Personal Profile
Zhan Shi is currently an Associate Professor at PBC School of Finance, Tsinghua University. Zhan received his Ph.D. in Finance from The Pennsylvania State University in 2014. Before that, he earned his B.S. in Statistics from Fudan University in 2008. Before joining the PBCSF, he worked as a visiting assistant professor of finance at The Ohio State University.
Zhan's research interests lie in fixed income, market microstructure, international finance, and FinTech. His research has been published in leading finance journals, including Journal of Finance, Journal of Financial Economics, Review of Finance and Management Science. His research has received multiple academic awards, including the WFA Cubist Systematic Strategies Ph.D. Candidate Award, Minstry of Education Outstanding Research Award (Social Sciences), and CFRN Annual Meetings Best Paper Award. He is also a winner of the “Excellent Young Scholars” Program of the National Natural Science Fund.
Academic Appointments
PBC School of Finance, Tsinghua University, Beijing
Associate Professor of Finance since 2021
Assistant Professor of Finance 2016-2021
The Ohio State University, Columbus, OH
Visiting Assistant Professor of Finance 2014-2016
Education
Ph.D. in Finance, The Pennsylvania State University, University Park, PA 2014
B.S. in Statistics, Cum Laude, Fudan University, Shanghai, China 2008
Research Interests
Fixed Income, Market Microstructure, International Finance, Machine Learning
Publications
"Time-Varying Ambiguity, Credit Spreads, and the Levered Equity Premium", Journal of Financial Economics, 2019, 134 (3): 617-646.
"Specification Analysis of Structural Credit Risk Models" , with Jingzhi Huang and Hao Zhou, Review of Finance, 2020, 24 (12): 45-98.
"What do we know about corporate bond returns?", with Jingzhi Huang, Annual Review of Financial Economics, 2021, 13 (1): 363-399.
"Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance", with Jingzhi Huang, Management Science, 2023, 69 (3): 1323-1934.
"Determinants of Short-Term Corporate Yield Spreads — Evidence from the Commercial Paper Market", with Jingzhi Huang and Bibo Liu, Review of Finance, 2023, 27 (2): 539-579.
"The Global Credit Spread Puzzle", with Jingzhi Huang and Yoshio Nozawa, Journal of Finance, 2025, 80(1) : 101-162.
Publications in Chinese
违约风险传染的避险效应与溢出效应：隐性担保预期的视角，经济研究，2022年11月刊（合作者：陈卓、何治国、祝小全）
债务协商、再融资风险与信用债定价——来自中国债券市场的证据，金融研究，2023年10月刊（合作者：刘碧波，叶彦艺）
汇率改革对中国外汇市场有效性的影响一一基于利率平价理论的实证研究，经济管理学刊，2023年第4期（合作者: 胡杏，金昭，李思扬）
交易机制创新助力资本市场流动——基于债券匿名点击交易平台的研究，管理世界，2026年第7期（合作者: 叶彦艺，俞文奇）
Working Papers
"Beyond Brown: Oil Shocks and Carbon Premium" , with Shaojun Zhang
"What Drives Global Corporate Bond Returns?" , with Jiarui Deng and Kewei Hou
"Harness Machine Learning with Carry" , with Fang Qiao and Yicheng Zhu
"Central Banking Industrial Policy", with Dun Jia and Xingzhi Qi
"Hedging Interest Rate Risk in the Corporate Bond Market", with Jingzhi Huang
"Assessing Corporate Credit Interventions: A Structural Approach with Debt Illiquidity and TimeVaryingVolatility", with Jingzhi Huang, Yuan Wang and Rui Zhong
"Corporate Basis, Asset Demand, and Exchange Rates", with Grace Hu, Ganesh Viswanath-Natraj andJunxuan Wang
"Understanding Term Premia on Real Bonds", with Jingzhi Huang
算法交易消耗流动性吗？——基于交易基础设施升级的证据（合作者：胡聪慧，张栢川）
Book Chapter
Model Selection for High-Dimensional Problems (with Jingzhi Huang and Wei Zhong), 2013, Handbook of Financial Econometrics and Statistics, edited by C.F. Lee and John Lee, Chapter 77, Springer Verlag.
Presentations
Academic Seminars
Australian National University, Chinese Academy of Social Science, Chinese University of Hong Kong(Shenzhen), Fudan University, Nanyang Technological University, New York University (Shanghai),Ohio State University, Renmin University of China, Penn State University, Peking University, SeoulNational University, Singapore Management University, Shanghai Jiao Tong University, Southern Universityof Science and Technology, Southwestern University of Finance and Economics, Tianjin University,University of Hong Kong, University of Massachusetts, University of New South Wales, Universityof Sydney, Waseda University, Wuhan University, Xiamen University, Zhejiang University
Academic Conferences
Alpine Finance Summit (2025), American Finance Association Annual Meeting (2011, 2013, 2019),Annual Conference on Capital Market Research in the Era of AI (2025), Annual Risk ManagementConference (2025), Annual Derivatives Securities and Risk Management Conference (2010), AnnualVolatility Institute Conference (2019), China Banking and Corporate Finance Conference (2023), ChinaFinancial Research Conference (2023), China Fintech Research Conference (2025), China InternationalConference in Finance (2010, 2014, 2016, 2019, 2020, 2021, 2022, 2023, 2024, 2025), Euorpean FinanceAssociation Annual Meeting (2026), Fixed Income and Financial Institutions Conference (2013), FinancialManagement Association Annual Meeting (2010, 2013), Five-Star Workshop in Finance (2016, 2019,2021, 2024), Midwest Finance Association Annual Meeting (2012, 2013, 2015), Northern Finance AssociationAnnual Meeting (2013), Short-Term Funding Markets Conference (2020), Singapore InternationalConference on Finance (2012), Summer Institute of Finance (2010), Western Finance Association AnnualMeeting (2014)
Teaching
2023-2026 Dynamic Asset Pricing(Tsinghua,PhD)
2021-2026 Interest Rate Models (Tsinghua, Master in Finance)
2020-2026 Fixed Income, Currencies and Commodities (Tsinghua, Master in Finance)
2021-2023 Future of Digital: Web 3, Metaberse and Crypto (Tsinghua, Master in Finance)
2016-2019 Financial Derivatives (Tsinghua, undergraduate)
2016-2019 Financial Risk Management (Tsinghua, undergraduate)
2014-2016 Options & Futures I (OSU, undergraduate)
2014-2016 Fixed Income & Credit Risk (OSU, MBA & Master in Finance)
2012 Derivative Markets (PSU, undergraduate)
2010-2011 Security Analysis and Portfolio Management (PSU, undergraduate)
Referee Service
Journal of Finance, Review of Financial Studies, Review of Finance, Management Science, Journal of Financial and Quantitatie Analysis, Journal of Money, Credit and Banking, Journal of Business & Economic Statistics, Journal of Corporate Finance, Journal of Empirical Finance, Journal of Banking & Finance
Awards and Grants
2026-2028 Winner of the “Excellent Young Scholars" Program of the National Natural Science Fund
2024 Minstry of Education Outstanding Research Award (Social Sciences)
2023 Tsinghua Outstanding Thesis Advisor
2023 CFRN Annual Meetings Best Paper Award
2018 PBC School of Finance Outstanding Research Award
2015-2016 Research Fellow, Charles A. Dice Center for Research in Financial Economics
2014 WFA Cubist Systematic Strategies Ph.D. Candidate Award
2012 Kenneth J. Carey Memorial Scholarship
2009-2013 Smeal Research Grant Award
2008 Fudan Best Undergraduate Thesis Prize
