RSFAS
Research School of Finance, Actuarial Studies & Statistics
Asset pricing; Short selling; Fixed income; Financial institutions.
Yichao Zhu is a Senior Lecturer of Finance. Yichao’s research centres on asset pricing, in particular, its application to short selling, fixed income, idiosyncratic volatility, options pricing and financial institutions. Specific examples of his work include the price efficiency impacts of short-selling in the U.S. corporate bond market, especially in light of post-crisis regulatory reforms. Yichao’s work on the too-big-too-fail issue has led to collaborations focused on quantifying changes in the likelihood of big U.S. bank holding companies being bailed out at insolvency. His idiosyncratic stock return volatility study investigates the strong co-movement of idiosyncratic volatilities across the market. Yichao’s research has featured in the internationally renowned outlet Management Science.