Dr Zhichao Zhang's Outputs (3)

Optimal Currency Composition for China’s Foreign Reserves: a Copula Approach (2014)
Journal Article
Zhang, Z., Ding, L., & Zhang, F. (2015). Optimal Currency Composition for China’s Foreign Reserves: a Copula Approach. World Economy, 38(12), 1947-1965. https://doi.org/10.1111/twec.12237

This paper investigates the optimal currency composition for a country's foreign reserves. In the context of China, we examine the asymmetric, fat-tail and complex dependence structure in distributions of currency returns. A skewed, fat-tailed and pa... Read More about Optimal Currency Composition for China’s Foreign Reserves: a Copula Approach.

Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry (2014)
Journal Article
Zhang, Z., Ding, L., Zhou, S., & Fu, Y. (2014). Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry. Multinational finance journal, 18(1/2), 43-84

By applying tournament analysis to the UK Unit Trusts data, the results support significant risk shifting in the family tournament; i.e. interim winning managers tend to increase their level of risk exposure more than losing managers. It also shows t... Read More about Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry.

Investor learning and mutual fund family (2013)
Journal Article
Zhang, Z., Ding, L., & Zhou, S. (2014). Investor learning and mutual fund family. Journal of Empirical Finance, 26, 171-188. https://doi.org/10.1016/j.jempfin.2013.12.001

In this paper we revisit the cross-fund learning method suggested by Jones and Shanken (2005) and construct a linear hierarchical model to consider the learning across funds within the fund family during the performance evaluation. We provide a full... Read More about Investor learning and mutual fund family.