Image result for rutgers business school logo

C:\Users\Sophia\5_Pictures\ProfessoionalPhotos

     Sophia Zhengzi Li           CV

     Assistant Professor of Finance 
     Rutgers Business School    
     1 Washington Park
     Newark, NJ 07102
     Email: zhengzi.li(at)business(dot)rutgers(dot)edu
     Phone: 973-353-5315
    



Publication

"Good Volatility, Bad Volatility, and the Cross-Section of Stock Returns" with Tim Bollerslev and Bingzhi Zhao, 2018. Forthcoming, Journal of Financial and Quantitative Analysis


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

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.

"Jump Tails, Extreme Dependencies and the Distribution of Stock Returns'', with Tim Bollerslev and Viktor Todorov, Journal of Econometrics172 (2013): 307-324.

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



Working Paper


"News Momentum", with Hao Jiang and Hao Wang, 2019.

Presented at 2015 Conference on Financial Economics and Accounting, Michigan State University, University of Wisconsin-Madison, Rutgers University, Singapore Management University, Australian National University, 2018 Mid-Atlantic Research Conference in Finance, Eleventh Triple Crown Conference (best paper award), 2018 CICF, 26th PBFEAM Conference, 2nd UT Dallas Fall Finance Conference, 2019 EFA (scheduled).

"When Shareholders Disagree: Trading After Shareholder Meetings", with Ernst Maug and Miriam Schwartz-Ziv, 2019.

Presented at Michigan State University, Hebrew University, Tel Aviv University, New York University, 2018 AFA, 2018 FARS, 2018 MFA invited session, Fifth Annual Conference on Financial Market Regulation, 2018 University of Connecticut Conference, 2018 CICF, 2019 SFS Cavalcade North America (scheduled), 2019 EFA (scheduled). 

Featured by Harvard Law School Forum on Corporate Governance and Financial Regulation