Sophia Zhengzi Li 

   CV            Google Scholar            SSRN

     Associate Professor of Finance

     Rutgers Business School    

     1 Washington Park

     Newark, NJ 07102

     Email: zhengzi.li(at)business(dot)rutgers(dot)edu

Main Research Areas: Empirical Asset Pricing, Financial Econometrics, Big Data, Machine Learning

Research Interests: Volatility, Intraday Analysis, Return Prediction, Tail Risk, News, Disagreement

Publications

1. 1. "News-Based Investor Disagreement and Stock Returns", with Zeyao Luan (Rutgers student), 2025.  Accepted, Review of Accounting Studies.     

1. 2. "Anomalies as New Hedge Fund Factors", with Yong Chen, Yushan Tang (Rutgers graduate), and Guofu Zhou, 2025.  Accepted, Journal of Financial and Quantitative Analysis.  CLTZ Hedge Fund Factors (updated until Dec 2023 for all factors) 

1. 3. "Granular Information and Sectoral Movements", with Hao Jiang and Peixuan Yuan (Rutgers graduate), 2025. Journal of Economic Dynamics and Control, 171, 105018.

1. 4. "Automated Volatility Forecasting", with Yushan Tang (Rutgers graduate). Management Science, 2024: pp. 1-27.

1. 5. "When Shareholders Disagree: Trading After Shareholder Meetings", with Ernst Maug and Miriam Schwartz-Ziv, Review of Financial Studies, 35 (2022), 1813–1867. 

1. 6. "Pervasive Underreaction: Evidence from High-Frequency Data", with Hao Jiang and Hao Wang, Journal of Financial Economics, 141 (2021): 573-599.

Best Paper Awards, Eleventh Triple Crown Conference.

1. 7. "Good Volatility, Bad Volatility, and the Cross-Section of Stock Returns", with Tim Bollerslev and Bingzhi Zhao, Journal of Financial and Quantitative Analysis, 55 (2020): 1-31. Supplementary Appendix.

1. 8. "Market Intraday Momentum", with Lei Gao, Yufeng Han and Guofu Zhou, Journal of Financial Economics, 129 (2018): 394-414.

1. 9. “Roughing Up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns”, with Tim Bollerslev and Viktor Todorov, Journal  of Financial Economics, 120 (2016): 464-490. 

First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2012 (awarded to a previous version of the paper by Li).  

1. 10. "Jump Tail Dependence in the Chinese Stock Market'', with Hao Wang and Hua Zhao, Emerging Markets Finance and Trade, 52 (2016): 2379-2396.

1. 11. "Jump Tails, Extreme Dependencies and the Distribution of Stock Returns'', with Tim Bollerslev and Viktor Todorov, Journal of Econometrics, 172 (2013): 307-324.

1. 12. ''Efficient Gaussian Graphical Model Determination under G-Wishart Prior Distributions'', with Hao Wang, Electronic Journal of Statistics, 6 (2012):168-198.

Selective Working Papers

1. 13. "Forecasting and Managing Correlation Risks", with Tim Bollerslev and Yushan Tang (Rutgers graduate), 2024.  [Presentation Video]

Minor Revision, Management Science.

2023 Jack Treynor Prize Winner

NBER Big Data and High-Performance Computing for Financial Economics, Shanghai Forum by Fudan University, Durham University, Rutgers Business School, Renmin University, Virtual Derivatives Workshop, University of Rhode Island, XJTLU AI and Big Data in Accounting and Finance Research Conference, WFA Annual Meeting, CICF Annual Meeting, Australasian Finance and Banking Conference, Machine Learning and Financial Econometrics Workshop at Oxford-Man Institute, AFA Annual Meeting, MFA Annual Meeting, Citi Quantitative Research Conference, Q Group Spring Seminar, Goldman Sachs, EFA Annual Meeting.

1. 14. "Risk Momentum: A New Class of Price Patterns", with Peixuan Yuan (Rutgers graduate) and Guofu Zhou, 2024. 

Minor Revision, Management Science.

Presented at Washington University in St. Louis, Boston College, Rutgers Business School, Georgia State University, Merrill Lynch International, Capital University of Economics and Business, Peking University, Fudan University, , Jiangxi University of Finance and Economics, Hunan Normal University, Hunan University, Renmin University of China, Tsinghua University, University of Nottingham, Xian Jiaotong University, Nanjing University, Tongji University, China Fintech Research Conference, 3rd International Fintech Research Forum, FMA Annual Meeting, New Zealand Finance Meeting, Australasian Finance and Banking Conference, MFA Annual Meeting, SFS Cavalcade North America, Hong Kong Conference for Fintech, AI and Big Data in Business, and CFEA Annual Meeting.

1. 15. "ETFs, Anomalies and Market Efficiency ", with Ilias Filippou, Songrun He, and Guofu Zhou, 2024. 

Presented at Washington University in St. Louis, FMA Annual Meeting, Annual Meeting of the Swiss Society for Financial Market Research, Future of Financial Information Conference, Centre for Financial Research at University of Cologne, WFA Annual Meeting, NFA Annual Meeting, Tel Aviv Finance Conference (canceled), Australasian Finance and Banking Conference, Bentley University, Clemson University, Florida State University, University of New Orleans. 

1. 16. "Information Transmission from Corporate Bonds to the Aggregate Stock Market", with Peixuan Yuan (Rutgers graduate)  and Guofu Zhou, 2024.

Presented at Renmin University of China, Central University of Finance and Economics, Hunan Normal University, Hunan University, and Jiangxi University of Finance and Economics, Hong Kong Baptist University, University of Macau, Peking University, Hong Kong Conference for Fintech, AI and Big Data in Business, and Australasian Finance and Banking Conference, MFA Annual Meeting, CICF Annual Meeting.

1. 17. "Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs", with Hao Jiang and Yuanyuan Xiao (Rutgers graduate), 2023. 

Presented at Rutgers Business School, FMA Annual Meeting, Shanghai-Edinburgh Fintech Conference, XJTLU AI and Big Data in Accounting and Finance Research Conference, Australasian Finance and Banking Conference.

1. 18. "Momentum and Factor Momentum: A Re-examination", with Cheng Gao (Rutgers graduate), Peixuan Yuan (Rutgers graduate), and Guofu Zhou, 2024. 

1. 19. "Pockets of Factor Pricing", with Peixuan Yuan (Rutgers graduate) and Guofu Zhou, 2024.

Inactive Working Papers

"Dealer Disagreement and Asset Prices in FX Markets", with Brandon Han and Zhaogang Song. 

Discussions      

1. "Volatility Timing Using ETF Options: Evidence from Hedge Funds", by George Aragon, Shuaiyu Chen, and Zhen Shi. AFA Annual Meeting, 2025, [slides]

2. "Expected Returns and Large Language Models", by Yifei Chen, Bryan Kelly, and Dacheng Xiu. Wharton Jacobs Levy Frontiers in Quantitative Finance Conference, 2024, [slides]

3. "Mobile App, Firm Risk, and Growth", by Xi Wu. CFEA Annual Meeting, 2023, [slides]

4. "Do Common Factors Really Explain the Cross-Section of Stock Returns", by Alejandro Lopez-Lira and Nikolai Roussanov. CFEA Annual Meeting, 2022, [slides]

5. "What Drives Momentum and Reversal? Evidence from Day and Night Signals", by Yashar H. Barardehi, Vincent Bogousslavsky, and Dmitriy Muravyev.  Wharton Jacobs Levy Frontiers in Quantitative Finance Conference, 2022, [slides], [Discussion video from 28:40]

6. "The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different", by Jacob Boudouk, Yukun Liu, Tobias Moskowitz, and Matthew Richardson. 13th Florida State University SunTrust Beach Conference, 2022, [slides]

7. "Index-Linked Trading and Stock Returns", by Shaun William Davies. Paris December Finance Meeting, 2021, [slides]

8.  "Mutual Fund Fragility, Dealer Liquidity Provisions, and the Pricing of Municipal Bonds", by Yi Li, Maureen O'Hara, and Xing (Alex) Zhou. CICF, 2021, [slides]

9. "Selecting Mutual Funds from the Stocks They Hold:  a Machine Learning Approach", by Bin Li and Alberto Rossi.  China Fintech Research Conference, 2021, [slides]

10.  "Thousands of Alpha Tests", by Stefano Giglio, Yuan Liao, and Dacheng Xiu. EFA, 2019, [slides]

11. "The Flow of Inflation Information and the Price Volatility of Maturing TIPS," by Quentin Chu and Pawan Jain, 26th PBFEAM, 2018, [slides].

12. "Risk Prices Vary in the Cross Section", by  Andrew Patton and Brian Weller. Tim Bollerslev’s 60th Birthday Conference at UCSD, 2018, [slides].

13. "The Momentum of News," by Ying Wang, Bohui Zhang, and Xiaoneng Zhu, CICF, 2018, [slides].

14. "Fearing the Fed:  How Wall Street Reads Main Street," by Tzuo-Hann Law, Dongho Song, and Amir Yaron, MFA Annual Meeting, 2017, [slides].

15. "Good Jumps, Bad Jumps, and Conditional Equity Premium," by Hui Guo, Kent Wang, and Hao Zhou,  Duke/UNC Financial Volatility Conference, 2016, [slides].

16. "Overconfidence,  Under-reaction,  and Warren Buffett’s Investments,"  by John Hughes,  Jing  Liu and Mingshan Zhang, FMA Annual Meeting, 2015, [slides].

17. "On the Estimation of Systematic Downside Risk,” by Nikolaos Artavanis, FMA Annual Meeting, 2015, [slides].

18. "Product Market Threats and Stock Crash Risk," by Si Li and Xintong Zhan, 7th McGill Global  Asset Management Conference, 2015, [slides].