Shaojun Zhang

Shaojun Zhang is an assistant professor of finance at the Ohio State University, Fisher School of Business. Professor Zhang's primary research fields are asset pricing, international finance and sustainable investing. She is interested in issues related to expected return, macroeconomic risk, and tail risk. She teaches investments at Fisher. She is an advisory editorial board member of Journal of Portfolio Management. She earned a bachelor's degree in economics from Peking University and a PhD in finance from New York University's Stern School of Business. Before joining OSU, Zhang was an assistant professor of finance at the University of Hong Kong. Zhang also worked as a portfolio manager at Vanguard.

Ph.D. and M.Phil. in Finance, New York University, Stern School of Business
B.A., Finance, Peking University

Housing Risk and the Cross-Section of Returns Across Many Asset Classes, March 2025, Real Estate Economics(with Sai Ma)

Carbon Returns Across the Globe, February 2025, Journal of Finance

Alternative Data in Active Asset Management, December 2024, Journal of Portfolio Management (with Clifton Green)

Applications of Equity Derivatives to Portfolio Management, September 2024, Journal of Asset Management (with Eddie Cheng, Frank Fabozzi, Robert Harlow, and Wai Lee)

Systematic Default and Return Predictability in the Stock and Bond Market, September 2023, Journal of Financial Economics (with Jack Bao and Kewei Hou). Lead Article. 

How Inefficient is the 1/N Strategy for a Factor Investor?  First Quarter 2023, Journal of Investment Management (with Kevin Khang, Antonio Picca, and Minzhi Zhu)

Dissecting Currency Momentum, April 2022, Journal of Financial Economics

Factor Construction Zoo: Are Factor Exposures Created Equal? January 2022, Journal of Portfolio Management

Toward Tax Efficient Low Volatility Investing, January 2022, Journal of Portfolio Management

Limited Risk Sharing and International Equity Returns, April 2021, Journal of Finance

Oil-Driven Greenium (with Zhan Shi)

Factor Value

Expert Network Calls (with Sean Cao, Clifton Green and Lijun Lei)

The Causal Effect of the Dollar on Trade (with Sai Ma and Tim Schmidt-Eisenlohr)