Jingzhi Huang

Professor of Finance , David H. McKinley Professor of Business , Professor of Mathematics (Courtesy Appointment)
Department: Finance
Office: 350 Business Building
Phone: 814-863-3566
Fax: 814-865-3362
E-mail: jxh56@psu.edu
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.

Current Research

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

Publication List

Jean Helwege, Jingzhi Huang, and Yuan Wang, "Debt Covenants and Cross-Sectional Equity Returns", Management Science (forthcoming), 2015,

Jingzhi Huang, Marco Rossi, and Yuan Wang, "Sentiment and Corporate Bond Valuations Before and after the Onset of the Credit Crisis", Journal of Fixed Income, Summer 2015, 25, 34-57.

Han Hong, Jingzhi Huang, and Deming Wu, "The Information Content of Basel III Liquidity Risk Measures", Journal of Financial Stability, 2014, 15, 91-111.

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, 1450011 (31 pages).

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.

Jingzhi Huang and Weipeng Kong, "Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes", Journal of Derivatives, Fall 2003, 11, 30-44.

Ren-Raw Chen and Jingzhi Huang, "A Note on Forward Price and Forward Measure", Review of Quantitative Finance and Accounting, 2002, 19, 261-272.

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.

Media Mention

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

SEC Investment Company Act Release No. 31300; 812-14116,  U.S. Securities and Exchange Commission

REITs Belong in Every Investor’s Portfolio,  REIT

Broken Links? Assessing the Efficiency of TIPS Markets,  Galliard Capital Management

Duff & Phelps Client Alert,  Duff & Phelps


Asia-Paci fic Journal of Financial Studies (AE)

China Finance Review (AE)

Journal of Credit Risk (AE)

Journal of Finance and Data Science (AE)

Quarterly Journal of Finance (AE)

Quarterly Journal of Finance and Accounting (AE)

Journal of Fixed-Income (Guest editor of a special issue in 2013)

Journal of Risk and Financial Management (Guest editor of a special issue on Credit Risk in 2015-16)


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)