Zhengzi (Sophia) Li

Sophia Zhengzi Li is an assistant professor of finance at Rutgers Business School. She previously taught at Michigan State University before joining Rutgers. Her main research areas are empirical asset pricing, financial econometrics, big data, and machine learning, and her research interests include volatility, intraday analysis, return prediction, tail risk, news, disagreement, and shareholder voting.

She received the 2022 Rutgers Business School Junior Faculty Research Award, the Best Paper Award at the 2018 Triple Crown Conference, and the First Prize of 2012 Morgan Stanley Prize for Excellence in Financial Markets. Her work has been published in leading academic journals, including the Review of Financial Studies, Journal of Financial Economics, Journal of Finance and Quantitative Analysis, and Journal of Econometrics. Her work has been presented at NBER Summer Institute, NBER-NSF Time Series Conference, American Finance Association, European Finance Association, and SFS Cavalcade North America.