Shaojun Zhang

10. Housing Risk and The Cross-Section of Returns Across Many Asset Classes, March 2025, Real Estate Economics, 53(2), 326-351 (with Sai Ma). [Working paper version]
A single housing investment factor possesses strong explanatory power for the cross-section of average returns across various asset classes.

9. Carbon Returns across the Globe, February 2025, Journal of Finance, 80(1), 614-645. Slides. Internet Appendix. [Working paper version]
[Coverage by ProMarket at George J. Stigler Center at Chicago Booth, The Harvard Law School Forum on Corporate Governance, and Fisher Media]
If you want to measure carbon transition risk based on emissions, you should use carbon intensity and lag the data sufficiently. The positive carbon return documented in previous studies arises from the forward-looking firm performance information contained in emissions rather than the risk premium. After accounting for the data release lag, carbon returns turn negative in the U.S. and insignificant globally.

8. Alternative Data in Active Asset Management, December 2024, Journal of Portfolio Management, 51(2), 149-161 (with Clifton Green). Non-refereed. [Working paper version]

7. Housing Cycles and Exchange Rates, September 2024, Management Science, 70(9), 5646-5666. (with Sai Ma). Internet Appendix. [Working paper version], [Data].
The housing cycle is a strong in-sample and out-of-sample predictor for currency returns. An analytical model with time-varying housing demand, productivity, and volatility can explain the predictability. 

6. Systematic Default and Return Predictability in the Stock and Bond Markets, September 2023, Journal of Financial Economics, 149 (3), 349-377 (with Jack Bao and Kewei Hou). Lead Article. [Working paper version]. [Inteview with Faculti].
A new measure of systemic default risk predicts aggregate market returns and improves asset allocation performance. Firm-level exposures to the systemic default risk are further related to the cross-section of average stock returns.

5. How Inefficient is the 1/N Strategy for a Factor Investor? First Quarter 2023, Journal of Investment Management, 21 (1) 1-17 (with Kevin Khang, Antonio Picca and Minzhi Zhu). [Working paper version for non-commerical/academic use only.] [Coverage by AlphaArchitect].
No alternative optimization strategy consistently dominates the simple 1/N allocation for factors after adjusting for real-life investment restrictions, including short-sale constraints, transaction costs, benchmarking and concentration limits.

4. Dissecting Currency Momentum, April 2022, Journal of Financial Economics, 144 (1), 154 - 173. [Working paper version], [Data].
[Coverage by AlphaArchitect, Analyzing Alpha, IBKRCampus].
Currency factors exhibit momentum over time. The cross-sectional and time series momentum in currencies only summarize the autocorrelation of currency factors. 

3. Factor Construction Zoo: Are Factor Exposures Created Equal? January 2022, Journal of Portfolio Management, 48 (2) 105-118. [Working paper version for non-commercial/academic use only].
The answer is no. Despite their increasing popularity, factor exposures alone are insufficient to summarize factor portfolios or products. 

2. Toward Tax-Efficient Low-Volatility Investing, January 2022, Journal of Portfolio Management, 48 (2), 198-207.
Tax management significantly improves the after-tax returns of the low volatility strategies, while maintaining the compelling risk and pre-tax return profiles.

15. What do Early-Stage Investors Ask? An LLM Analysis of Expert Calls with Victor Lyonnet and Amin Shams (This Version: June 2025).
[NBER, IPC Symposium, NFA]
The first study that examines the use of expert networks in early-stage investors' due diligence process. Expert calls provide valuable information that aids early-stage investors' investment decisions. 

14. Oil-Driven Greenium with Zhan Shi (This Version: March 2025).
[Alpine Finance Summit, CUHK-RAPS-RCFS Conference, MFA, NFA, UConn Finance Conference, CICF, International Conference on Green Finance][Coverage by Quantpedia]
We challenge the prevailing narrative that the documented greenium variation reflects genuine investor commitment to climate-aware investments. Instead, the observed greenium variation is largely attributable to time-varying risk premium driven by fluctuations in oil demand. 

12. Expert Network Calls with Sean Cao, Clifton Green, and Lijun Lei (This Version: March 2025). R&R. 
[SFS Cavalcade, CFRC, EFA, EasternFA, CAPANA, Tel Aviv Finance Conference]
Expert networks provide investors with in-depth discussions with subject matter experts. Expert call demand is higher for hard-to-value firms. The calls are more (less) likely to emphasize technology and operational (financial) topics relative to earnings calls. Expert networks help investors discern complicated bad news.

13. Understanding Factor Value (This Version: March 2024).
A new measure of sentiment -- the dme spread -- subsumes the predictability of the value spread and existing sentiment measures and spans cross-sectional value. The cross-sectional value premium is not an independent factor but summarizes the time-varying factor returns conditional on sentiment.

11. The Causal Effect of the Dollar on Trade with Sai Ma and Tim Schmidt-Eisenlohr (This Version: November 2020). New Draft Coming Soon.
Import prices and quantities respond strongly to a country’s exchange rate with the U.S. dollar.

Interview with Shaojun Zhang Formerly of Vanguard, July 2025 (Forthcoming), Journal of Portfolio Management.

Liquidity Management with Index Futures Contracts for Active Managers with Kris Shen, in Derivatives Applications in Asset Management - From Theory to Practice (In Press, Expected 2025).