Lei Jiang

Tsinghua University

Associate Professor

Beijing, 100084

China

SCHOLARLY PAPERS

19

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Top 7,086

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8,964

SSRN CITATIONS
Rank 23,873

SSRN RANKINGS

Top 23,873

in Total Papers Citations

23

CROSSREF CITATIONS

17

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 1,638 (15,514)
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 1,244 (23,451)
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 1,024 (31,081)
Citation 9

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

4.

Lottery Preference and Anomalies

Number of pages: 83 Posted: 04 Jun 2020 Last Revised: 11 Mar 2022
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 900 (37,277)

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Lottery preference factor, anomalies, asset pricing

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 900 (37,277)
Citation 4

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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 818 (42,549)
Citation 8

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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: 10 Nov 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 544 (72,143)

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 280 (152,192)
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 75 (435,452)
Citation 1

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Comovement; Asset Returns; Communication

9.

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 312 (136,658)

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

10.

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 228 (186,974)
Citation 1

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Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies

11.

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, Harbin Institute of Technology - School of Management, Tsinghua University and Renmin University of China
Downloads 198 (213,251)
Citation 1

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Mutual Funds, Market Timing, Dynamic Conditional Correlation

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
Harbin Institute of Technology - School of Management, Tsinghua University, Jiangxi University of Finance and Economics and Georgia State University - Risk Management & Insurance Department
Downloads 141 (284,374)
Citation 3

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Coskewness, Market Timing, Mutual Fund

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
Harbin Institute of Technology - School of Management, Tsinghua University, Jiangxi University of Finance and Economics and Georgia State University
Downloads 27 (667,261)

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Market Timing, Mutual Fund, Weighted Nonparametric Measure

13.

Artificial Market Timing in Mutual Funds

Number of pages: 78 Posted: 30 Apr 2020 Last Revised: 21 Jun 2022
Emory University - Department of Finance, Harbin Institute of Technology - School of Management, Tsinghua University and University of Florida - Department of Finance
Downloads 154 (264,157)

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

14.

Stochastic Dominance in Mutual Fund Returns

Georgetown McDonough School of Business Research Paper No. 3541062
Number of pages: 38 Posted: 12 Mar 2020 Last Revised: 13 Dec 2021
Lei Jiang, Quan Wen, Ke Wu and Mengfan Yin
Tsinghua University, McDonough School of Business, Georgetown University, Renmin University of China and Tsinghua University - School of Economics & Management
Downloads 122 (316,045)

Abstract:

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mutual fund returns, stochastic dominance, revealed preference

15.

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 117 (325,538)

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

16.

Predictably Hot IPOs

Number of pages: 68 Posted: 20 Jan 2022 Last Revised: 26 Jul 2022
Kennesaw State University - Michael J. Coles College of Business, Tsinghua University, Tsinghua University and Tsinghua University - Tsinghua University School of Economics and Management
Downloads 97 (369,276)

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IPO; initial public offering; underpricing; out-of-sample prediction; machine learning; XGBoost; Random Forest; LASSO

17.

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 69 (450,197)

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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 48 (533,087)

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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 28 (642,249)

Abstract:

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