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Fan Longzhen
Professor
Department of Finance
Room 202, Siyuan Building
25011093(TEL)
65648384(FAX)
lzfan@fudan.edu.cn
Research Field:Asset Pricing, Fixed Income Securities, Empirical Study of Capital Markets
Educational Background
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Ph.D,
Managerial Engineering,
Huazhong University of Science and Technology
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Academic Background
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2011.02--2012.01,
Visiting Scholar,
Washington Uniersity in St. Louis, USA
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2009.07--2009.08,
Visiting Scholar,
The Hong Kong University of Science & Technology, HK
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2005.07--2005.08,
Visiting Scholar,
The Hong Kong University of Science & Technology, HK
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2004.08--2004.10,
Visiting Scholar,
The Hong Kong University of Science & Technology, HK
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2002.10--2002.11,
Visiting Scholar,
Rissho University, Japan
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1999.01--1999.06,
Visiting Scholar,
MIT Sloan School of Management, USA
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Awards on Research
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2010.12,
Award of Shanghai Outstanding Achievements in Philosophy and Social Science for Paper Category,
Third Prize
The Committee of Award of Shanghai Outstanding Achievements in Philosophy and Social Science
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2005.11,
Fudan University Forward Faculty Scholarship for Outstanding Social Science Research Individual Award,
Fudan University
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Awards on Teaching
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Third Prize of Shanghai Teaching Award,
Shanghai Municipal Education Commission
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Title of Honour
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2006.01,
Supported by Program for New Century Excellent Talents in University,
Ministry of Education
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Journal Papers
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1.
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Fan, Longzhen, Bill Hu, and Christine Jiang. 2012. Pricing and information content of block trades on the Shanghai stock exchange. Pacific-Basin Finance Journal 20(3) 378-397. 
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2.
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Fan, Longzhen, Shu Tian, and Chu Zhang. 2012. Why are excess returns on China's treasury bonds so predictable? The role of the monetary system. Journal of Banking and Finance 36(1) 239-248.
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3.
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Fan, Longzhen, Yihong Yu, and Chu Zhang. 2011. An empirical evaluation of China's monetary policies. Journal of Macroeconomics 33(2) 358-371.
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4.
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Longzhen Fan, Anders C. Johansson. 2010. China's Official Rates and Bond Yields. Journal of Banking & Finance Vol.34(5) 996-1007.
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5.
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Longzhen Fan, Chu Zhang. 2007. Beyond Segmentation:the Case of China's Repo Markets. Journal of Banking & Finance vol.31 939-954.
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6.
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FAN Longzhen, ZHANG Chu. 2006. The Chinese Interbank Repo Market: An Analysis of Term Premiums. Journal of Futures Markets 26(2) 153-167.
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7.
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Fan, Longzhen and Nanyan Cheng. 2011. Interest rate model with jump-mean reverting stochastic mean . Journal of Systems Engineering 26(3) 298-305. (in Chinese)
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8.
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Yao, Hui and Longzhen Fan. 2011. Dynamic model of futures price under jump behavior of oil price and its empirical analysis. Journal of Systems Engineering 26(2) 181-187. (in Chinese)
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9.
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Longzhen Fan. 2010. Generalized Vasicek Model with Jump Type One-year Deposit Rate as State Variable. Journal of Management Sciences in China vol.13(10) 69-78. (in Chinese)
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10.
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Longzhen Fan. 2010. Generalized Vasicek Model with Stochastic Jump Mean. Journal of Systems Engineering vol.25(4) 467-472. (in Chinese)
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11.
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Longzhen Fan, Chu Zhang. 2009. Explanation of Macro Economic Variables on Bond Risk Premia in China. Journal of Management Sciences in China Vol.12(6) 116-124. (in Chinese)
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12.
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FAN Longzhen. 2007. Empirical Study on Short Interest Rate Model in the SSE Bond Market. Journal of Management Science in China 80-89. (in Chinese)
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13.
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FAN Longzhen. 2007. Explaining the Behavior of the Term Structure of Repo Rate in the Inter-bank Market with Interest Rate Models. Journal of Systems and Engineering 27-34. (in Chinese)
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14.
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FAN Longzhen, SHI Ting. 2006. Risk Premium of Term Structure of Repo Rates in the SSE. Systems Engineering Theory, Methodology and application 359-363, 372. (in Chinese)
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15.
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ZHU Caimin, FAN Longzhen. 2006. Liquidity and Repo Rates in the SSE. Journal of Shanghai Management Science 34-37. (in Chinese)
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16.
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FAN Longzhen, ZHANG Guoqing. 2005. Empirical Study on Market Interest Rate in the SSE with Two-factor CIR Model. Journal of Systems and Engineering 447-453. (in Chinese)
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17.
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FAN Longzhen, ZHANG Guoqing. 2005. Affine Model, Essential Affine Model and Term Structure of Interest Rates in the SSE. Journal of Industrial Engineering and Engineering Management 97-101. (in Chinese)
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18.
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FAN Longzhen. 2005. Study on Term Structure of Interest Rates with Three-factor Essential Gaussian Affine Model. Journal of Industrial Engineering and Engineering Management 81-86. (in Chinese)
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19.
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FAN Longzhen. 2004. Empirical Study on Two-factor Essential Affine Model in the SSE. Journal of Systems and Engineering 638-642. (in Chinese)
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20.
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FAN Longzhen, SAN Yaowen. 2004. Trading Volume, A-share Ratio, Momentum, and Three-factor Model. Journal of Management Science in China 7(3) 13-22. (in Chinese)
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21.
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FAN Longzhen, WANG Haitao. 2004. Industry and District Effect in Chinese Stock Market. Journal of Industrial Engineering and Engineering Management 117-119. (in Chinese)
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22.
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FAN Longzhen, WANG Xiaoli. 2004. Interest Yield Curve and Information Value in the SSE. Journal of Industrial Engineering and Engineering Management 72-75. (in Chinese)
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23.
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FAN Longzhen, WANG Haitao. 2003. Factors that Explain Stock Returns in the SSE. Journal of Management Science in China 60-67. (in Chinese)
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24.
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FAN Longzhen, YU Shidian. 2002. Three- Factor Model in Chinese Stock Market. Journal of Systems and Engineering 537-546. (in Chinese)
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25.
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FAN Longzhen, HU Wei. 2001. Predictability of Stock Prices in the Shenzhen Stock Market. Journal of Systems and Engineering 475-480. (in Chinese)
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26.
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CHEN Chen, FAN Longzhen, YE Feng. 2001. Index Portfolio Constructing with Clustering and MTV. Journal of Industrial Engineering and Engineering Management 23-27. (in Chinese)
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27.
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YE Feng, FAN Longzhen, CHEN Chen. 2001. Compound Derivative: Japanese New Wave Fund Pricing Model. Journal of Industrial Engineering and Engineering Management 31-33. (in Chinese)
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28.
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YE Feng, FAN Longzhen. 2001. Predictability of Exchange Rate. Journal of Industrial Engineering and Engineering Management 42-45. (in Chinese)
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29.
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FAN Longzhen, CHEN Chen. 2001. Event Study on Listing of Transferred Shares. Journal of Fudan University (natural science) 220-227. (in Chinese)
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Conference Proceedings
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1.
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FAN Long-Zhen LI Wan-Jun. 2008. The Factors that Affect Market Interest Rates in Chinese Bond Market. IEEE 1-5.
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2.
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Fan, Longzhen. 2007. Official Interest Rate and Bond Excessreturn in Chinese Bond Market. .
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3.
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FAN Longzhen, LIU Qiwen. 2007. Relation between Interest Rate Difference and Trading Volume Difference in Chinese Inter-bank Money Market. Proceedings of 6th Conference on SMC 260-266.
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4.
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FAN Longzhen. 2005. Modeling Risk Premium of Repo Interest Rate in the SSE. Proceedings of the Fourth International Conference on Machine Learning and Cybernetics, (Guang Zhou) 3463-3468.
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5.
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LAO Lanjun, FAN Longzhen. 2004. A Hierarchical Strategy for Active Portfolio Management Considering Transaction Costs. .
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6.
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FAN Longzhen, LAO Lanjun. 2004. An Empirical Comparison of Alternative Models of Short Interest Rate With Repo Rate in The Inter-Bank Market of China. Proceedings of the International Conference on Machine Learning and Cybernetics,(Shanghai )2004.8 2736-2742.
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Teaching Materials, etc.
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FAN Longzhen.
2005.
Investments.
Shanghai University of Economics and Finance Press,
Shanghai. (in Chinese)
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FAN Longzhen, HU Wei.
2003.
Financial Engineering .
Shanghai People's Publishing House,
Shanghai. (in Chinese)
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Research Projects
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2012.10—2014.09,
Principal Investigator,
Chinese Bond Yield and Return Risk Relation,
Shanghai Pujiang Program
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2010.01—2012.12,
Director,
Yield Curve Modeling and Bond Pricing under the Effect of Official Interest Rates ,
National Natural Science Fundation
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2005.05—2007.12,
Principal Investigator,
Pricing Models for Correlated and Segmented Bond Market in China,
National Natural Science Foundation of China
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Academic Posts
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2000.01—2015.12,
Editorial Member ,
the Journal of Systems and Engineering
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