Lei Jiang

Tsinghua University

Assistant Professor

Beijing, 100084

China

  • Tsinghua University

SCHOLARLY PAPERS

10

DOWNLOADS
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SSRN RANKINGS

Top 10,328

in Total Papers Downloads

4,686

SSRN CITATIONS
Rank 32,480

SSRN RANKINGS

Top 32,480

in Total Papers Citations

7

CROSSREF CITATIONS

13

Scholarly Papers (10)

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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 1,130 (18,809)
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 1,119 (19,080)
Citation 5

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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
Jeffrey A. Busse, Tarun Chordia, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 768 (32,902)
Citation 3

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

4.

Double-Adjusted Mutual Fund Performance

Number of pages: 72 Posted: 01 Nov 2014 Last Revised: 25 Nov 2019
Jeffrey A. Busse, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 616 (44,260)
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: 58 Posted: 18 Apr 2018 Last Revised: 11 May 2019
Vikas Agarwal, Lei Jiang and Quan Wen
Georgia State University, Tsinghua University and Georgetown University - Department of Finance
Downloads 426 (70,211)
Citation 4

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lottery stocks, agency problems, risk shifting, performance, investor flows

6.

Communication and Comovement: Evidence from Online Stock Forums

Downloads 306 (102,490)
Citation 1

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 244 (129,640)
Citation 1

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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 (368,521)

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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 152 (200,544)

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investor attention; anomaly; price limit; trade imbalance

8.

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 86 (302,647)

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timing, mutual fund, dynamic conditional correlation model

9.

A Test of General Asymmetric Dependence

Journal of Applied Econometrics, Forthcoming
Number of pages: 34 Posted: 11 May 2018 Last Revised: 24 May 2018
Lei Jiang, Esfandiar Maasoumi, Jiening Pan and Ke Wu
Tsinghua University, Emory University, Nankai University and Renmin University of China
Downloads 56 (382,224)

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

10.

Identify Skilled and Unskilled Mutual Funds

Number of pages: 55 Posted: 27 Jan 2020
Haitao Huang, Lei Jiang, Xuan Leng and Liang Peng
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 27 (499,883)

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Bootstrap, Edgeworth expansion, Hotelling's T-squared test, Mutual fund

Other Papers (1)

Total Downloads: 4
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1.

Experiments on Electronic Double Auctions and Abnormal Trades

Number of pages: 41 Posted: 21 Oct 2016
Lucy F. Ackert, Lei Jiang and Li Qi
Kennesaw State University - Michael J. Coles College of Business, Tsinghua University and Agnes Scott College
Downloads 4

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