Jingzhi Huang
Professor of Finance and Mathematics, Faculty Chair in Finance
Department Finance
Office Address 350 Business Building
Phone Number
814-865-0032
Email Address
jxh56@psu.edu
Jingzhi Huang
Professor of Finance and Mathematics, Faculty Chair in Finance
Department Finance
Office Address 350 Business Building
Phone Number
814-865-0032
Email Address
jxh56@psu.edu
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.
Expertise
Credit risk, Fixed-income markets, Derivatives markets, Mutual funds and Hedge funds, and machine learning
Education
Ph D, Finance, New York University, 1997
Courses Taught
FIN 406 – Sec Anly &Prt Mgmt (3)
Advanced valuation theory; fundamentals of security analysis; portfolio construction and management.
FIN 597 – Special Topics (1.5)
FIN 601 – Ph D Dis Full-Time
NO DESCRIPTION.
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 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.
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.
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.
Selected Publications
Huang J., Li X., Saglam M., Yu T., "Rainy Day Liquidity." Management Science, 2024, papers.ssrn.com/sol3/papers.cfm?abstract_id=3387065
Huang J., Wang Y., Wang Y., "Does Ownership Concentration Affect Corporate Bond Volatility? Evidence from Bond Mutual Funds." Journal of Banking and Finance, vol. 165, 2024, doi.org/10.1016/j.jbankfin.2024.107217
This paper was circulated previously under the title "Does Ownership Concentration Affect Corporate Bond Volatility? The Impact of Illiquidity"
This paper was circulated previously under the title "Does Ownership Concentration Affect Corporate Bond Volatility? The Impact of Illiquidity"
Fisar M., Greiner B., Huber C., Katok E., Ozkes A., the Management Science Reproducibility Collaboration, "Reproducibility in Management Science." Management Science, vol. 70, no. 3, 2024, pp. 1343-1356, doi.org/10.1287/mnsc.2023.03556
Note: Member of the Management Science Reproducibility Collaboration
Note: Member of the Management Science Reproducibility Collaboration
Huang J., Qin N., Wang Y., "Breadth of Ownership and the Cross-section of Corporate Bond Returns." Management Science, vol. 70, no. 9, 2023, pp. 5709–5730, doi.org/10.1287/mnsc.2023.4950
Huang J., Liu B., Shi Z., "Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market." Review of Finance, vol. 27, no. 2, 2023, pp. 539–579, doi.org/10.1093/rof/rfac030
Huang J., Nozawa Y., Shi Z., "The Global Credit Spread Puzzle." Journal of Finance, 2023, pp. 60 pages, papers.ssrn.com/sol3/papers.cfm?abstract_id=3453959
Huang J., Ni J., Xu L., "Leverage Effect in Cryptocurrency Markets." Pacific-Basin Finance Journal, vol. 73, 2022, pp. 101773
Huang J., Shi Z., "Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance." Management Science, vol. 69, no. 3, 2022, pp. 1780–1804, doi.org/10.1287/mnsc.2022.4386
Huang J., Shi Z., "What Do We Know About Corporate Bond Returns?." Annual Review of Financial Economics, vol. 13, 2021, pp. 363-399
Huang J., Huang Z. J., Xu L., "Sequential Learning of Cryptocurrency Volatility Dynamics: Evidence Based on A Stochastic Volatility Model with Jumps in Returns and Volatility." Quarterly Journal of Finance, vol. 11, no. 2, 2021, pp. 2150010 (37 pages)
Chen F., Huang J., Sun Z., Yu T., "Why Do Firms Issue Guaranteed Corporate Bonds." Journal of Banking and Finance, vol. 119, 2020, pp. 17 pages
Chen X., 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, vol. 66, no. 2, 2020, pp. 932-957
Huang J., Shi Z., Zhou H., "Specification Analysis of Structural Credit Risk Models." Review of Finance, vol. 24, no. 1, 2020, pp. 45-98
Huang J., Huang Z., "Testing Moving Average Trading Strategies on ETFs." Journal of Empirical Finance, vol. 57, 2020, pp. 16-32
Huang J., Huang W., Ni J., "Predicting bitcoin returns using high-dimensional technical indicators." Journal of Finance and Data Science, vol. 5, no. 3, 2019, pp. 140-155
Acharya V., Huang J., Subrahmanyam M., Sundaram R., "Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt." (World Scientific), vol. 3, 2019, pp. 77-126
Huang J., Liechty J. C., Rossi M., "Return Smoothing and its Implications for Performance Analysis of Hedge Funds." Journal of Finance and Data Science, vol. 4, no. 4, 2018, pp. 203-222
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
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)
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
Helwege J., Huang J., Wang Y., "Liquidity Effects in Corporate Bond Spreads." Journal of Banking and Finance, vol. 45, 2014, pp. 105-116
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
Huang J., Shi Z., Zhong W., "Model Selection for High-Dimensional Problems." (Springer Verlag), 2014, pp. 2093-2118
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
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
Summarized in CFA Digest, August 2013, Volume 43, Issue 3.
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
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
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
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
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
Featured in ”Envisioning the Future of Securities Analysis,” CFA Magazine, July/August 2004;
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
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
Reprinted in "Quantitative Analysis in Financial Markets," ed. Marco Avellaneda, World Scientific Publishing Co., 1999
Reprinted in "Quantitative Analysis in Financial Markets," ed. Marco Avellaneda, World Scientific 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, Internet
"SEC Investment Company Act Release No. 31300; 812-14116", U.S. Securities and Exchange Commission, Internet
"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, Internet
"SIPCO Corporate Bond Strategy: Why Corporate Bonds?", White Paper, Strategic Investment Partners LLC, Internet
"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, Internet
"Hedge-Fund Firms Woo the Little Guy", The Wall Street Journal, Newspaper
"The Problem With Absolute Return Funds", Forbes Magazine
"Absolute Return", practicalquant.blogspot.com, Internet
"Being short apparently has its benefits", AllAboutAlpha.com
"Why Hedge Fund Strategies Don't Work for Most Investors", Forbes.com, Internet
"Democratization questionable", Les Echos (a French newspaper), Newspaper
"Yield Spreads & Default Risk", Canadian Preferred Shares: Data and Discussion, Internet
"TIPS & the Inflation Risk Premium", Canadian Preferred Shares: Data and Discussion, Internet
"TIPS", Bogleheads.Org, Internet
"What Do Bond Spreads Tell Us?", indexinvestor.com, Internet
"Envisioning the future of securities analysis,", CFA Magazine
"Corporate bonds and other debt instruments,", Financial Times
Editorships
International Studies of Economics, Editorial Board, (onlinelibrary.wiley.com/journal/28313224), January 2022 - Present
Journal of Empirical Finance, Associate Editor, (www.sciencedirect.com/journal/journal-of-empirical-finance/about/editorial-board), July 2020 - Present
Journal of Finance and Data Science, Editor, (www.keaipublishing.com/en/journals/jfds/), March 2020 - Present
The editorial board includes Stephen Blyth, Damiano Brigo, Lars Hansen, Lubos Pastor, Neil Shephard, Robert Shiller, etc. The journal is sponsored by ElSEVIER and Science Press.
The editorial board includes Stephen Blyth, Damiano Brigo, Lars Hansen, Lubos Pastor, Neil Shephard, Robert Shiller, etc. The journal is sponsored by ElSEVIER and Science Press.
Journal of Credit Risk, Co-Editor, March 2019 - March 2021
Co-Editor of a special issue
Co-Editor of a special issue
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
Editor of a special issue on Credit Risk
Journal of Finance and Data Science, Associate Editor, (www.keaipublishing.com/en/journals/jfds/), January 2015 - February 2020
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
Editor of a special issue
Frontiers of Economics in China, Associate Editor, (link.springer.com/journal/11459), March 2011 - January 2021
ISSN: 1673-3444 (Print) 1673-3568 (Online)
ISSN: 1673-3444 (Print) 1673-3568 (Online)
China Finance Review International, Associate Editor, (www.emeraldinsight.com/loi/cfri), January 2011 - January 2013