Research Areas

Asset Pricing, Bayesian Econometrics

Publications

1. Siddhartha Chib, Xiaming Zeng and Lingxiao Zhao (2022). On Comparing Asset Pricing Models.

Journal of Finance, February 2020.

2. Siddhartha Chib, Lingxiao Zhao and Guofu Zhou (2024). Winners from Winners: A Tale of Risk Factors.

Management Science, January 2024.

Working Papers

1. Junnan He, Lingxiao Zhao and Guofu Zhou (2024). No Sparsity in Asset Pricing: Evidence from a Generic Statistical Test. SSRN

2. Siddhartha Chib and Lingxiao Zhao (2024). Are Anomalies Still Anomalies after Allowing for Change Points?

3. Chuan Chen, Junnan He, Yanrong Jia and Lingxiao Zhao. Background of SPAC Sponsors and Firm Performance Post De-SPAC.

4. Jump Detection for High-frequency Financial Data in the Presence of Market Microstructure Noise.