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Investigating risk and return

Asper Professor’s study on moment risk premia and stock return predictability published in prestigious finance journal

October 29, 2020 — 

Dr. Zhenzhen Fan, an Assistant Professor at the Asper School of Business, recently had her paper Moment Risk Premia and Stock Return Predictability published in the Journal of Financial and Quantitative Analysis (JFQA). With a reputation as one of the top finance journals on the market, being placed in this publication is a significant academic achievement. According to Cambridge University Press, “the JFQA prints less than 9% of the more than 1,000 manuscripts submitted annually.”

The published piece was the result of a  research collaboration with Xiao Xiao from the University of Amsterdam and Hao Zhou from Tsinghua University. Their collective study aims to take a closer look at how derivatives prices can reveal important information about the stock market that can then be used to predict stock return. 

When asked about her research, Fan added, “Our paper attempts to extract forward-looking information to forecast the underlying market equity index returns.  We find that complementary to the multi-year predictability afforded by macroeconomic factors, option implied information can predict market returns over shorter horizons, typically from three months to two years.”

To read Fan’s paper, visit SSRN or the Asper School of Business online to learn more about the other research initiatives taking place at Asper.

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