Literature: authors starting with Z

Zhang and Jacobsen (2021) · The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time

Zhang, Cherry Y.; Jacobsen, Ben. Journal of International Money and Finance 110, pp. 102268. doi:10.1016/j.jimonfin.2020.102268

Using all available index data worldwide (62,962 observations), returns from November to April exceed those from May to October by 4% on average.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects · Glossary: Halloween effect

Zhang et al. (2016) · Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Zhang, Qun; Zhang, Qunzhi; Sornette, Didier. PLOS ONE 11 (11), pp. e0165819. doi:10.1371/journal.pone.0165819

Introduces DS LPPLS confidence and trust: quantile regressions over many time scales, tested on 16 historical bubbles.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Bubble indicator (LPPLS): methodology · Glossary: LPPLS confidence

Zhu (2019) · Big Data as a Governance Mechanism

Zhu, Christina. The Review of Financial Studies 32 (5), pp. 2021–2061. doi:10.1093/rfs/hhy081

Alternative data such as transaction data and satellite images lower the cost of acquiring information, make prices more informative and curb opportunistic insider trading by managers.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Alternative data

Ziobrowski et al. (2004) · Abnormal Returns from the Common Stock Investments of the U.S. Senate

Ziobrowski, Alan J.; Cheng, Ping; Boyd, James W.; Ziobrowski, Brigitte J.. Journal of Financial and Quantitative Analysis 39 (4), pp. 661–676. doi:10.1017/s0022109000003161

Purchases by US senators from 1993 to 1998 beat the market by 85 basis points a month, while their sales lagged by 12 basis points.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal

Zitzewitz (2003) · Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds

Zitzewitz, Eric. Journal of Law, Economics, and Organization 19 (2), pp. 245–280. doi:10.1093/jleo/19.2.245

Funds calculate their net asset value from stale prices; arbitrage on predictable daily returns dilutes long-term investors.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: Fair value pricing

Zuckerman (2019) · The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

Zuckerman, Gregory. Portfolio/Penguin.

A biography of Jim Simons and Renaissance Technologies, whose Medallion Fund trades on mathematical models and statistical patterns.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons