Details about Xiaoyan Zhang

Access statistics for papers by Xiaoyan Zhang.

Last updated 2014-12-05. Update your information in the RePEc Author Service.

Short-id: pzh588

Working Papers

2010

1. 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 in Journal of Financial and Quantitative Analysis (2012)

2008

2. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
   See also Journal Article in Journal of Financial Economics (2009)

2006

3. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
   Staff Reports, Federal Reserve Bank of New York View citations (3)
4. International Stock Return Comovements
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (22)
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2005) View citations (21)
   See also Journal Article in Journal of Finance (2009)

2004

5. The Cross-Section of Volatility and Expected Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
   See also Journal Article in Journal of Finance (2006)

2002

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

2000

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

1997

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

Journal Articles

2013

1. Shackling Short Sellers: The 2008 Shorting Ban
   Review of Financial Studies, 2013, 26, (6), 1363-1400 View citations (125)

2012

2. Aggregate Idiosyncratic Volatility
   Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 View citations (66)
   See also Working Paper (2010)
3. 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

4. Investing in Talents: Manager Characteristics and Hedge Fund Performances
   Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 View citations (48)

2010

5. Evaluating asset pricing models using the second Hansen-Jagannathan distance
   Journal of Financial Economics, 2010, 97, (2), 279-301 View citations (18)
6. 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 (226)

2009

7. High idiosyncratic volatility and low returns: International and further U.S. evidence
   Journal of Financial Economics, 2009, 91, (1), 1-23 View citations (416)
   See also Working Paper (2008)
8. International Stock Return Comovements
   Journal of Finance, 2009, 64, (6), 2591-2626 View citations (270)
   See also Working Paper (2006)

2008

9. Which Shorts Are Informed?
   Journal of Finance, 2008, 63, (2), 491-527 View citations (288)

2007

10. Stochastic resonance in an asymmetric bistable system with coloured noises and periodic rectangular signal
    Physica A: Statistical Mechanics and its Applications, 2007, 385, (1), 95-104 View citations (1)

2006

11. Specification tests of international asset pricing models
    Journal of International Money and Finance, 2006, 25, (2), 275-307 View citations (32)
12. The Cross‐Section of Volatility and Expected Returns
    Journal of Finance, 2006, 61, (1), 259-299 View citations (1153)
    See also Working Paper (2004)

2001

13. Evaluating the specification errors of asset pricing models
    Journal of Financial Economics, 2001, 62, (2), 327-376 View citations (86)
    See also Working Paper (2000)