Jingzhi Huang

Color portrait of Jingzhi Huang

Professor of Finance, David H. McKinley Professor of Business

Office Address 350 Business Building
Phone Number 814-863-3566
Email Address jxh56@psu.edu

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Professor Huang has been at Penn State since receiving his Ph.D. in finance from New York University in 1997. He has also taught at the Stern School of Business, New York University.


Derivatives markets, Credit risk, Fixed-income markets, Mutual funds and Hedge funds


Ph D, Finance, New York University, 1997

Ph D, Physics, Auburn University, 1992

BS, Theoretical Physics, University of Science and Technology of China, 1984

Courses Taught


FIN 406H – Security Analysis and Portfolio Management (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management.

FIN 597C – Research Methods (3)
The class focuses on the empirical research methods, data, and econometrics used in the asset pricing subfields of financial economics.

FIN 494H – Finance Senior Honors Thesis (variable)
Supervised student activities on research projects identified on an individual or small-group basis.

FIN 596 – Individual Studies (variable)
Creative projects, including nonthesis research, which are supervised on an individual basis and which fall outside the scope of formal courses.

B A 574 – Business Research (variable)
A project paper, comparable in quality and scope of work to a graduate thesis, on problems of a company.

FIN 496 – Independent Studies (variable)
Creative projects, including research and design, which are supervised on an individual basis and which fall outside the scope of formal courses.

FIN 406 – Security Analysis and Portfolio Management (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management.

Selected Publications

Chen F., Huang J., Sun Z., Yu T., "Why Do Firms Issue Guaranteed Corporate Bonds." Journal of Banking and Finance, 2018, doi.org/10.1016/j.jbankfin.2018.08.002.
Huang J., Sun Z., Yao T., Yu T., "Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market." Management Science, 2018, pp. 58 pages.
Huang J., Liechty J. C., Rossi M., "Return Smoothing and its Implications for Performance Analysis of Hedge Funds." Journal of Finance and Data Science, 2018, doi.org/10.1016/j.jfds.2018.05.002, Invited.
Helwege J., Huang J., Wang Y., "Debt Covenants and Cross-Sectional Equity Returns." Management Science, vol. 63, no. 6, 2017, pp. 1835-1854, pubsonline.informs.org/doi/full/10.1287/mnsc.2015.2381.
Zang X., Ni J., Huang J., Wu L., "Double-jump diffusion models for VIX: evidence from VVIX." Quantitative Finance, vol. 17, no. 2, 2017, pp. 227-240.
Huang J., Rossi M., Wang Y., "Sentiment and Corporate Bond Valuations Before and after the Onset of the Credit Crisis." Journal of Fixed Income, vol. 25, no. 1, 2015, pp. 34-57.
Helwege J., Wang Y., Huang J., "Separating credit risk and liquidity." Creditflux Magazine, 2015, pp. 16-17, dx.doi.org/10.1016/j.jbankfin.2013.08.018, Invited.
Huang J., Xu L., "Stochastic Volatility Models for Asset Returns with Leverage, Skewness and Heavy-Tails via Scale Mixture." Quarterly Journal of Finance, vol. 4, no. 3, 2014, pp. 1450011 (31 pages), dx.doi.org/10.1142/S2010139214500116, Invited.
Hong H., Huang J., Wu D., "The Information Content of Basel III Liquidity Risk Measures." Journal of Financial Stability, vol. 15, 2014, pp. 91-111, dx.doi.org/10.1016/j.jfs.2014.09.003.
Helwege J., Huang J., Wang Y., "Liquidity Effects in Corporate Bond Spreads." Journal of Banking and Finance, vol. 45, 2014, pp. 105-116, dx.doi.org/10.1016/j.jbankfin.2013.08.018.
Huang J., Shi Z., Zhong W., "Model Selection for High-Dimensional Problems." Handbook of Financial Econometrics and Statistics, (Springer Verlag), 2014, pp. 2093-2118, dx.doi.org/10.1007/978-1-4614-7750-1_77, Invited.
Huang J., Wang Y., "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings." Management Science, vol. 60, no. 8, 2014, pp. 2091-2109, dx.doi.org/10.1287/mnsc.2013.1843.
Huang J., Huang Z. J., "Real-Time Profitability of Published Anomalies: An Out-of-Sample Test." Quarterly Journal of Finance, vol. 3, 2013, pp. 33 pages, www.worldscientific.com/doi/abs/10.1142/S201013921350016X.
Huang J., Wang Y., "Should Investors Invest in Hedge Fund-like Mutual Funds? Evidence from the 2007 Financial." Journal of Financial Intermediation, vol. 22, no. 3, 2013, pp. 482-512, dx.doi.org/10.1016/j.jfi.2012.11.004.
Huang J., Wang Y., "Hedge Funds and the Financial Crisis." (John Wiley & Sons, Inc.), vol. The Kolb Series in Finance, 2013, pp. 521--539, onlinelibrary.wiley.com/doi/10.1002/9781118656501.ch26/summary.
Grishchenko O., Huang J., "Inflation Risk Premium: Evidence from the TIPS Market." Journal of Fixed Income, vol. 22, no. 4, 2013, pp. 5-30, www.iijournals.com/doi/abs/10.3905/jfi.2013.22.4.005
Google Scholar Citations: 38; SSRN downloads: 1,093.Summarized in CFA Digest, August 2013, Volume 43, Issue 3..
Grishchenko O., Huang J., "Finance and Economics Discussion Series: Inflation Risk Premium: Evidence from the TIPS Market." (BiblioGov), 2013, pp. 52.
Huang J., Zhong Z., "Time-Variation in Diversification Benefits of Commodity, REIT's, and TIPS." Journal of Real Estate Finance and Economics, vol. 46, no. 1, 2013, pp. 152-192, www.springerlink.com/content/r27t2718110625n3/.
Huang J., Huang M., "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?." Review of Asset Pricing Studies, vol. 2, no. 2, 2012, pp. 153-202, raps.oxfordjournals.org/cgi/reprint/ras011?ijkey=hAFGTNcTQBzbpoL&keytype=ref, Invited
Google Scholar citations: 880+; SSRN downloads: 4,690.
Grishchenko O., Huang J., "Term Structure of Interest Rates and Expected Inflation." (Risk Books), 2012, pp. 209--253.
Huang J., "The Structural Approach to Modeling Credit Risk." (Springer), vol. 2, 2010, pp. 665-674.
Huang J., Zhang X., "The Slope of Credit Spread Curves." Journal of Fixed Income, vol. 18, no. 1, 2008, pp. 56-71.
Cao C., Huang J., "Determinants of the S&P 500 Index Option Returns." Review of Derivatives Research, vol. 10, 2007, pp. 1-38.
Acharya V., Huang J., Subrahmanyam M., Sundaram R., "When Does Strategic Debt-Service Matter?." Economic Theory, vol. 29, no. 2, 2006, pp. 363-378, Invited.
Chen R., Huang J., "Credit Derivatives." (Springer Verlag), 2006, pp. 336-343.
Huang J., Wu L., "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes." Journal of Finance, vol. 59, 2004, pp. 1405-1439
Google Scholar Citations: 195.
Eom Y., Helwege J., Huang J., "Structural Models of Corporate Bond Pricing: An Empirical Analysis." Review of Financial Studies, vol. 17, 2004, pp. 499-544
Google Scholar Citations: 716; SSRN downloads: 2,667..
Huang J., Kong W., "Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes." Journal of Derivatives, vol. 11, no. 1, 2003, pp. 30-44
Google Scholar Citations: 89; SSRN downloads: 1,423;Featured in ”Envisioning the Future of Securities Analysis,” CFA Magazine, July/August 2004;.
Huang J., Chen R., "A Note on Forward Price and Forward Measure." Review of Quantitative Finance and Accounting, vol. 19, 2002, pp. 261-272.
Gao B., Huang J., Subrahmanyam M., "The Valuation of American Barrier Options using the Decomposition Technique." Journal of Economic Dynamics and Control, vol. 24, 2000, pp. 1783-1827
Google Scholar Citations: 83; SSRN downloads: 1,873.
Huang J., Subrahmanyam M., Yu G., "Pricing and Hedging American Options: A Recursive Integration Method." Review of Financial Studies, vol. 9, 1996, pp. 277-300
Google Scholar Citations: 245;Reprinted in "Quantitative Analysis in Financial Markets," ed. Marco Avellaneda, WorldScientific Publishing Co., 1999.
Huang J., Tsang K., Hanson J., "Dimension of Strange Attractors in Four-dimensional Maps." Physics Letters A, vol. 147, 1990, pp. 269-274.

Research Impact and Media Mentions

"Swedroe: A Close Look At Zweig’s TIPS Tip", www.etf.com, Web
"SEC Investment Company Act Release No. 31300; 812-14116", U.S. Securities and Exchange Commission, Web
"From the Research Desk, REIT Magazine", REIT Magazine, published by NAREIT, Journal or Magazine
"REITs Belong in Every Investor’s Portfolio", From the Research Desk at www.reit.com, Web
"SIPCO Corporate Bond Strategy: Why Corporate Bonds?", White Paper, Strategic Investment Partners LLC, Web
"The Inflation Risk Premium: Evidence from the TIPS Market (Digest Summary)", CFA Digest, Journal or Magazine
"Broken Links? Assessing the Efficiency of TIPS Markets", Investment Perspective, Galliard Capital Management, Journal or Magazine
"Duff & Phelps Client Alert", Duff & Phelps, Web
"Hedge-Fund Firms Woo the Little Guy", The Wall Street Journal, Newspaper
"Too Close for Comfort", SmartMoney Magazine, Journal or Magazine
"Can You Trust 'Independent' Research?", SmartMoney.com, Journal or Magazine
"The Problem With Absolute Return Funds", Forbes Magazine
"Absolute Return", practicalquant.blogspot.com, Web
"Being short apparently has its benefits", AllAboutAlpha.com
"Why Hedge Fund Strategies Don't Work for Most Investors", Forbes.com, Web
"Democratization questionable", Les Echos (a French newspaper), Newspaper
"Yield Spreads & Default Risk", Canadian Preferred Shares: Data and Discussion, Web
"TIPS & the Inflation Risk Premium", Canadian Preferred Shares: Data and Discussion, Web
"TIPS", Bogleheads.Org, Web
"What Do Bond Spreads Tell Us?", indexinvestor.com, Web
"Envisioning the future of securities analysis,", CFA Magazine
"Corporate bonds and other debt instruments,", Financial Times


Journal of Credit Risk, Associate Editor, (www.risk.net/type/technical-paper/source/journal-of-credit-risk), January 2016 - Present
Quarterly Journal of Finance and Accounting, Associate Editor, (business.creighton.edu/qjfa), July 2015 - Present
Journal of Risk and Financial Management, Editor, (www.mdpi.com/journal /jrfm/), June 2015 - October 2016
Editor of a special issue on Credit Risk
Journal of Finance and Data Science, Editorial Board, (www.keaipublishing.com/en/journals/jfds/), January 2015 - Present
The editorial board includes Lars Hansen, Andy Lo, Lubos Pastor, and ROBERT J. SHILLER. The journal is sponsored by ElSEVIER and Science Press.
Quarterly Journal of Finance, Associate Editor, (www.worldscientific.com/worldscinet/qjf), August 2014 - Present
Asia-Pacific Journal of Financial Studies, Associate Editor, (onlinelibrary.wiley.com/journal/10.1111/(ISSN)2041-6156), March 2014 - Present
China Finance Review International, Editorial Board, (www.emeraldinsight.com/loi/cfri), February 2013 - Present
Journal of Fixed Income, Editor, April 2012 - May 2013
Editor of a special issue
Frontiers of Economics in China, Associate Editor, (link.springer.com/journal/11459), March 2011 - Present
ISSN: 1673-3444 (Print) 1673-3568 (Online)
China Finance Review International, Associate Editor, (www.emeraldinsight.com/loi/cfri), January 2011 - January 2013