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
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Working Papers
2010
- 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
- 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
- Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
Staff Reports, Federal Reserve Bank of New York View citations (3)
- 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
- 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
- Pricing the Global Industry Portfolios
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
2000
- 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
- Mutual Funds and Stock and Bond Market Stability
Working Papers, Columbia - Graduate School of Business
Journal Articles
2013
- Shackling Short Sellers: The 2008 Shorting Ban
Review of Financial Studies, 2013, 26, (6), 1363-1400 View citations (125)
2012
- Aggregate Idiosyncratic Volatility
Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1155-1185 View citations (66)
See also Working Paper (2010)
- 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
- Investing in Talents: Manager Characteristics and Hedge Fund Performances
Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 View citations (48)
2010
- Evaluating asset pricing models using the second Hansen-Jagannathan distance
Journal of Financial Economics, 2010, 97, (2), 279-301 View citations (18)
- 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
- 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)
- International Stock Return Comovements
Journal of Finance, 2009, 64, (6), 2591-2626 View citations (270)
See also Working Paper (2006)
2008
- Which Shorts Are Informed?
Journal of Finance, 2008, 63, (2), 491-527 View citations (288)
2007
- 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
- Specification tests of international asset pricing models
Journal of International Money and Finance, 2006, 25, (2), 275-307 View citations (32)
- 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
- 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)
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