Yicheng Zhu

Yicheng Zhu

Contact Information

  • office Address:

    2437 Steinberg-Dietrich Hall 3620 Locust Walk Philadelphia, PA 19104-6367

Research Interests: Asset Pricing, Macroeconomics, Econometrics

Links: Personal Website


  • 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