Lei Jiang

Tsinghua University

Associate Professor

Beijing, 100084

China

SCHOLARLY PAPERS

16

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Top 9,285

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5,425

SSRN CITATIONS
Rank 32,117

SSRN RANKINGS

Top 32,117

in Total Papers Citations

10

CROSSREF CITATIONS

13

Scholarly Papers (16)

1.

Stock Return Asymmetry: Beyond Skewness

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu, Guofu Zhou and Yifeng Zhu
Tsinghua University, Renmin University of China, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,213 (18,032)
Citation 2

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Stock return asymmetry, entropy, asset pricing

2.

Asymmetry in Stock Comovements: An Entropy Approach

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 47 Posted: 27 Aug 2014 Last Revised: 29 Jan 2020
Lei Jiang, Ke Wu and Guofu Zhou
Tsinghua University, Renmin University of China and Washington University in St. Louis - John M. Olin Business School
Downloads 1,145 (19,650)
Citation 6

Abstract:

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Asymmetric comovement, entropy, asset pricing

3.

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Management Science, Forthcoming
Number of pages: 69 Posted: 07 Nov 2013 Last Revised: 14 Oct 2019
Emory University - Department of Finance, Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 855 (30,016)
Citation 5

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Mutual funds, trading costs, fund size, portfolio characteristics, fund performance

4.

Double-Adjusted Mutual Fund Performance

Review of Asset Pricing Studies, Forthcoming
Number of pages: 64 Posted: 01 Nov 2014 Last Revised: 30 Jun 2020
Jeffrey A. Busse, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 674 (41,534)
Citation 4

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Manager skill, double-adjusted performance, factor model, stock characteristics, mutual funds

5.

Why Do Mutual Funds Hold Lottery Stocks?

Georgetown McDonough School of Business Research Paper No. 3164692
Number of pages: 57 Posted: 18 Apr 2018 Last Revised: 01 Jul 2020
Vikas Agarwal, Lei Jiang and Quan Wen
Georgia State University, Tsinghua University and Georgetown University - Department of Finance
Downloads 487 (63,094)
Citation 4

Abstract:

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lottery stocks, risk shifting, fund performance, investor flows, stock mispricing

Communication and Comovement: Evidence from Online Stock Forums

Number of pages: 59 Posted: 16 Feb 2015 Last Revised: 22 May 2018
Lei Jiang, Jinyu Liu and Baozhong Yang
Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance and Georgia State University - Robinson College of Business
Downloads 249 (133,885)
Citation 1

Abstract:

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Comovement; Asset Returns; Communication

Communication and Comovement: Evidence from Online Stock Forums

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016
Number of pages: 66 Posted: 30 Jun 2016
Lei Jiang, Jinyu Liu and Baozhong Yang
Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance and Georgia State University - Robinson College of Business
Downloads 62 (386,251)
Citation 1

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Comovement; Asset Returns; Communication

7.

Investor Attention and Asset Pricing Anomalies

Baruch College Zicklin School of Business Research Paper No. 2019-08-04
Number of pages: 59 Posted: 17 Aug 2019 Last Revised: 01 Oct 2019
Lei Jiang, Jinyu Liu, Lin Peng and Baolian Wang
Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Florida - Department of Finance, Insurance and Real Estate
Downloads 180 (182,439)

Abstract:

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investor attention; anomaly; price limit; trade imbalance

8.

Lottery Preference and Anomalies

Number of pages: 78 Posted: 04 Jun 2020 Last Revised: 08 Jun 2020
Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu
Tsinghua University, Georgetown University - Department of Finance, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 127 (243,177)

Abstract:

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Lottery preference factor, anomalies, asset pricing

9.

Mutual Fund Market Timing: Daily Evidence

Number of pages: 51 Posted: 21 Aug 2019
Jeffrey A. Busse, Jing Ding, Lei Jiang and Ke Wu
Emory University - Department of Finance, Tsinghua University, Tsinghua University and Renmin University of China
Downloads 114 (263,355)

Abstract:

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timing, mutual fund, dynamic conditional correlation model

10.

Artificial Market Timing in Mutual Funds

Number of pages: 57 Posted: 30 Apr 2020 Last Revised: 12 Jun 2020
Emory University - Department of Finance, Tsinghua University, Tsinghua University and University of Florida - Department of Finance
Downloads 71 (354,894)

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artificial market timing; mutual fund; transaction costs

11.

Bootstrap Analysis of Mutual Fund Performance

Number of pages: 77 Posted: 27 Jan 2020 Last Revised: 08 Jun 2020
J. Mack Robinson College of Business, Georgia State University, Tsinghua University, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Georgia State University - Risk Management & Insurance Department
Downloads 57 (397,135)

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Mutual fund performance,Bootstrap,Hotelling's T-squared test,Skewness

12.

A Test of General Asymmetric Dependence

Journal of Applied Econometrics, Forthcoming
Number of pages: 34 Posted: 11 May 2018 Last Revised: 24 May 2018
Tsinghua University, Emory University, Nankai University and Renmin University of China
Downloads 57 (397,135)

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Asymmetric Dependence, Kullback-Leibler Relative Entropy, Exceedance Mutual Information

13.

Testing Market Timing Ability Using Daily Mutual Fund Returns

Number of pages: 45 Posted: 18 Mar 2020 Last Revised: 18 May 2020
Jing Ding, Lei Jiang, Xiaohui Liu and Liang Peng
Tsinghua University, Tsinghua University, Jiangxi University of Finance and Economics and Georgia State University - Risk Management & Insurance Department
Downloads 42 (452,212)

Abstract:

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Coskewness, Market Timing, Mutual Fund

14.

Stochastic Dominance in Mutual Fund Returns

Georgetown McDonough School of Business Research Paper No. 3541062
Number of pages: 52 Posted: 12 Mar 2020 Last Revised: 20 May 2020
Lei Jiang, Quan Wen, Ke Wu and Mengfan Yin
Tsinghua University, Georgetown University - Department of Finance, Renmin University of China and Tsinghua University - School of Economics & Management
Downloads 37 (478,131)

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stochastic dominance, Sharpe ratio, mutual fund performance

15.

Liquidity in Cryptocurrency Market and Commonalities across Anomalies

Number of pages: 29 Posted: 23 Apr 2020 Last Revised: 07 May 2020
Central University of Finance and Economics (CUFE), Tsinghua University, University of International Business and Economics (UIBE) - School of Banking and Finance and School of Finance, Central University of Finance and Economics
Downloads 35 (482,701)

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Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies

16.

Quantifying Diseconomies Of Scale For Mutual Funds

Number of pages: 30 Posted: 01 Apr 2020 Last Revised: 08 Jul 2020
Lei Jiang, cuixia li, Ying Liao and Liang Peng
Tsinghua University, Lanzhou University, Jiangxi University of Finance and Economics - School of Statistics and Georgia State University - Risk Management & Insurance Department
Downloads 20 (566,153)

Abstract:

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Diseconomies of scale, fixed effects panel regression, mutual funds, random weighted bootstrap