Tengjia (Jasmine) Shu


I am Tengjia (Jasmine) Shu, a Ph.D. candidate in finance at University of Iowa Tippie College of Business.

I am on the 2022/2023 job market.

My main research interests are investment, asset pricing, machine learning, and financial engineering.



tengjia-shu [at] {uiowa.edu}

Curriculum Vitae | SSRN | Google Scholar


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: University of Iowa


[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: 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 (scheduled)

Awards: Semi-finalist of Best Paper Award, 2022 FMA


[4] The Wall and Wall Street (with Wei Li and Tong Yao)

Presentations: 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 Meeting (scheduled)

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)

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

Summer 2022, Spring 2022, Fall 2021