Chao Zi

Assistant Professor of Finance
Shanghai Advanced Institute of Finance
Shanghai Jiao Tong University


CV/Résumé Research


Research

  1. Geopolitical Risk in Financial Markets: Evidence from Mutual Fund Flows (with Chenxi Zhang)
    • Presentations: Cheung Kong Graduate School of Business, 2026; Shanghai Advanced Institute of Finance, 2026
    • Abstract:   This paper investigates how geopolitical risk is reflected in mutual fund flows and asset prices. We find in a sample of international equity funds that higher exposure to geopolitical rivals is associated with lower fund flows around major geopolitical events. Using the flow spread between the high- and low-exposure funds, we define a new measure of geopolitical relations called GPFS. We show that GPFS strongly predicts market excess returns after 2016. We also find that stocks with high GPFS beta carry a significant risk premium in the post-2016 period. Overall, our evidence is consistent with geopolitical risk becoming a priced factor in recent years.
  2. Is There A Shortfall in Public Sector Capital? An Asset Pricing Appraisal
    • Presentations: Paris December Finance Meeting 2020; EFA Annual Conference 2020; MFA Annual Conference 2020; Shanghai Advanced Institute of Finance; NFA Annual Conference 2019; CICF Annual Meeting 2019; FMA Annual Meeting 2018; Becker Friedman Institute MFM Summer Session 2017; University of Illinois at Urbana-Champaign

  3. Under-Diversification and Idiosyncratic Risk Externalities (with Felipe Iachan and Dejanir Silva), Journal of Financial Economics (2022)

  4. Designated Market Makers Still Matter: Evidence from Two Natural Experiments (with Adam Clark-Joseph and Mao Ye), Journal of Financial Economics (2017)


China’s Capital Markets:

  1. Understanding the Evolution of Momentum Effects in China’s Stock Market (with Chenxi Zhang)
    • Presentations: FMA Annual Meeting 2025; Shanghai Advanced Institute of Finance, 2025
  2. Predicting Mutual Fund Performance in China: A Machine Learning Approach (with Zezhou Xu and Hong Yan)
    • Presentations: China Finance Annual Conference, 2025; AsianFA Annual Conference,2024; China Financial Research Conference, 2024; New York University-Shanghai, 2023

  3. On the Industry Allocation of Equity Mutual Funds in China (with Weijie Ji)

  4. Dissecting the Macroeconomic Forecasts in China (with Weijie Ji)


Other: