Yicheng Zhu

Yicheng Zhu

Contact Information

  • office Address:

    2422 Steinberg-Dietrich Hall 3620 Locust Walk Philadelphia, PA 19104-6367

Research Interests: Asset Pricing, Macro-finance, Econometrics

Links: CV, Personal Website


Yicheng Zhu is a fifth-year Ph.D. student in Finance at the Wharton School, University of Pennsylvania. His research interests include asset pricing, macro-finance, and econometrics.

His job market paper focuses on the disconnection between the riskiness and risk premium of assets, especially in cross-section. For example, long-maturity riskfree real zero-coupon bonds provide hedges against long-run shocks in the economy but feature a higher premium in the data. Yicheng shows that by allowing the agent to show distinct levels of risk aversion toward risks of different types, the agent has different preference to the timing of uncertainty resolution to different shocks, and this mechanism can address a very large body of puzzles in the term structure, and the beta anomaly.

His other work investigates the implication of imperfect information on asset prices. One of his recent working papers builds a quantitative model to explain the announcement premium. On days when the U.S. government or Fed makes the announcement of the macro-economy, a large proportion of equity premium is realized. In addition, there is a strong CAPM on those days, while aggregate risk, measured by the volatility, does not increase.  The paper models that the US government provides critical information about rare disasters on those pre-scheduled days, and can successfully quantitatively explain the announcement premium.

He joined the Wharton Finance Ph.D. program in 2015. Before Wharton, he obtained an A.M. in Statistics from Harvard and a B.Sc. in Mathematics and Applied Mathematics from Peking University.

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Link to the personal page of research.

  • Winston Wei Dou and Yicheng Zhu (Work In Progress), Overshooting, Slow Recovery, and Asset Prices.

  • Jessica Wachter and Yicheng Zhu (Work In Progress), Learning with rare disasters.

    Abstract: Financial crises appear to have long-lasting effects, even after the crisis itself has past. This paper offers a simple explanation through Bayesian learning from rare events. Agents face a latent and time-varying probability of economic disaster. When a disaster occurs, learning results in greater effects on asset prices because agents update their probability of future disasters. Moreover, agents' belief that the disaster risk is high can rationally persist for years, even when it is in fact low. We generalize the model to allow for a noisy signal of the disaster probability. This generalized model explains excess stock market volatility together with negative skewness, effects that previous models in the literature struggle to explain.

  • Jessica Wachter and Yicheng Zhu (Working), The macroeconomic announcement premium.


Teaching Assistant

The Wharton School, University of Pennsylvania

FNCE 911 – Foundations for Financial Economics, PhD – Fall 2018

FNCE 934 – Advanced Topics in Dynamic Asset Pricing, PhD – Fall 2018

FNCE 921 – Empirical Methods in Finance, PhD – Fall 2017

FNCE 385/885 – Fin-Tech, MBA/Undergraduate – Fall 2016, Spring 2018

Harvard University

STAT 123 – Applied Quantitative Finance, Graduate/Undergraduate – Spring 2014

STAT 104 – Introduction to Quantitative Methods for Economics, Undergraduate – Fall 2014, Spring 2015

Awards and Honors

Jacobs Levy Center Research Paper Prizes, Best paper, 2019, for A Model of Two Days: Discrete News and Asset Prices with Jessica A. Wachter

Dean’s Fellowship for Distinguished Merit, Wharton School, 2015-2020


    Latest Research

    Winston Wei Dou and Yicheng Zhu (Work In Progress), Overshooting, Slow Recovery, and Asset Prices.
    All Research