Zhaohui Jiang

Biography

Biography

My research involves machine learning in asset pricing, value investing, earnings prediction and investor behaviour. 1. I achieved an AUC of 70% for predicting future company profit directions, which is the highest in the literature. 2. I propose a two-step machine learning approach to address the challenge left by previous studies, where momentum, liquidity, and volatility dominate the interpretability of algorithms in predicting future returns when using next month's returns to train the model. In a separate test set using post-2005 U.S. stock market data, the average return of a one-month holding buy-only portfolio can reach up to 3.92%, excluding transaction costs. 3. My research delves deep into the impact of price trend factors on value stock screening, including momentum, volatility, liquidity, liquidity volatility, and bid-ask spread. Using various neural networks, I identified trends of factors, providing a comprehensive understanding of their influence. 4. I propose the Investor Valuation Competition Theory to explain the disappearing value premium in the U.S. market and the difference in value premiums between developed and developing markets

Copyrighted Databases

• Machine Learning in the Chinese Stock Market database (Including more than 100 factors explaining excess returns in the Chinese market)
• Investor Sentiment Proxies in the Chinese Stock Market database (Including factors that explain the overall sentiment of the Chinese market)

Conferences

• International Conference on Computing in Economics and Finance (present) Jun 2024 Nanyang Technological University
• International Behavioural Finance 2024 Conference (present) Jun 2024 Queen Mary University of London
• 2024 Lancaster-Manchester-Warwick Joint PhD Workshop on Quantitative Finance and Financial Technology (present) May 2024 University of Warwick
• SBS PhD conference 2024 (present; accounting and finance session chair) Apr 2024 University of York
• British Academy of Management 2023 Conference (present; viewer) Sep 2023 University of Sussex
• Behavioural Finance Working Group 2023 Conference (present) Jun 2023 Queen Mary University of London
• York management school PhD conference 2023 (present) May 2023 University of York
• Student Managed Investment Funds 2023 Conference (organising committee member) Mar 2023 University of York
• York management school PhD conference 2022 (present) May 2022 University of York

Research

Research Topic

The Application of Machine Learning in Value Investing

Research interests

• Earnings Prediction
• Machine Learning
• Arbitrage Opportunities
• Liquidity Trends
• Inefficient Market
• Behavioural Finance