Tengjia (Jasmine) Shu
I am Tengjia (Jasmine) Shu, a Ph.D. candidate in finance at University of Iowa Tippie College of Business.Â
My main research interests are investment, asset pricing, machine learning, and financial econometrics.
I will join University of Illinois Chicago in August, 2023.
tengjia-shu [at] {uiowa.edu}Â Â Â Â Â
Education
University of Iowa, Iowa City, IA
Ph.D in Finance, expected 2023
Central University of Finance and Economics, Beijing, China
M.S in Applied Statistics, 2018
Central University of Finance and Economics, Beijing, China
B.S in Statistics, 2016
Research
[1] From Stock Return Predictability to Mutual Fund Performance: A Machine Learning Approach (Job market paper)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4222472
Presentations:Â University of Iowa, Loyola Univeristy Chicago, San Deigo State University, New Jersey Institute of Technology, Central University of Finance and Economics, The University of Queensland, University of Illinois Chicago
[2] Identifying Signals of the Cross Section of Stock Returns: A Bayesian-based Machine Learning Approach (with Ashish Tiwari)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3898282
Presentations:Â 2021 SoFiE, 2021 FMA, 2021 EEA-ESEM, University of Iowa
Awards: The 3rd Prize at 2021 Chicago Quantitative Alliance (CQA) Academic Competition
                Semi-finalist of Best Paper Award, 2021 FMA
                2020 Best Paper Award, Department of Finance, Tippie College of Business, Univeristy of Iowa
[3] Evaluating Hedge Funds with Machine Learning-Based Benchmarks (with Ashish Tiwari)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4215002
Presentations: Lehigh University*, 2022 FMA
Awards: Semi-finalist of Best Paper Award, 2022 FMA
[4] The Wall and Wall Street (with Wei Li and Tong Yao)
Presentations:Â University of Iowa
Awards: 2021 Best Paper Award, Department of Finance, Tippie College of Business, Univeristy of Iowa
Publications (pre-PhD, Peer Reviewed)
[1] Common idiosyncratic volatility and returns: From an investment horizon perspective, International Journal of Finance & Economics  (with Libo Yin and Zhi Su). 24.1 (2019): 370-390.
https://onlinelibrary.wiley.com/doi/abs/10.1002/ijfe.1668
[2] The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China, Physica A: Statistical Mechanics and its Applications  (with Libo Yin and Zhi Su). 497 (2018): 218-235.
https://www.sciencedirect.com/science/article/abs/pii/S0378437118300049
Conference & Seminar Presentations
2022
Financial Management Association (FMA) Annual MeetingÂ
Lehigh University*
University of Iowa
2021
Financial Management Association (FMA) Annual Meeting
Chicago Quantitative Alliance (CQA) Academic Competition (the 3rd prize)
EEA-ESEM (European Economic Association)Â
Thirteenth Annual SoFiE Conference
University of Iowa (X2)
Professional Activities
Ad Hoc Reviewer
Journal of Empirical Finance
Physica A: Statistical Mechanics and its Applications
Discussant
2021 FMA Annual Meeting
Teachings as Independent Instructor
FIN:3200 Investment Management
Spring 2023, Summer 2022, Spring 2022, Fall 2021