The University of Queensland

Classification and regression trees and their use in financial modeling

Zhu, Min, Philpotts, David and Stevenson, Maxwell J. (2012). Classification and regression trees and their use in financial modeling. Encyclopedia of financial models. (pp. 375-382) edited by Frank J. Fabozzi. -: John Wiley & Sons. doi: 10.1002/9781118182635.efm0063

Diseconomies of scale in active management: robust evidence

Pastor, Lubos, Stambaugh, Robert F., Taylor, Lucian A. and Zhu, Min (2022). Diseconomies of scale in active management: robust evidence. Critical Finance Review, 11 (3-4), 593-611. doi: 10.1561/104.00000121

Realized moments and the cross-sectional stock returns around earnings announcements

Wang, Qingxia, Faff, Robert and Zhu, Min (2022). Realized moments and the cross-sectional stock returns around earnings announcements. International Review of Economics and Finance, 79, 408-427. doi: 10.1016/j.iref.2022.02.036

Informational content of options around analyst recommendations

Wang, Qingxia, Faff, Robert and Zhu, Min (2021). Informational content of options around analyst recommendations. International Journal of Managerial Finance, ahead-of-print (ahead-of-print), 445-465. doi: 10.1108/ijmf-04-2021-0168

Predictive regression with p-lags and order-q autoregressive predictors

Jayetileke, Harshanie L., Wang, You-Gan and Zhu, Min (2021). Predictive regression with p-lags and order-q autoregressive predictors. Journal of Empirical Finance, 62, 282-293. doi: 10.1016/j.jempfin.2021.04.006

De‐risking through equity holdings: bank and insurer behavior under capital requirements

Yang, Liu, Zhou, Qing and Zhu, Min (2021). De‐risking through equity holdings: bank and insurer behavior under capital requirements. Journal of Business Finance & Accounting, 48 (9-10) jbfa.12526, 1889-1917. doi: 10.1111/jbfa.12526

Multi-horizon accommodation demand forecasting: a New Zealand case study

Zhu, Min, Wu, Jinran and Wang, You-Gan (2020). Multi-horizon accommodation demand forecasting: a New Zealand case study. International Journal of Tourism Research, 23 (3), 442-453. doi: 10.1002/jtr.2416

Rejoinder to “Comment on ‘Wang et al . (2005), Robust estimating functions and bias correction for longitudinal data analysis’ by Nicola Lunardon and Giovanna Menardi”

Wang, You‐Gan, Lin, Xu and Zhu, Min (2020). Rejoinder to “Comment on ‘Wang et al . (2005), Robust estimating functions and bias correction for longitudinal data analysis’ by Nicola Lunardon and Giovanna Menardi”. Biometrics, 76 (3) biom.13262, 1043-1044. doi: 10.1111/biom.13262

Informative fund size, managerial skill, and investor rationality

Zhu, Min (2018). Informative fund size, managerial skill, and investor rationality. Journal of Financial Economics, 130 (1), 114-134. doi: 10.1016/j.jfineco.2018.06.002

Mutual fund managers' prior work experience and their investment skill

Chen, Rui, Gao, Zhennan, Zhang, Xueyong and Zhu, Min (2018). Mutual fund managers' prior work experience and their investment skill. Financial Management, 47 (1), 3-24. doi: 10.1111/fima.12180

The impact of flood dynamics on property values

Rajapaksa, Darshana, Zhu, Min, Lee, Boon, Viet-Ngu Hoang,, Wilson, Clevo and Managi, Shunsuke (2017). The impact of flood dynamics on property values. Land Use Policy, 69, 317-325. doi: 10.1016/j.landusepol.2017.08.038

Dividend growth and equity premium predictability

Zhu, Min, Chen, Rui, Du, Ke and Wang, You-Gan (2017). Dividend growth and equity premium predictability. International Review of Economics and Finance, 56, 125-137. doi: 10.1016/j.iref.2017.10.020

On estimating long-run effects in models with lagged dependent variables

Reed, W. Robert and Zhu, Min (2017). On estimating long-run effects in models with lagged dependent variables. Economic Modelling, 64, 302-311. doi: 10.1016/j.econmod.2017.04.006

A comment on Koh’s “The optimal design of fallible organizations: invariance of optimal decision threshold and uniqueness of hierarchy and polyarchy structures”

Zhu, Min, Liu, Chang and Wang, You-Gan (2016). A comment on Koh’s “The optimal design of fallible organizations: invariance of optimal decision threshold and uniqueness of hierarchy and polyarchy structures”. Social Choice and Welfare, 48 (2), 1-8. doi: 10.1007/s00355-016-1009-5

Chinese stock market return predictability: adaptive complete subset regressions

Chen, Keqi, Chen, Rui, Zhang, Xueyong and Zhu, Min (2016). Chinese stock market return predictability: adaptive complete subset regressions. Asia-Pacific Journal of Financial Studies, 45 (5), 779-804. doi: 10.1111/ajfs.12152

A Gaussian pseudolikelihood approach for quantile regression with repeated measurements

Fu, Liya, Wang, You-Gan and Zhu, Min (2015). A Gaussian pseudolikelihood approach for quantile regression with repeated measurements. Computational Statistics and Data Analysis, 84, 41-53. doi: 10.1016/j.csda.2014.11.002

Jackknife for bias reduction in predictive regressions

Zhu, Min (2013). Jackknife for bias reduction in predictive regressions. Journal of Financial Econometrics, 11 (1) nbs011, 193-220. doi: 10.1093/jjfinec/nbs011

Shrinkage empirical likelihood estimator in longitudinal analysis with time‐dependent covariates—application to modeling the health of Filipino children

Leung, Denis Heng-Yan, Small, Dylan S., Qin, Jing and Zhu, Min (2013). Shrinkage empirical likelihood estimator in longitudinal analysis with time‐dependent covariates—application to modeling the health of Filipino children. Biometrics, 69 (3), 624-632. doi: 10.1111/biom.12039

Return distribution predictability and its implications for portfolio selection

Zhu, Min (2013). Return distribution predictability and its implications for portfolio selection. International Review of Economics and Finance, 27, 209-223. doi: 10.1016/j.iref.2012.10.002

The benefits of tree-based models for stock selection

Zhu, Min, Philpotts, David and Stevenson, Maxwell J. (2012). The benefits of tree-based models for stock selection. Journal of Asset Management, 13 (6), 437-448. doi: 10.1057/jam.2012.17

A hybrid approach to combining CART and logistic regression for stock ranking

Zhu, Min, Philpotts, David, Sparks, Ross and J. Stevenson, Maxwell (2011). A hybrid approach to combining CART and logistic regression for stock ranking. The Journal of Portfolio Management, 38 (1), 100-109. doi: 10.3905/jpm.2011.38.1.100

Quantile regression without the curse of unsmoothness

Wang, You-Gan, Shao, Quanxi and Zhu, Min (2009). Quantile regression without the curse of unsmoothness. Computational Statistics & Data Analysis, 53 (10), 3696-3705. doi: 10.1016/j.csda.2009.03.012

Efficient parameter estimation in longitudinal data analysis using a hybrid GEE method

Leung, Dennis H. Y., Wang, You-Gan and Zhu, Min (2009). Efficient parameter estimation in longitudinal data analysis using a hybrid GEE method. Biostatistics, 10 (3), 436-445. doi: 10.1093/biostatistics/kxp002

Testing Intergroup Concordance in Ranking Experiments With Two Groups of Judges

Dekle, Dawn J., Leung, Denis H.Y. and Zhu, Min (2008). Testing Intergroup Concordance in Ranking Experiments With Two Groups of Judges. Psychological Methods, 13 (1), 58-71. doi: 10.1037/1082-989X.13.1.58

Robust estimation using the Huber function with a data-dependent tuning constant

Wang, You-Gan, Lin, Xu, Zhu, Min and Bai, Zhidong (2007). Robust estimation using the Huber function with a data-dependent tuning constant. Journal of Computational and Graphical Statistics, 16 (2), 468-481. doi: 10.1198/106186007x180156

Rank-based regression for analysis of repeated measures

Wang, You-Gan and Zhu, Min (2006). Rank-based regression for analysis of repeated measures. Biometrika, 93 (2), 459-464. doi: 10.1093/biomet/93.2.459

Quantile estimation from ranked set sampling data

Zhu, Min and Wang, You-Gan (2005). Quantile estimation from ranked set sampling data. Sankhya: The Indian Journal of Statistics, 67 (2), 295-304.

Robust estimating functions and bias correction for longitudinal data analysis

Wang, You-Gan, Lin, Xu and Zhu, Min (2005). Robust estimating functions and bias correction for longitudinal data analysis. Biometrics, 61 (3), 684-691. doi: 10.1111/j.1541-0420.2005.00354.x

Optimal sign tests for data from ranked set samples

Wang, You-Gan and Zhu, Min (2005). Optimal sign tests for data from ranked set samples. Statistics and Probability Letters, 72 (1), 13-22. doi: 10.1016/j.spl.2004.11.014

Evaluating the efficacy of multiple testing adjustments in empirical asset pricing

Zhu, Min (2023). Evaluating the efficacy of multiple testing adjustments in empirical asset pricing. doi: 10.2139/ssrn.4396035

Detecting accounting fraud with noisy labels

Ahfock, Daniel, McLachlan, Geoffrey, Yang, Liu and Zhu, Min (2022). Detecting accounting fraud with noisy labels. UQ Business School.

Crowding: evidence from fund managerial structure

Harvey, Campbell R., Liu, Yan, Tan, Eric K. M. and Zhu, Min (2020). Crowding: evidence from fund managerial structure. doi: 10.2139/ssrn.3554636

Does corporate exposure to weather affect bond yield spread?

Zhang, Lei and Zhu, Min (2020). Does corporate exposure to weather affect bond yield spread?. doi: 10.2139/ssrn.3547895