Lei Jiang

Tsinghua University

Assistant Professor

Beijing, 100084

China

SCHOLARLY PAPERS

9

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4,165

CITATIONS
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Top 36,331

in Total Papers Citations

14

Scholarly Papers (9)

1.

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: 15 Jul 2017
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 1,094 (18,812)
Citation 3

Abstract:

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Asymmetric comovement, entropy, asset pricing

2.

Stock Return Asymmetry: Beyond Skewness

Number of pages: 45 Posted: 16 Sep 2015 Last Revised: 20 Apr 2018
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 1,053 (19,883)
Citation 2

Abstract:

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Stock return asymmetry, entropy, asset pricing

3.

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Number of pages: 67 Posted: 07 Nov 2013 Last Revised: 03 Aug 2019
Emory University - Department of Finance, Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 719 (34,231)
Citation 6

Abstract:

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

4.

Double-Adjusted Mutual Fund Performance

Number of pages: 75 Posted: 01 Nov 2014 Last Revised: 19 Feb 2019
Jeffrey A. Busse, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 547 (49,243)
Citation 4

Abstract:

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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 356 (83,112)

Abstract:

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

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 238 (127,236)

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 59 (362,831)

Abstract:

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Comovement; Asset Returns; Communication

7.

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 50 (386,328)

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

8.

Investor Attention and Asset Pricing Anomalies

Number of pages: 58 Posted: 17 Aug 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 41 (418,414)

Abstract:

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investor attention; anomaly; price limit; trade imbalance

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 8 (591,872)

Abstract:

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timing, mutual fund, dynamic conditional correlation model

Other Papers (1)

Total Downloads: 4
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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