Sophia Zhengzi Li

Rutgers, The State University of New Jersey — United States

Economics, Econometrics and Finance · Social Sciences

10h-index1.1kcitations34works2.32yr avg
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Research Topics

Financial Markets and Investment Strategies(25), Market Dynamics and Volatility(13), Financial Risk and Volatility Modeling(9), Corporate Finance and Governance(8), Auditing, Earnings Management, Governance(6)

Publications34 total

Systematic Momentum: A New Class of Price Patterns
Management Science·2025
Anomalies as New Hedge Fund Factors
Journal of Financial and Quantitative Analysis·2025Open Access
News-based investor disagreement and stock returns
Review of Accounting Studies·2025· 4 citedOpen Access
Granular information and sectoral movements
Journal of Economic Dynamics and Control·2024· 4 citedOpen Access
Automated Volatility Forecasting
Management Science·2024· 8 cited
Granular Information and Sectoral Movements
SSRN Electronic Journal·2024Open Access
Do Stocks Lead Bonds? New Evidence from Corporate Bond Etfs
SSRN Electronic Journal·2024Open Access
Anomalies as New Hedge Fund Factors: A Machine Learning Approach
SSRN Electronic Journal·2023· 1 citedOpen Access
Systematic Momentum in Corporate Bond Returns
SSRN Electronic Journal·2023· 3 citedOpen Access
News-based Investor Disagreement and Cross Section of Stock Returns
SSRN Electronic Journal·2023Open Access
Corporate Bond Moments and Predictability of Equity Returns
SSRN Electronic Journal·2023Open Access
Pockets of Factor Pricing
SSRN Electronic Journal·2023· 2 citedOpen Access
ETFs, Anomalies and Market Efficiency
SSRN Electronic Journal·2022· 11 citedOpen Access
Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs
SSRN Electronic Journal·2022Open Access
Dealer Disagreement and Asset Prices in FX Markets
SSRN Electronic Journal·2022· 1 citedOpen Access
Risk-based Momentum
SSRN Electronic Journal·2022· 2 citedOpen Access
Forecasting and Managing Correlation Risks
SSRN Electronic Journal·2022· 4 citedOpen Access
When Shareholders Disagree: Trading after Shareholder Meetings
Review of Financial Studies·2021· 74 cited
Pervasive underreaction: Evidence from high-frequency data
Journal of Financial Economics·2021· 63 cited
Granular Information and Sectoral Movements
SSRN Electronic Journal·2021Open Access
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Frequent Co-authors

Peixuan Yuan(9), Guofu Zhou(8), Tim Bollerslev(5), Viktor Todorov(4), Hao Jiang(4), Yushan Tang(4), Hao Wang(3), Lei Gao(2), Yufeng Han(2), Ernst Maug(2), Hao Jiang(2), Zeyao Luan(2), Yuanyuan Xiao(2), Bingzhi Zhao(1), Tim Bollerslev(1), Hao Wang(1), Miriam Schwartz-Ziv(1), Ilias Filippou(1), Songrun He(1), Hua Zhao(1)