YANDI ZHU

4. Good Idiosyncratic Volatility, Bad Idiosyncratic Volatility, and the Cross-Section of Stock Returns

Journal of Banking and Finance, Forthcoming (with Yunting Liu)

3. Expectation Disarray: Analysts' Growth Forecast Anomaly in China

Pacific-Basin Finance Journal, 2023 (with Laura Xiaolei Liu, Xinyu Zhang, and Yingguang Zhang)

2. 中国经济微观不确定性的测度及效应研究 China's Micro Uncertainty and its Effect (In Chinese)

《经济学动态》 Economic Perspectives, 2023 (with Yunting Liu, featured cover article)

中国人民大学复印报刊资料全文转载, 《国民经济管理》2023年第7期

1. Joint dynamic topic model for recognition of lead-lag relationship in two text corpora

Data Mining and Knowledge Discovery, 2022 (with Xiaoling Lu, Jingya Hong, and Feifei Wang)

1. Man versus Machine Learning Revisited

R&R at Review of Financial Studies, (with Yingguang Zhang and Juhani Linnainmaa)

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Abstract: Binsbergen et al. (2023) predict analysts' forecast errors using a random forest model. A strategy that trades against this model's predictions earns a monthly alpha of 1.54% (t-value = 5.84). This estimate represents a large improvement over studies using classical statistical methods. We attribute the difference to a look-ahead bias. Removing the bias erases the alpha. Linear models yield as accurate forecasts and superior trading profits. Neither alternative machine learning models nor combinations thereof resurrect the predictability. We discuss the state of research into the term structure of analysts' forecasts and its causal relationship with returns.