ZHENGYANG JIANG
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Stanford Graduate School of Business, 655 Knight Way, Stanford, CA 94305
+1 (626) 864-0003
jzy@stanford.edu
https://people.stanford.edu/jzy/
RESEARCH INTERESTS
Asset Pricing; International Finance; Macroeconomics.
EDUCATION
2013 – Present
Stanford Graduate School of Business, Stanford, CA
Current Ph.D. Student in Finance
Expected Graduation Date: June 2018
2010 – 2013
California Institute of Technology, Pasadena, CA
B. Sc., Double Major in Mathematics / Business Econ & Mgmt. GPA 4.0
AWARDS
2013
Jaedicke Merit Award for Outstanding Academic Performance
Stanford Graduate School of Business
2013
H. J. Ryser Scholarship for Excellence in Scholarship in Mathematics
Mathematics Department, California Institute of Technology
2009
Gold Medal in China’s National Final of Olympiad in Informatics (Computer
Science)
I ranked 4th nationwide in the summer camp.
WORKING PAPERS
Currency Returns in Different Time Zones
Presented at 2015 China International Conference in Finance and the 28th Australasian Finance and
Banking Conference.
Currency returns in different time zones have different dynamics. During U.S. business hours European
currencies earn positive returns against the dollar, and during European business hours these currencies
earn negative returns. I propose a new explanation that is based on market segmentation and financial
intermediation in the foreign exchange market. U.S. exporters arrive at the market during U.S. business
hours and want to sell foreign currencies, but they cannot find a counterparty because European
exporters are sleeping. They rely on financial intermediary to carry the currency position across time
zones, who charges a risk premium that leads foreign currencies to appreciate against the dollar during
U.S. business hours.
Decomposing Valuation Signals
I project the price-to-book ratio onto a vector of cash flow variables and thereby decompose its crosssectional variation into two components. The fundamental component is the fitted value based on the
cash flow variables, and the transitory component is the residual term. I show that firms with high
fundamental component have high price-to-book ratio and high subsequent stock return, while firms
with high transitory component have high price-to-book ratio and low subsequent stock return. This
prediction is confirmed in the data, and it also applies to other valuation signals including price-todividend, price-to-earnings and price-to-debt ratio. Moreover, I show that the fundamental component
predicts return because it captures investors’ sluggish adjustment, which leads to underreaction to cash
flow news; the transitory component predicts return because it captures return reversal, which comes
from overreaction to discount rate news.
PRESENTATIONS
2015
Conferences
China International Conference in Finance, Shenzhen, China.
28th Australasian Finance and Banking Conference, Sydney, Australia.
DISCUSSIONS
2015
O. Chuprinin and T. Ruf: When Pessimism Doesnt Pay Off: Determinants and Implications of Stock Recalls in the Short Selling Market, 28th Australasian Finance and Banking
Conference.
WORKSHOPS
2015
2015
Princeton Initiative in Macro, Money and Finance, Princeton University
Summer School in Behavioral Finance, Yale SOM
TEACHING EXPERIENCE
Stanford Graduate School of Business
2016
Teaching Assistant for MBA class FINANCE 310: Finance – Advanced,
with Prof. Hanno Lustig.
INDUSTRY EXPERIENCE
2012
Trader at Pion Capital, Boston MA
Pion Capital is a high-frequency trading firm in early stage. I developed infrastructures
for market data collection and algorithmic trading, including building high speed trading
platform and setting up a simulative exchange for back-test. I also experimented and
implemented proprietary high-frequency and intraday trading strategies.
2011
Summer Analyst Intern at Weiss Asset Management LP, Boston MA
I worked with teams that cover American and Asia-Pacific regions and developed investment strategies in equities, derivatives, and fixed income through fundamental and
quantitative analysis. My work includes evaluating companies, constructing strategies
and cold-calling firm managers.
LANGUAGES
Chinese
Japanese
REFERENCES
Native speaker.
Professional proficiency in reading, speaking, and writing. Passed JLPT Level II.
Jonathan Berk
Stanford Graduate School of Business
jbberk@stanford.edu
Hanno Lustig
Stanford Graduate School of Business
hlustig@stanford.edu
Svetlana Bryzgalova
Stanford Graduate School of Business
bryzgals@stanford.edu
Last Updated: May 2, 2016