Feng Zhao

Associate Professor - Management
Zhao Feng's Webpage
Tags: Financial & Managerial Economics

Professional Preparation

Ph.D. - Economics
Cornell University - 2004
M.A. - Economics
Cornell University - 2002
B.S. - Economics and Physics
Tsinghua University - 1998

Research Areas

Area of Interests
Asset pricing, fixed income securities, continuous-time finance, credit risk, option pricing, financial econometrics, behaviorfinance and real estate


Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices. With Haitao Li. Review of Financial Studies. Forthcoming. forthcoming - Publication
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?. With Robert Jarrow and Haitao Li. Journal of Finance. 62.1. (February 2007): 345-382. 2007 - Publication
Can the Random Walk Model be beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates. With Yongmiao Hong and Haitao Li. Journal of Econometrics. 141.2. (December 2007): 736-776. 2007 - Publication
Downside Loss Aversion and Portfolio Management. With Robert Jarrow. Management Science. 52. (April 2006): 558-566. 2006 - Publication
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives. With Haitao Li. Journal of Finance. 61.1. (February 2006): 341-378. 2006 - Publication
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models. With Yongmiao Hong and Haitao Li. Journal of Business and Economic Statistics. (October 2004): 457-473. 2004 - Publication


Assistant Professor
The University of Texas at Dallas [2018–2018]
Associate Professor
University of Texas at Dallas [2011–Present]
Assistant Professor
Rutgers Business School [2005–Present]
Assistant Professor
Fordham University [2004–2005]

Additional Information

  • Russell-Sage Fellowship, Cornell University, 1998-2003
  • Honorary Training Program for Outstanding Students, Tsinghua University, 1994-1998
  • Annual Academic Scholarships, Tsinghua University, 1994-1998
  • Ad hoc journal Refereeing: Review of Financial Studies, journal of Econometrics, Finance Research Letters, Global Financejournal, Quantitative Finance, Review of Quantitative Finance and Accounting .
  • Member: American Finance Association, Western Finance Association

2004-2005: Fordham University; School of Business, teaching valuations: 4.4/5
Futures & Options and Fixed Income Analysis for undergraduates

2005-2006: Rutgers Business School, teaching valuations: 4.0/5
Futures & Options and Fixed Income Analysis for MBA’s and undergraduates .

2006-2007: Rutgers Business School, teaching valuations: 4.2/5 .
Futures & Options and Fixed Income Analysis for MBA’s and undergraduates

2007-2008: Rutgers Business School .
Continuous-time Finance (PhD), Options and Futures

News Articles

Mutual Fund Study Wins Award for 3 Jindal Professors
An examination of counterintuitive investor behavior has won a best paper award for three Naveen Jindal School of Management finance professors.
The trio investigated the puzzle of why actively managed mutual funds attract more investment dollars even though they generally perform more poorly than their passively managed counterparts.

Associate Professors Valery Polkovnichenko and Feng Zhao and Assistant Professor Kelsey Wei took home the Best Paper Award from the 2013 Asian Conference of the Financial Management Association International for their research.