Feng Zhao

Ph.D. - Economics
Cornell University - 2004

M.A. - Economics
Cornell University - 2002

B.S. - Economics and Physics
Tsinghua University - 1998

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices. With Haitao Li. Review of Financial Studies. Forthcoming. forthcoming - 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

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

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]

CONFERENCE ACCEPTAN CES, DISCUSSIONS AND PRESENTATIONS

• The Econometric Society North American Winter Meeting, New Orleans,January 2008
• 2007 China International Conference in Finance, Chengdu, China, July 2007
• 17th Annual Derivatives Securities and Risk Management Conference, FDIC, April, 2007
• The Financial Management Association Annual Meeting, Salt Lake City, October 2006
• 13th Annual Conference on Pacific Basin Finance, Economics and Accounting, Rutgers, June, 2005
• 15th Annual Derivatives Securities and Risk Management Conference, FDIC, April, 2005
• Bank of Canada Workshop on Fixed Income Markets, Montréal, November, 2004
• The Western Finance Association Meeting, Vancouver, June, 2004
• The Econometric Society North American Winter Meeting, San Diego,January, 2004
• The European Finance Association Meeting, Scotland, August; 2003 .
• The Econometric Society North American \Vinter Meeting, Washington D.C.,January, 2003
• The European Econometric Society Summer Meeting, Italy, August, 2002
• PanAgora Asset Management Meeting, Boston, October, 2002
   

TEACHING EXPERIENCE

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
 

HONORS AND AWARDS

• Russell-Sage Fellowship, Cornell University, 1998-2003
• Honorary Training Program for Outstanding Students, Tsinghua University, 1994-1998
• Annual Academic Scholarships, Tsinghua University, 1994-1998
   

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.