Lei Jiang

Tsinghua University

Assistant Professor

Beijing, 100084

China

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 10,328

SSRN RANKINGS

Top 10,328

in Total Papers Downloads

4,686

SSRN CITATIONS
Rank 32,480

SSRN RANKINGS

Top 32,480

in Total Papers Citations

7

CROSSREF CITATIONS

13

Scholarly Papers (10)

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 1,130 (18,809)
Citation 2

Abstract:

Loading...

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 1,119 (19,080)
Citation 5

Abstract:

Loading...

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 768 (32,902)
Citation 3

Abstract:

Loading...

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

4.

Double-Adjusted Mutual Fund Performance

Number of pages: 72 Posted: 01 Nov 2014 Last Revised: 25 Nov 2019
Jeffrey A. Busse, Lei Jiang and Yuehua Tang
Emory University - Department of Finance, Tsinghua University and University of Florida - Department of Finance
Downloads 616 (44,260)
Citation 4

Abstract:

Loading...

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 426 (70,211)
Citation 4

Abstract:

Loading...

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 244 (129,640)
Citation 1

Abstract:

Loading...

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 62 (368,521)

Abstract:

Loading...

Comovement; Asset Returns; Communication

7.

Investor Attention and Asset Pricing Anomalies

Baruch College Zicklin School of Business Research Paper No. 2019-08-04
Number of pages: 59 Posted: 17 Aug 2019 Last Revised: 01 Oct 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 152 (200,544)

Abstract:

Loading...

investor attention; anomaly; price limit; trade imbalance

8.

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 86 (302,647)

Abstract:

Loading...

timing, mutual fund, dynamic conditional correlation model

9.

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 56 (382,224)

Abstract:

Loading...

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

10.

Identify Skilled and Unskilled Mutual Funds

Number of pages: 55 Posted: 27 Jan 2020
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 27 (499,883)

Abstract:

Loading...

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

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

Abstract:

Loading...