Associate Professor of Finance, David H. McKinley Professor of Business
Office: 350 Business Building
Member of Faculty Since: 1997
Professor Huang has been at Penn State since receiving his Ph.D. in finance from New York University in 1997. He has also taught at the Stern School of Business, New York University.
Corporate bond illiquidity; Valuation and hedging of corporate bonds, credit default swaps, and options; Determinants of Treasury bond risk premia and real bond risk premia; TIPS and inflation risk premium; Mutual fund and hedge fund performance analysis; Anomalies
Derivatives markets, credit risk, fixed-income markets, mutual funds, and hedge funds
Han Hong, Jingzhi Huang, and Deming Wu, "The Information Content of Basel III Liquidity Risk Measures", Journal of Financial Stability, forthcoming.
Jingzhi Huang and Li Xu, "Stochastic Volatility Models for Asset Returns with Leverage, Skewness and Heavy-Tails via Scale Mixture", Quarterly Journal of Finance, 2014, 4.
Jingzhi Huang and Ying Wang, "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings", Management Science, 2014, 60, 2091-2109.
Jean Helwege, Jingzhi Huang and Yuan Wang, "Liquidity Effects in Corporate Bond Spreads", Journal of Banking and Finance, 2014, 45, 105-116.
Jngzhi Huang and Zhijian (James) Huang, "Real-Time Profitability of Published Anomalies: An Out-of-Sample Test", Quarterly Journal of Finance, 2013, 3, 135006 (33 pages).
Jingzhi Huang and Ying Wang, "Should Investors Invest in Hedge Fund-Like Mutual Funds? Evidence from the 2007 Financial Crisis", Journal of Financial Intermediation, 2013, 22, 482-512.
Olesya V. Grishchenko and Jingzhi Huang, "Inflation Risk Premium: Evidence from the TIPS Market", Journal of Fixed Income, 2013, 22, 5-30.
Jingzhi Huang and Zhaodong Zhong, "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS", Journal of Real Estate Finance and Economics, 2013, 46, 152-192.
Jingzhi Huang and Ming Huang, "How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?", Review of Asset Pricing Studies, 2012, 2, 153-202.
Jingzhi Huang and Xiongfei Zhang, "The Slope of Credit Spread Curves", Journal of Fixed Income, 2008, 18, 56-71.
Charles Cao and Jingzhi Huang, "Determinants of S&P 500 Index Option Returns", Review of Derivatives Research, 2007, 10, 1-38.
Viral Acharya, Jingzhi Huang, Marti Subrahmanyam and Rangarajan Sundaram, "When Does Strategic Debt-Service Matter?", Economic Theory, 2006, 10, pp. 363-378.
Jingzhi Huang and Liuren Wu, "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes", Journal of Finance, 2004, 59, 1405-1439.
Young Ho Eom, Jean Helwege, and Jingzhi Huang, "Structural Models of Corporate Bond Pricing: An Empirical Analysis,", Review of Financial Studies, 2004, 17, 499-544.
Bin Gao, Jingzhi Huang, and Marti Subrahmanyam, "The Valuation of American Barrier Options Using the Decomposition Technique,", Journal of Economic Dynamics and Control, 2000, 24, 1783-1827.
Jingzhi Huang, Marti Subrahmanyam, and George Yu, "Pricing and Hedging American Options: A Recursive Integration Method,", Review of Financial Studies, 1996, 9, 277-300.
Corporate bonds and other debt instruments,, Financial Times
Envisioning the future of securities analysis,, CFA Magazine
The Problem With Absolute Return Funds, Forbes Magazine
Being short apparently has its benefits , AllAboutAlpha.com
Ph.D. , Finance, New York University,
Ph.D. , Physics, Auburn University,
B.S. , Theoretical Physics, University of Science & Technology of China ,
Fin 406 , Security Analysis and Portfolio Management
Fin 561 , Theory of Valuation (PhD seminar)
Fin 597, Empirical Asset Pricing (PhD seminar)
Fin 406H, Security Analysis and Portfolio Management (Honors Section)