Personal Profile
SHI Zhan 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. In addition, he also worked as a Visiting Assistant Professor of Finance in The Ohio State University.
His research interests include Fixed Income, Market Microstructure, Dynamic Corporate Finance, FinTech. His work on time-varying ambiguity has won 2104 WFA Cubist Systematic Strategies Ph.D. Candidate Award.
Academic Appointments
Associate Professor of Finance, since 2021
Assistant Professor of Finance, PBC School of Finance, Tsinghua University, Beijing 2016-2021
Visiting Assistant Professor of Finance, The Ohio State University, Columbus, OH 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, Dynamic Corporate Finance, FinTech
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, forthcoming.
Working Papers
“Risk and Return Tradeoff in the Secondary Loan Market" , with Turan Bali and Fang Qiao
“Hedging Interest Rate Risk in the Corporate Bond Market", with Jingzhi Huang, R&R
“Corporate Debt Illiquidity and Credit Risk: A Tale of Two Agency Conflicts",with Jingzhi Huang, Yuan Wang and Rui Zhong
“Corporate Basis and the International Role of The Dollar", with Grace Hu, Ganesh Viswanath-Natraj and Junxuan Wang
“Understanding Term Premia on Real Bonds", with Jingzhi Huang
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，叶彦义）
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）
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.
Teaching
2023 Dynamic Asset Pricing(Tsinghua,PhD)
2021-2023 Interest Rate Models (Tsinghua, Master in Finance)
2021-2023 FinTech and Financing Innovation (Tsinghua, Master in Finance)
2020-2023 Fixed Income, Currencies and Commodities (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
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
2012 Competitive Dissertation Summer Award
2009-2013 Smeal Research Grant Award
2008 Fudan Best Undergraduate Thesis Prize
