Lei Jiang

Tsinghua University

Associate Professor

Beijing, 100084

China

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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SSRN RANKINGS

Top 25,749

in Total Papers Citations

21

CROSSREF CITATIONS

16

Scholarly Papers (18)

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 1,466 (15,997)
Citation 3

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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 1,202 (21,570)
Citation 9

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 966 (29,596)
Citation 9

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

4.

Why Do Mutual Funds Hold Lottery Stocks?

Georgetown McDonough School of Business Research Paper No. 3164692, Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 56 Posted: 18 Apr 2018 Last Revised: 07 Oct 2020
Vikas Agarwal, Lei Jiang and Quan Wen
Georgia State University, Tsinghua University and Georgetown University - Department of Finance
Downloads 781 (39,755)
Citation 5

Abstract:

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

5.

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 770 (40,540)
Citation 7

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

6.

Lottery Preference and Anomalies

Number of pages: 81 Posted: 04 Jun 2020 Last Revised: 03 Aug 2021
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 632 (52,783)

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Lottery preference factor, anomalies, asset pricing

7.

Investor Attention and Asset Pricing Anomalies

Baruch College Zicklin School of Business Research Paper No. 2019-08-04
Number of pages: 62 Posted: 17 Aug 2019 Last Revised: 30 Aug 2021
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 333 (113,623)
Citation 1

Abstract:

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investor attention; anomaly; price limit; coordination; synchronicity risk

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 267 (142,863)

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 66 (422,520)
Citation 1

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Comovement; Asset Returns; Communication

9.

Bootstrap Analysis of Mutual Fund Performance

Number of pages: 81 Posted: 27 Jan 2020 Last Revised: 13 May 2021
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 212 (179,368)

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

10.

Dynamic Market Timing in Mutual Funds

Number of pages: 67 Posted: 21 Aug 2019 Last Revised: 19 Aug 2021
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 156 (234,946)
Citation 1

Abstract:

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Mutual Funds, Market Timing, Dynamic Conditional Correlation

11.

Liquidity in Cryptocurrency Market and Commonalities across Anomalies

Number of pages: 31 Posted: 23 Apr 2020 Last Revised: 01 Sep 2021
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 148 (245,376)
Citation 1

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Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies

12.

Artificial Market Timing in Mutual Funds

Number of pages: 60 Posted: 30 Apr 2020 Last Revised: 02 Sep 2021
Emory University - Department of Finance, Tsinghua University, Tsinghua University and University of Florida - Department of Finance
Downloads 123 (283,013)

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Feedback trading, mutual funds, artificial timing, transaction costs

13.

Nonparametric Tests For Market Timing Ability Using Daily Mutual Fund Returns

Number of pages: 48 Posted: 18 Mar 2020 Last Revised: 29 Sep 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 100 (326,678)
Citation 3

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Coskewness, Market Timing, Mutual Fund

14.

On Testing Time Series Momentum Using Predictive Regressions

Number of pages: 39 Posted: 07 Nov 2020
Tsinghua University, Georgia State University - Risk Management & Insurance Department, Auburn University - Department of Finance and Sun Yat-Sen Univeristy
Downloads 74 (395,091)

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Time Series Momentum, Log-returns, Return Predictability, Predictive Regression

15.

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 73 (395,091)

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stochastic dominance, Sharpe ratio, mutual fund performance

16.

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 65 (420,392)

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

17.

Quantifying Diseconomies Of Scale For Mutual Funds

Number of pages: 38 Posted: 01 Apr 2020 Last Revised: 18 Sep 2020
Lei Jiang, cuixia li, Ying Liao and Liang Peng
Tsinghua University, Xuzhou University of Technology, Jiangxi University of Finance and Economics - School of Statistics and Georgia State University - Risk Management & Insurance Department
Downloads 36 (539,224)

Abstract:

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Diseconomies of scale, fixed effects panel regression, mutual funds

18.

Asset Pricing Tests with Mimicking Portfolios

Number of pages: 37 Posted: 25 Sep 2015
Lei Jiang, Raymond Kan and Zhaoguo Zhan
Tsinghua University, University of Toronto - Rotman School of Management and Kennesaw State University
Downloads 23 (616,364)

Abstract:

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asset pricing; risk factors; mimicking portfolios; estimation error; risk premia; standard error