Kevin Zhao

About Me

I am a researcher at the Office of Financial Research within the U.S. Department of the Treasury. My research interests include applied economics, behavioral economics, asset pricing, and household finance.

Disclaimer: The contents of this website and any opinions expressed herein are my own and do necessarily reflect those of the Office of Financial Research or the U.S. Department of the Treasury.

Education

• Ph.D. in Financial Economics, Yale School of Management, 2021

• B.S. in Applied Mathematics, California Institute of Technology, 2015

Publications

• Who Bears Climate-Related Physical Risk? (w/ David Wylie, Natee Amornsiripanitch & John Heilbron)

  • Journal of Urban Economics, forthcoming

• Carhart (1997) Mutual Fund Performance Persistence Disappears Out of Sample (w/ James Choi)

  • Critical Finance Review, 2021

  • Featured in: New York Times, Bloomberg, Forbes, MarketWatch, Yale Insights, Reuters

Working Papers

• Pre-Refunding Announcement Gains in U.S. Treasurys (w/ Chen Wang)

  • Quantpedia Awards 2024 - First Place

• Foot Traffic Dynamics Following Natural Disasters (w/ Jue Ren & Thomas Ruchti)

• Who Extrapolates? Evidence from Experience Effects

• Within-Style Investing: Evidence from Morningstar Categories

• Prospect Theory Risk Aversion and Returns

Shorter Papers and Policy Briefs

• The Uneven Distribution of Climate Risks and Discounts (OFR Brief 24-01, w/ John Heilbron)

• Crypto Exposure and Household Financial Conditions (OFR Brief 24-08, w/ Sam Hughes, Francisco Ilabaca & Jacob Lockwood)