贾越珵, Ph.D.

个人简介

贾越珵，副教授，美国俄克拉荷马州立大学金融学博士。主要研究领域包括资产定价、机器学习、深度学习、大宗商品。在Journal of Banking and Finance, Journal of Empirical Finance，European Financial Management, Pacific-Basin Finance Journal等刊物上发表论文多篇。另有多篇论文在国际权威期刊送审后修订并重新提交。2018年以来深耕量化投资领域，在头部量化私募任核心投研与股票量化策略投资经理，管理多只私募产品。精通Python和C++编程在量化投资实践中的应用。

研究领域

资产定价，机器学习，深度学习,数字货币

学术工作经历

中央财经大学，长聘副教授, 硕士生导师                        2023.08—至今

中央财经大学，副教授, 硕士生导师                           2020.09—2023.07  

中央财经大学，助理教授，硕士生导师                         2016.09—2020.08

教育背景

Oklahoma State University，金融学，博士                       2011.08—2016.05  

研究方向：资产定价，导师：Betty Simkins教授，Shu Yan教授                

        Case Western Reserve University，金融学，硕士                2012.01—2012.09

    研究方向：资产定价，导师：Peter Ritchken教授

东北财经大学，法学院，法学，学士                           2005.09—2009.07

论文发表

1. A Seesaw Effect in Cryptocurrency Market: Understanding the Return Cross-Predictability of Cryptocurrencies （合作者：Yangru Wu, Shu Yan, Yuzheng Liu）

² Journal of Empirical Finance, forthcoming

2. Political Connections and Short Sellers (合作者：Betty Simkins, Hongrui Feng)

² Journal of Banking and Finance, Volume 146, January 2023, 106703

3. Government Customers, Institutional Investment Horizons, and Liquidity Risk (合作者：Brian Boscaljon, Hongrui Feng, Qian Sun)

² Review of Quantitative Finance and Accounting, Volume 56 (1), January 2021

4. State Ownership, Implicit Government Guarantees, and Crash Risk: Evidence from China (合作者：Mingfa Ding, Zhongda He, Mi Shen)

² Pacific-Basin Finance Journal, Volume 65, February 2021, 101470

5. Higher Moments, Extreme Returns, and Cross-Section of Cryptocurrency Returns (合作者：Shu Yan, Yuzheng Liu)

² Finance Research Letters, Volume 39, March 2021, 101536

6. Are CEOs Incetivized to Shelter Good Information? (合作者：Hongrui Feng)

² The Financial Review, Volume 56, Issue 1, February 2021

7. Second and Higher Moments of Fundamentals: A Literature Review (合作者：Ivilina Popova, Betty Simkins, and Qin Wang)

² European Financial Management, Volume 26, Issue1, January 2020

8. Positive Externalities of CEO Delta (合作者：Hongrui Feng)

² European Financial Management, Volume 25, Issue 3, June 2019

代表性工作论文

1. Information Spillover and Cross Predictability of Currency Returns: An Analysis via Machine Learning （合作者：Yangru Wu, Shu Yan, Yuzheng Liu）

² Journal of Banking and Finance, 3nd Round R&R

2. Profit Skewness and Stock Returns（合作者：Shu Yan）

² Journal of Empirical Finance, 1st Round R&R

3. Is There a Growth Premium? Evidence from Cyclical Movements in Book-to-Market Ratio （合作者：Yifan Wang, Haoxi Yang, Jiangyu Zhao）

² Financial Management, Under Review

4. Psychological Anchoring Effect, the Cross Section of Cryptocurrency Returns, and Cryptocurrency Market Anomalies（合作者：B. Simkins, Runyu Zhang, Jiangyu Zhao）

² Journal of Banking and Finance, 1st Round R&R

5. An “Online” Growth Premium: What Does Daily Online Sales Growth Say About Retail Investors’ Behavior and Stock Returns? （合作者：Yangru Wu, Hongyu Zhang）

² Presented at CFRC 2023, CIRF 2022, CHLR-CUFE

6. Risk in Mining and Cryptocurrency Returns: Evidence from Electricity Prices （合作者：Junye Li, Haoxi Yang, Runyu Zhang）

² Presented at CIRF 2022, 中国金融科技年会（2022）

7. A Robust Variance Bound on Pricing Kernel （合作者：Haoxi Yang, Junye Li）

² Presented at Bocconi University Seminar Series

8. Skewness, Nominal Price Illusion, and Momentum（合作者：Shu Yan, Jiangyu Zhao）

² Presented at FMA 2014, SFA 2014, IFABS 2017

9. Why is Equity Cheap for Large Financial Institutions? Evidence from Short Sellers（合作者：Jun Lu, Yifan Wang, and Jiangyu Zhao）

10. Funding Liquidity and the Implied Cost of Capital（合作者：Avanidhar (Subra) Subrahmanyam, and Shu Yan）

讲授课程

²实证资产定价与Python & C++程序设计    2016-2023年秋季学期  

    ²科技金融与计算金融                    2018-2023年春季学期