Author Page for Lei Jiang

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:

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:

3.

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Number of pages: 67 Posted: 07 Nov 2013 Last Revised: 03 Aug 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 719 (34,231)

Citation 6

Abstract:

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:

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:

6.

Communication and Comovement: Evidence from Online Stock Forums

Downloads 297 (101,337)

2

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:

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:

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

Lei Jiang, Esfandiar Maasoumi, Jiening Pan and Ke Wu

Tsinghua University, Emory University, Nankai University and Renmin University of China

Downloads 50 (386,328)

Abstract:

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:

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)

Lei Jiang

Tsinghua University

Assistant Professor

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Scholarly Papers (9)

Asymmetry in Stock Comovements: An Entropy Approach

Abstract:

Stock Return Asymmetry: Beyond Skewness

Abstract:

Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Abstract:

Double-Adjusted Mutual Fund Performance

Abstract:

Why Do Mutual Funds Hold Lottery Stocks?

Abstract:

Communication and Comovement: Evidence from Online Stock Forums

Communication and Comovement: Evidence from Online Stock Forums

Abstract:

Communication and Comovement: Evidence from Online Stock Forums

Abstract:

A Test of General Asymmetric Dependence

Abstract:

Investor Attention and Asset Pricing Anomalies

Abstract:

Mutual Fund Market Timing: Daily Evidence

Abstract:

Other Papers (1)

Experiments on Electronic Double Auctions and Abnormal Trades

Abstract: