Dr Shaojun ZHANG

PolyU Scholars Hub

Associate Professor

PhD, ASA

PolyU Scholars Hub

ORCID ID

SCOPUS ID

Biography

Dr. Shaojun Zhang is Associate Professor of Finance in the School of Accounting and Finance of the Hong Kong Polytechnic University. He obtained his double Bachelor's degrees from Tsinghua University and his Master's and doctoral degrees from Florida State University. He is an Associate of the Society of Actuaries. Dr. Zhang has taught courses on a wide range of finance, statistics and actuarial topics at universities in the U.S., mainland China, Hong Kong and Singapore, and served as the Treasurer of the Asian Finance Association since 2010. He has published academic research in the areas of Chinese listed firms and stock markets, empirical asset pricing, financial derivatives, financial markets and institutions.

Education and Academic Qualifications

Bachelor of Science, Tsinghua University
Bachelor of Engineering, Tsinghua University
Master of Science, The Florida State University
Doctor of Philosophy, The Florida State University

Professional Qualifications

Associate of the Society of Actuaries

Research Interests

Research Output

“Quality of PIN estimates and the PIN-return relationship”, Journal of Banking and Finance, 2014, 43, pp. 137-149. (with Yuxing Yan)

“Trading on inside information: Evidence from the share-structure reform in China”, Journal of Banking and Finance, 2013, Vol. 37, pp. 1422-1436. (with Wilson H.S. Tong and Yanjian Zhu

“Evaluating long-horizon event study methodology”, Handbook of Financial Econometric and Statistics, 2014, forthcoming. (with James S. Ang)

“An improved estimation method and empirical properties of the probability of information-based trading”, Journal of Banking and Finance, 2013, Vol. 36, pp. 454-467. (with Yuxing Yan)

“Beyond earnings surprises: Incremental information about future earnings around earnings announcement”, Asia-Pacific Journal of Financial Studies, 2007, Vol. 36, pp. 495-531. (with James S. Ang)

-2008 Best Paper Award by the Asia-Pacific Journal of Financial Studies

“Underwriting relationships: Information production costs, underwriting fees, and first mover advantage”, Review of Quantitative Finance and Accounting, 2006, Vol. 27, No. 2, pp 205-229. (with James S. Ang)

“The volatility risk premium embedded in currency options”, Journal of Financial and Quantitative Analysis, 2005, Vol. 40, No. 4, pp 803-832. (with Buen Sin Low)

“An evaluation of testing procedures for long horizon event studies”, Review of Quantitative Finance and Accounting, 2004, Vol. 23, No. 3, pp 251-274. (with James S. Ang)

“Building tracking portfolios based on a generalized information criterion”, Statistica Sinica, 2003, Vol. 13, No. 4, pp 1075-1096. (with Xu-Feng Niu and James S. Ang)