Lingxiao Zhao - Full-time Professors - Peking University HSBC Business School(PHBS)

Assistant Professor

Lingxiao Zhao

Ph.D. in Economics, Washington University in St. Louis

Research Interests: Asset Pricing, Model Comparison, Bayesian Econometrics, High-frequency Financial Econometrics

0755-2603 8442

lingxiao@phbs.pku.edu.cn

Office: Rm. 613, PHBS Building

Biography

Research Interest
Asset Pricing, Model Comparison, Bayesian Econometrics, High-frequency Financial Econometrics

Education

Ph.D. in Economics, Washington University in St. Louis (WUSTL), May 2020

M.A. in Economics, Washington University in St. Louis (WUSTL), May 2016

B.S. in Mathematics, Wuhan University, June 2014

B.A. in Economics, Wuhan University, June 2014

Research Teaching

Publications

“On Comparing Asset Pricing Models”, with Siddhartha Chib and Xiaming Zeng, Journal of

Finance, February 2020.

“Winners from Winners: A Tale of Risk Factors,” with Siddhartha Chib and Guofu Zhou,

Management Science, January 2024.

Working Papers

“No Sparsity in Asset Pricing: Evidence from a Generic Statistical Test”, with Junnan He and

Guofu Zhou.

“Are Anomalies Still Anomalies after Allowing for Change Points?”, with Siddhartha Chib.