Details about Xiaoyan Zhang

Access statistics for papers by Xiaoyan Zhang.

Last updated 2024-04-13. Update your information in the RePEc Author Service.

Short-id: pzh588

Working Papers

2023

1. Finding Anomalies in China
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (5)
2. The International Commonality of Idiosyncratic Variances
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2010

3. Aggregate Idiosyncratic Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (13)
   See also Journal Article Aggregate Idiosyncratic Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2012) View citations (83) (2012)

2008

4. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
   See also Journal Article High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics, Elsevier (2009) View citations (502) (2009)
5. International stock return comovements
   Working Paper Series, European Central Bank View citations (24)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (21)
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) View citations (20)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (6)
   See also Journal Article International Stock Return Comovements, Journal of Finance, American Finance Association (2009) View citations (347) (2009)

2006

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

2004

7. The Cross-Section of Volatility and Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
   See also Journal Article The Cross‐Section of Volatility and Expected Returns, Journal of Finance, American Finance Association (2006) View citations (1396) (2006)

2002

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

2000

9. Evaluating the Specification Errors of Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Evaluating the specification errors of asset pricing models, Journal of Financial Economics, Elsevier (2001) View citations (89) (2001)

1997

10. 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
   The Review of Financial Studies, 2022, 35, (5), 2428-2463 View citations (12)

2021

2. Government Affiliation and Peer-To-Peer Lending Platforms in China
   Journal of Empirical Finance, 2021, 62, (C), 87-106 View citations (14)
3. Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation
   Management Science, 2021, 67, (5), 2751-2772 View citations (3)
4. Tracking Retail Investor Activity
   Journal of Finance, 2021, 76, (5), 2249-2305 View citations (89)

2020

5. Potential pilot problems: Treatment spillovers in financial regulatory experiments
   Journal of Financial Economics, 2020, 135, (1), 68-87 View citations (15)
6. What Do Short Sellers Know?*
   Review of Finance, 2020, 24, (6), 1203-1235 View citations (23)

2018

7. Anticipating Uncertainty: Straddles around Earnings Announcements
   Journal of Financial and Quantitative Analysis, 2018, 53, (6), 2587-2617 View citations (7)

2016

8. Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework
   Journal of Financial and Quantitative Analysis, 2016, 51, (1), 231-257 View citations (5)
9. The information content of the sentiment index
   Journal of Banking & Finance, 2016, 62, (C), 164-179 View citations (48)

2013

10. Shackling Short Sellers: The 2008 Shorting Ban
    The Review of Financial Studies, 2013, 26, (6), 1363-1400 View citations (168)

2012

11. Aggregate Idiosyncratic Volatility
    Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 View citations (83)
    See also Working Paper Aggregate Idiosyncratic Volatility, CEPR Discussion Papers (2010) View citations (12) (2010)
12. Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims
    Journal of Empirical Finance, 2012, 19, (1), 65-78 View citations (4)

2011

13. Investing in Talents: Manager Characteristics and Hedge Fund Performances
    Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 View citations (63)

2010

14. Evaluating asset pricing models using the second Hansen-Jagannathan distance
    Journal of Financial Economics, 2010, 97, (2), 279-301 View citations (19)
15. What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
    Journal of Financial and Quantitative Analysis, 2010, 45, (3), 641-662 View citations (273)

2009

16. High idiosyncratic volatility and low returns: International and further U.S. evidence
    Journal of Financial Economics, 2009, 91, (1), 1-23 View citations (502)
    See also Working Paper High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence, NBER Working Papers (2008) View citations (23) (2008)
17. International Stock Return Comovements
    Journal of Finance, 2009, 64, (6), 2591-2626 View citations (347)
    See also Working Paper International stock return comovements, Working Paper Series (2008) View citations (24) (2008)

2008

18. Which Shorts Are Informed?
    Journal of Finance, 2008, 63, (2), 491-527 View citations (355)

2006

19. Specification tests of international asset pricing models
    Journal of International Money and Finance, 2006, 25, (2), 275-307 View citations (37)
20. The Cross‐Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 View citations (1396)
    See also Working Paper The Cross-Section of Volatility and Expected Returns, NBER Working Papers (2004) View citations (15) (2004)

2001

21. Evaluating the specification errors of asset pricing models
    Journal of Financial Economics, 2001, 62, (2), 327-376 View citations (89)
    See also Working Paper Evaluating the Specification Errors of Asset Pricing Models, NBER Working Papers (2000) View citations (6) (2000)