·Paper Publications
- [1] A new five-factor green pricing model in China.Applied Economics,
- [2] Overseas exposures, global events, and mutual fund performance.International Review of Economics and Finance,
- [3] Zhao Zhao; Olivier Ledoit; Hui Jiang; Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix, Journal of Financial Econometrics, 2023, 21(1): 73-105..
- [4] Gianluca De Nard; Zhao Zhao; Using, taming or avoiding the factor zoo? A double shrinkage estimator for covariance matrices, Journal of Empirical Finance, 2023, 72: 23-35..
- [5] Gianluca De Nard; Zhao Zhao ; A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited, International Review of Economics and Finance, 2022, 80: 654-676.
- [6] Zhang Y. and Z. Zhao*. Environmental regulations and corporate social responsibility: Evidence from China’s real-time air quality monitoring policy, Finance Research Letters, 2022.
- [7] Zhao Z., Wen H., and K. Li. Identifying Bubbles and the Contagion Effect between Oil and Stock Price Bubbles: New Evidence from China, Economic Modelling 94, 2021..
- [8] Wen H. and Z. Zhao*. How does China’s Industrial Policy Affect Firms’ R&D Investment? Evidence from "Made in China 2025", Applied Economics, 2021..
- [9] Yang Y. and Z. Zhao*. Large Cryptocurrency-Portfolios: Factors, Leverage and Shrinkage, Applied Economics, 2021..
- [10] Yang Y. and Z. Zhao*. Quantile Nonlinear Unit Root Test with Covariates and an Application to the PPP Hypothesis, Economic Modelling 93, 2020..