Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Professor

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

  • Tsinghua University - PBC School of Finance

SCHOLARLY PAPERS

27

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30,527

SSRN CITATIONS
Rank 209

SSRN RANKINGS

Top 209

in Total Papers Citations

1,179

CROSSREF CITATIONS

1,745

Scholarly Papers (27)

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1.

What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?

AFA 2009 San Francisco Meetings Paper
Number of pages: 38 Posted: 26 Mar 2008 Last Revised: 15 Aug 2008
Xiaoyan Zhang, Rui Zhao and Yuhang Xing
Tsinghua University - PBC School of Finance, BlackRock, Inc. and Rice University
Downloads 5,408 (1,357)
Citation 50

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stock return predictability, option-implied volatility smirks, cross-sectional asset pricing

2.

The Cross-Section of Volatility and Expected Returns

Downloads 4,951 ( 1,584)
Citation 926

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 05 Apr 2005
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 3,273 (3,215)
Citation 231

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Systematic risk, stochastic volatility, idiosyncratic volatility

The Cross-Section of Volatility and Expected Returns

NBER Working Paper No. w10852
Number of pages: 57 Posted: 27 Oct 2004 Last Revised: 28 Aug 2010
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,678 (9,903)
Citation 200

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3.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,339 ( 3,179)
Citation 17

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Number of pages: 41 Posted: 03 Jun 2007 Last Revised: 18 Mar 2008
Haitao Li, Rui Zhao and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, BlackRock, Inc. and Tsinghua University - PBC School of Finance
Downloads 3,069 (3,587)
Citation 5

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hedge fund performance, manager characteristics, hedge fund flows

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Number of pages: 41 Posted: 18 Mar 2008
Haitao Li, Rui Zhao and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, BlackRock, Inc. and Tsinghua University - PBC School of Finance
Downloads 270 (115,883)
Citation 15

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hedge fund performance, manager characteristics, hedge fund flows

4.

Shackling Short Sellers: The 2008 Shorting Ban

Number of pages: 55 Posted: 02 Jun 2009 Last Revised: 01 Nov 2012
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 2,783 (4,343)
Citation 30

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short selling, financial crisis, Section 12(k)(2)

5.

Aggregate Idiosyncratic Volatility

Downloads 1,862 ( 8,508)
Citation 37

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 1,825 (8,615)
Citation 1

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idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion

Aggregate Idiosyncratic Volatility

NBER Working Paper No. w16058
Number of pages: 75 Posted: 07 Jun 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 34 (474,266)

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Aggregate Idiosyncratic Volatility

CEPR Discussion Paper No. DP8149
Number of pages: 65 Posted: 27 Dec 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 3 (679,069)
Citation 2
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

6.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Downloads 1,808 ( 8,923)
Citation 18

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

NBER Working Paper No. w13739
Number of pages: 52 Posted: 24 Jan 2008 Last Revised: 18 Jul 2010
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 703 (36,161)

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 647 (40,474)
Citation 8

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 19 Mar 2008
Xiaoyan Zhang, Andrew Ang, Robert J. Hodrick and Yuhang Xing
Tsinghua University - PBC School of Finance, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 458 (63,305)
Citation 5

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idiosyncratic volatility, Fama-MacBeth regression

7.

Which Shorts are Informed?

AFA 2007 Chicago Meetings Paper
Number of pages: 48 Posted: 15 Mar 2006
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 1,785 (9,102)
Citation 10

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short selling, return predictability, informed trading

8.

International Stock Return Comovements

Downloads 1,582 ( 11,116)
Citation 110

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 28 Jun 2011
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 1,483 (12,017)
Citation 11

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Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration

International Stock Return Comovements

NBER Working Paper No. w11906
Number of pages: 57 Posted: 22 Jan 2006 Last Revised: 15 Jul 2010
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 63 (363,607)
Citation 6

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International Stock Return Comovements

CEPR Discussion Paper No. 5955
Number of pages: 59 Posted: 03 Jan 2007
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 36 (464,860)
Citation 61
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International diversification, correlation dynamics, country debate, factor models, comovements

9.

Anticipating Uncertainty: Straddles Around Earnings Announcements

Number of pages: 63 Posted: 21 Jan 2013 Last Revised: 14 Dec 2017
Chao Gao, Yuhang Xing and Xiaoyan Zhang
Australian National University, RSFAS, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,030 (21,396)
Citation 3

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Uncertainty, Volatility, Straddle, Earnings Announcement

10.

What Do Short Sellers Know?

Review of Finance, Forthcoming
Number of pages: 48 Posted: 23 Dec 2012 Last Revised: 24 Sep 2019
Ekkehart Boehmer, Charles M. Jones, J. (Julie) Wu and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School, University of Nebraska - Lincoln and Tsinghua University - PBC School of Finance
Downloads 912 (25,606)
Citation 11

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short selling, firm fundamentals news, private information, return decomposition, analysts

11.

Specification Test of International Asset Pricing Models

EFA 2001 Barcelona Meetings
Number of pages: 50 Posted: 11 Jul 2001
Xiaoyan Zhang
Tsinghua University - PBC School of Finance
Downloads 748 (33,760)
Citation 4

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12.

Tracking Retail Investor Activity

Number of pages: 58 Posted: 13 Aug 2016 Last Revised: 24 Sep 2019
Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang and Xinran Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 684 (38,413)
Citation 21

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retail investor, price improvements, return predictability

13.

The Information Content of the Sentiment Index

Number of pages: 65 Posted: 17 Nov 2012 Last Revised: 02 Oct 2015
Steven Sibley, Yanchu Wang, Yuhang Xing and Xiaoyan Zhang
Kelley School of Business, School of Finance - Shanghai University of Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 534 (52,751)
Citation 11

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investor sentiment index, return predictability, business cycle

14.

Government Affiliation and Peer-to-Peer Lending Platforms in China

Number of pages: 55 Posted: 14 Feb 2018 Last Revised: 21 May 2019
Jinglin Jiang, Li Liao, Zhengwei Wang and Xiaoyan Zhang
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 496 (57,944)
Citation 1

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Peer-to-Peer Lending Platforms, Fintech, Government Affiliation, State-Owned Enterprise, Emerging Markets

15.

Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle

Rock Center for Corporate Governance at Stanford University Working Paper No. 182
Number of pages: 64 Posted: 31 Mar 2014 Last Revised: 03 Sep 2019
Zhiyao Chen, Ilya A. Strebulaev, Yuhang Xing and Xiaoyan Zhang
The Chinese University of Hong Kong (CUHK) - Department of Finance, Stanford University - Graduate School of Business, Rice University and Tsinghua University - PBC School of Finance
Downloads 481 (60,216)
Citation 5

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risk-shifting, idiosyncratic volatility puzzle, profitability, agency conflict

16.

Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments

Columbia Business School Research Paper No. 15-67
Number of pages: 55 Posted: 24 Jun 2015 Last Revised: 25 Sep 2018
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 373 (81,560)
Citation 8

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interference, short sales, short interest, tick test, Regulation SHO

17.

Are Shorts Equally Informed? A Global Perspective

Number of pages: 72 Posted: 03 Oct 2015 Last Revised: 03 Oct 2018
Ekkehart Boehmer, Zsuzsa R. Huszar, Yanchu Wang and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, National University of Singapore, School of Finance - Shanghai University of Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 367 (83,117)
Citation 31

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Efficiency, Liquidity, Market Development, Short Sale Regulations, Short Selling

18.

Variance Risk Premiums in Emerging Markets: Global Integration and Economic Uncertainty

Number of pages: 83 Posted: 25 Jun 2018 Last Revised: 09 May 2019
Fang Qiao, Lai Xu, Xiaoyan Zhang and Hao Zhou
Tsinghua University - PBC School of Finance, Syracuse University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 195 (160,449)
Citation 4

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Variance risk premium, emerging markets, stock return predictability, market integration, economic uncertainty

19.

The Multinational Return Premium: An Investor Perspective

Number of pages: 43 Posted: 13 Jan 2017 Last Revised: 17 Aug 2019
Yeejin Jang, Xue Wang and Xiaoyan Zhang
UNSW Australia Business School, School of Banking and Finance, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 189 (165,018)
Citation 1

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multinational companies, international diversification, returns

20.

Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance

Number of pages: 46 Posted: 25 Mar 2008
Haitao Li, Yuewu Xu and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and Tsinghua University - PBC School of Finance
Downloads 182 (170,773)
Citation 3

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Stochastic Discount Factor, Specification Tests, Model Selection, HJ distance, Arbitrage

21.

Gambling or De-Risking: Hedge Fund Risk-Taking vs. Management Fees

Number of pages: 68 Posted: 17 Jan 2017 Last Revised: 01 Apr 2019
Chengdong Yin and Xiaoyan Zhang
Purdue University - Krannert School of Management and Tsinghua University - PBC School of Finance
Downloads 167 (184,162)
Citation 1

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Hedge Fund, Risk-Taking, Incentive Fee, Management Fee, High-Water Mark

22.

Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims

FRB of New York Staff Report No. 265
Number of pages: 39 Posted: 18 Mar 2008 Last Revised: 14 May 2014
Zhenyu Wang and Xiaoyan Zhang
Indiana University, Kelley School of Business and Tsinghua University - PBC School of Finance
Downloads 161 (189,936)
Citation 15

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asset pricing, arbitrage, contingent claims

23.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, 2009
Number of pages: 52 Posted: 22 Oct 2011 Last Revised: 03 Oct 2015
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 146 (206,225)
Citation 59

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24.

Hedge Fund Manager Compensation Contracts During Financial Crisis

Number of pages: 44 Posted: 11 Aug 2012
Hui Zhao, Xiaoyan Zhang, Fei Pan and Kwei Tang
Purdue University - Department of Management, Tsinghua University - PBC School of Finance, Purdue University - Department of Management and Purdue University - Krannert School of Management
Downloads 120 (240,324)

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Hedge funds, high-water mark, incentive fee, competition, asymmetric information

25.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming
Number of pages: 75 Posted: 11 Jan 2019 Last Revised: 31 Jul 2019
Geert Bekaert, Robert J. Hodrick, Xue Wang and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 109 (257,561)

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return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, state variables

26.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661
Number of pages: 55 Posted: 16 May 2000 Last Revised: 09 Jan 2002
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 58 (373,874)
Citation 1

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27.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002 Last Revised: 30 Oct 2010
Stefano Cavaglia, Robert J. Hodrick, Moroz Vadim and Xiaoyan Zhang
Brinson Partners, Columbia Business School - Finance and Economics, Brinson Partners and Tsinghua University - PBC School of Finance
Downloads 57 (377,068)

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