EconPapers    
Economics at your fingertips  
 

Details about Xiaoyan Zhang

Workplace:PBC School of Finance, Tsinghua University, (more information at EDIRC)

Access statistics for papers by Xiaoyan Zhang.

Last updated 2024-01-14. Update your information in the RePEc Author Service.

Short-id: pzh588


Jump to Journal Articles

Working Papers

2023

  1. Finding Anomalies in China
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics Downloads
  2. The International Commonality of Idiosyncratic Variances
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2010

  1. Aggregate Idiosyncratic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (13)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)

2008

  1. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    See also Journal Article in Journal of Financial Economics (2009)
  2. International stock return comovements
    Working Paper Series, European Central Bank Downloads View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (21)
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) Downloads View citations (20)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (6)

    See also Journal Article in Journal of Finance (2009)

2006

  1. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)

2004

  1. The Cross-Section of Volatility and Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article in Journal of Finance (2006)

2002

  1. Pricing the Global Industry Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

2000

  1. Evaluating the Specification Errors of Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Journal of Financial Economics (2001)

1997

  1. Mutual Funds and Stock and Bond Market Stability
    Working Papers, Columbia - Graduate School of Business

Journal Articles

2022

  1. Can Shorts Predict Returns? A Global Perspective
    Review of Financial Studies, 2022, 35, (5), 2428-2463 Downloads View citations (2)

2021

  1. Government Affiliation and Peer-To-Peer Lending Platforms in China
    Journal of Empirical Finance, 2021, 62, (C), 87-106 Downloads View citations (9)
  2. Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation
    Management Science, 2021, 67, (5), 2751-2772 Downloads View citations (1)
  3. Tracking Retail Investor Activity
    Journal of Finance, 2021, 76, (5), 2249-2305 Downloads View citations (42)

2020

  1. Potential pilot problems: Treatment spillovers in financial regulatory experiments
    Journal of Financial Economics, 2020, 135, (1), 68-87 Downloads View citations (11)
  2. What Do Short Sellers Know?*
    Review of Finance, 2020, 24, (6), 1203-1235 Downloads View citations (13)

2018

  1. Anticipating Uncertainty: Straddles around Earnings Announcements
    Journal of Financial and Quantitative Analysis, 2018, 53, (6), 2587-2617 Downloads View citations (5)

2016

  1. Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework
    Journal of Financial and Quantitative Analysis, 2016, 51, (1), 231-257 Downloads View citations (4)
  2. The information content of the sentiment index
    Journal of Banking & Finance, 2016, 62, (C), 164-179 Downloads View citations (39)

2013

  1. Shackling Short Sellers: The 2008 Shorting Ban
    Review of Financial Studies, 2013, 26, (6), 1363-1400 Downloads View citations (146)

2012

  1. Aggregate Idiosyncratic Volatility
    Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 Downloads View citations (72)
    See also Working Paper (2010)
  2. Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims
    Journal of Empirical Finance, 2012, 19, (1), 65-78 Downloads View citations (4)

2011

  1. Investing in Talents: Manager Characteristics and Hedge Fund Performances
    Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 Downloads View citations (54)

2010

  1. Evaluating asset pricing models using the second Hansen-Jagannathan distance
    Journal of Financial Economics, 2010, 97, (2), 279-301 Downloads View citations (18)
  2. What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
    Journal of Financial and Quantitative Analysis, 2010, 45, (3), 641-662 Downloads View citations (247)

2009

  1. High idiosyncratic volatility and low returns: International and further U.S. evidence
    Journal of Financial Economics, 2009, 91, (1), 1-23 Downloads View citations (456)
    See also Working Paper (2008)
  2. International Stock Return Comovements
    Journal of Finance, 2009, 64, (6), 2591-2626 Downloads View citations (311)
    See also Working Paper (2008)

2008

  1. Which Shorts Are Informed?
    Journal of Finance, 2008, 63, (2), 491-527 Downloads View citations (305)

2006

  1. Specification tests of international asset pricing models
    Journal of International Money and Finance, 2006, 25, (2), 275-307 Downloads View citations (34)
  2. The Cross‐Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 Downloads View citations (1245)
    See also Working Paper (2004)

2001

  1. Evaluating the specification errors of asset pricing models
    Journal of Financial Economics, 2001, 62, (2), 327-376 Downloads View citations (88)
    See also Working Paper (2000)
 
Page updated 2024-02-17