Lei Jiang

Tsinghua University

Associate Professor

Beijing, 100084

China

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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Top 9,891

in Total Papers Citations

140

CROSSREF CITATIONS

14

Scholarly Papers (19)

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 1,885 (15,542)
Citation 20

Abstract:

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Stock return asymmetry, entropy, asset pricing

2.

Lottery Preference and Anomalies

Number of pages: 89 Posted: 04 Jun 2020 Last Revised: 06 Feb 2023
Lei Jiang, Quan Wen, Guofu Zhou and Yifeng Zhu
Tsinghua University, McDonough School of Business, Georgetown University, Washington University in St. Louis - John M. Olin Business School and School of Finance, Central University of Finance and Economics
Downloads 1,356 (25,683)

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Lottery preference factor, anomalies, partial least square (PLS)

3.

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 1,315 (26,782)
Citation 17

Abstract:

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Asymmetric comovement, entropy, asset pricing

4.

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 1,176 (31,616)
Citation 26

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

5.

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 McDonough School of Business, Georgetown University
Downloads 1,039 (37,740)
Citation 32

Abstract:

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

6.

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 910 (45,372)
Citation 15

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

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: 01 Sep 2022
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 729 (61,269)
Citation 13

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

8.

Bootstrap Analysis of Mutual Fund Performance

Journal of Econometrics, Forthcoming
Number of pages: 70 Posted: 27 Jan 2020 Last Revised: 22 Apr 2022
Nankai University - School of Finance, Tsinghua University, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Georgia State University - Risk Management & Insurance Department
Downloads 431 (117,800)
Citation 1

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

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 306 (170,481)
Citation 2

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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 93 (477,854)
Citation 1

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Comovement; Asset Returns; Communication

10.

Dynamic Market Timing in Mutual Funds

Number of pages: 92 Posted: 21 Aug 2019 Last Revised: 07 Jul 2023
Jeffrey A. Busse, Jing Ding, Lei Jiang and Ke Wu
Emory University - Department of Finance, Tongji University - School of Economics and Management, Tsinghua University and Renmin University of China
Downloads 343 (152,248)
Citation 2

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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 288 (182,660)
Citation 1

Abstract:

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Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies

12.

Artificial Market Timing in Mutual Funds

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 78 Posted: 30 Apr 2020 Last Revised: 09 Sep 2023
Emory University - Department of Finance, Tongji University - School of Economics and Management, Tsinghua University and University of Florida - Department of Finance
Downloads 265 (199,477)

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Feedback trading, mutual funds, artificial timing, transaction costs, fund performance

Nonparametric Tests For Market Timing Ability Using Daily Mutual Fund Returns

Number of pages: 42 Posted: 18 Mar 2020 Last Revised: 05 Oct 2022
Jing Ding, Lei Jiang, Xiaohui Liu and Liang Peng
Tongji University - School of Economics and Management, Tsinghua University, Jiangxi University of Finance and Economics and Georgia State University - Risk Management & Insurance Department
Downloads 186 (277,358)
Citation 5

Abstract:

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Market Timing, Mutual Fund, Weighted Nonparametric Measure

Nonparametric Tests for Market Timing Ability Using Daily Mutual Fund Returns

Number of pages: 42 Posted: 20 Jan 2022
Jing Ding, Lei Jiang, Xiaohui Liu and Liang Peng
Tongji University - School of Economics and Management, Tsinghua University, Jiangxi University of Finance and Economics and Georgia State University
Downloads 66 (587,081)
Citation 1

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Market Timing, Mutual Fund, Weighted Nonparametric Measure

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 University (SYSU)
Downloads 214 (244,391)

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

15.

Predictably Hot IPOs

Number of pages: 61 Posted: 20 Jan 2022 Last Revised: 27 Apr 2023
Kennesaw State University - Michael J. Coles College of Business, Tsinghua University, Tsinghua University and Tsinghua University - Tsinghua University School of Economics and Management
Downloads 194 (267,158)

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IPO; initial public offering; underpricing; market efficiency, agency problem, out-of-sample prediction; machine learning; XGBoost; Random Forest; LASSO

16.

Stochastic Dominance in Mutual Fund Returns

Georgetown McDonough School of Business Research Paper No. 3541062
Number of pages: 44 Posted: 12 Mar 2020 Last Revised: 10 Jul 2023
Lei Jiang, Quan Wen, Ke Wu and Mengfan Yin
Tsinghua University, McDonough School of Business, Georgetown University, Renmin University of China and Fudan University - Fanhai International School of Finance (FISF)
Downloads 178 (288,290)
Citation 1

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mutual fund returns, stochastic dominance, revealed preference

17.

A Test of General Asymmetric Dependence

Journal of Applied Econometrics, 2018, 33, 1026-1043.
Number of pages: 34 Posted: 11 May 2018 Last Revised: 16 Nov 2023
Tsinghua University, Emory University, Nankai University and Renmin University of China
Downloads 95 (466,800)

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

18.

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 64 (586,575)

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Diseconomies of scale, fixed effects panel regression, mutual funds

19.

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 44 (695,399)

Abstract:

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