Upper Bounds on Return Predictability
Journal of Financial and Quantitative Analysis
·
2017
·
2 authors
·
Open access
46
citations
Modeling non-normality using multivariatet: implications for asset pricing
China Finance Review International
·
2017
·
2 authors
60
citations
A trend factor: Any economic gains from using information over investment horizons?
Journal of Financial Economics
·
2016
·
3 authors
188
citations
Short interest and aggregate stock returns
Journal of Financial Economics
·
2016
·
3 authors
573
citations
Fama–MacBeth two-pass regressions: Improving risk premia estimates
Finance research letters
·
2015
·
2 authors
·
Open access
45
citations
Industry Interdependencies and Cross-Industry Return Predictability
SSRN Electronic Journal
·
2015
·
4 authors
·
preprint
·
Open access
34
citations
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Review of Financial Studies
·
2014
·
4 authors
·
Open access
1,129
citations
Macroeconomic Volatilities and Long-Run Risks of Asset Prices
Management Science
·
2014
·
2 authors
·
Open access
63
citations
Forecasting the Equity Risk Premium: The Role of Technical Indicators
Management Science
·
2014
·
4 authors
1,001
citations
International Stock Return Predictability: What Is the Role of the United States?
The Journal of Finance
·
2013
·
3 authors
702
citations
Forecasting Stock Returns
Handbook of economic forecasting
·
2013
·
2 authors
·
chapter
·
Open access
634
citations
Tests of Mean-Variance Spanning
RePEc: Research Papers in Economics
·
2012
·
2 authors
137
citations
Predicting Market Components Out of Sample: Asset Allocation Implications
The Journal of Portfolio Management
·
2011
·
3 authors
41
citations
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Journal of Financial and Quantitative Analysis
·
2011
·
3 authors
·
Open access
231
citations
Forecasting the Equity Risk Premium: The Role of Technical Indicators
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
189
citations
Forecasting Government Bond Risk Premia Using Technical Indicators
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
38
citations
Bayesian Portfolio Analysis
Annual Review of Financial Economics
·
2010
·
2 authors
·
review
178
citations
Cross-Sectional Asset Pricing Tests
Annual Review of Financial Economics
·
2010
·
3 authors
·
review
46
citations
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
Journal of Financial Economics
·
2010
·
2 authors
·
Open access
467
citations
How much stock return predictability can we expect from an asset pricing model?
Economics Letters
·
2010
·
1 author
·
Open access
49
citations
Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance☆
Journal of Financial Economics
·
2010
·
2 authors
·
Open access
97
citations
International Stock Return Predictability: What is the Role of the United States?
SSRN Electronic Journal
·
2010
·
3 authors
·
preprint
·
Open access
34
citations
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
Review of Financial Studies
·
2009
·
3 authors
·
Open access
1,684
citations
Technical analysis: An asset allocation perspective on the use of moving averages☆
Journal of Financial Economics
·
2009
·
2 authors
289
citations
Robust portfolios: contributions from operations research and finance
Annals of Operations Research
·
2009
·
3 authors
·
Open access
246
citations
International Stock Return Predictability: What is the Role of the United States?
SSRN Electronic Journal
·
2009
·
3 authors
·
preprint
·
Open access
165
citations
On the Fundamental Law of Active Portfolio Management
The Journal of Portfolio Management
·
2008
·
1 author
34
citations
Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty
Journal of Financial and Quantitative Analysis
·
2008
·
2 authors
·
Open access
95
citations
Optimal Portfolio Choice with Parameter Uncertainty
Journal of Financial and Quantitative Analysis
·
2007
·
2 authors
704
citations
Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆
Journal of Financial Economics
·
2007
·
2 authors
235
citations
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
Review of Financial Studies
·
2006
·
3 authors
·
Open access
391
citations
Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations
SSRN Electronic Journal
·
2006
·
2 authors
·
preprint
·
Open access
89
citations
Data-generating process uncertainty: What difference does it make in portfolio decisions?
Journal of Financial Economics
·
2003
·
2 authors
·
Open access
121
citations
On the Rate of Convergence of Discrete‐Time Contingent Claims
Mathematical Finance
·
2000
·
2 authors
163
citations
Tests of Mean-Variance Spanning
SSRN Electronic Journal
·
2000
·
2 authors
·
preprint
·
Open access
50
citations
Security factors as linear combinations of economic variables
Journal of Financial Markets
·
1999
·
1 author
30
citations