Xiaoyan Zhang

Purdue University - Krannert School of Management

Duke Realty Chair Professor

403 WEST STATE STREET

West Lafayette, IN 47907-1310

United States

http://web.ics.purdue.edu/~zhang654/

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 769

SSRN RANKINGS

Top 769

in Total Papers Downloads

24,020

CITATIONS
Rank 314

SSRN RANKINGS

Top 314

in Total Papers Citations

1,278

Scholarly Papers (23)

1.
Downloads 4,031 ( 1,509)
Citation 440

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 05 Apr 2005
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 2,468 (3,539)
Citation 440

Abstract:

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
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 1,563 (7,798)
Citation 440

Abstract:

2.

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
Purdue University - Krannert School of Management, BlackRock, Inc. and Rice University
Downloads 3,367 (1,542)
Citation 65

Abstract:

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

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 Purdue University - Krannert School of Management
Downloads 2,969 (2,545)
Citation 15

Abstract:

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 Purdue University - Krannert School of Management
Downloads 216 (111,090)
Citation 15

Abstract:

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 - Finance and Economics and Purdue University - Krannert School of Management
Downloads 2,416 (3,403)
Citation 66

Abstract:

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

5.
Downloads 1,806 ( 6,199)
Citation 16

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 Purdue University - Krannert School of Management
Downloads 1,775 (6,256)
Citation 16

Abstract:

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 Purdue University - Krannert School of Management
Downloads 28 (397,474)
Citation 16

Abstract:

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 Purdue University - Krannert School of Management
Downloads 3 (533,793)
Citation 16

Abstract:

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

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
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 666 (28,871)
Citation 149

Abstract:

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
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 577 (35,026)
Citation 149

Abstract:

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

Number of pages: 52 Posted: 19 Mar 2008
Purdue University - Krannert School of Management, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 423 (52,211)
Citation 149

Abstract:

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 - Finance and Economics and Purdue University - Krannert School of Management
Downloads 1,659 (7,228)
Citation 131

Abstract:

short selling, return predictability, informed trading

8.
Downloads 1,454 ( 8,962)
Citation 64

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 Purdue University - Krannert School of Management
Downloads 1,368 (9,709)
Citation 64

Abstract:

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
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 50 (317,779)
Citation 64

Abstract:

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 Purdue University - Krannert School of Management
Downloads 36 (364,074)
Citation 64

Abstract:

International diversification, correlation dynamics, country debate, factor models, comovements

9.

Specification Test of International Asset Pricing Models

EFA 2001 Barcelona Meetings
Number of pages: 50 Posted: 11 Jul 2001
Xiaoyan Zhang
Purdue University - Krannert School of Management
Downloads 711 (25,733)
Citation 20

Abstract:

10.

Anticipating Uncertainty: Straddles Around Earnings Announcements

Number of pages: 41 Posted: 21 Jan 2013
Yuhang Xing and Xiaoyan Zhang
Rice University and Purdue University - Krannert School of Management
Downloads 573 (27,630)

Abstract:

option returns, straddle, earnings announcement, transaction costs

11.

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 Purdue University - Krannert School of Management
Downloads 408 (46,685)
Citation 3

Abstract:

investor sentiment index, return predictability, business cycle

12.

What Do Short Sellers Know?

Number of pages: 52 Posted: 23 Dec 2012 Last Revised: 02 Oct 2015
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 297 (46,300)
Citation 9

Abstract:

short-selling, earnings news, analyst recommendations, analyst forecasts

13.

Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle

Rock Center for Corporate Governance at Stanford University Working Paper No. 182
Number of pages: 56 Posted: 31 Mar 2014 Last Revised: 21 Mar 2015
The Chinese University of Hong Kong (CUHK) - Department of Finance, Stanford University - Graduate School of Business, Rice University and Purdue University - Krannert School of Management
Downloads 218 (75,905)

Abstract:

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

14.

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 Purdue University - Krannert School of Management
Downloads 166 (137,392)
Citation 8

Abstract:

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

15.

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 Purdue University - Krannert School of Management
Downloads 150 (152,063)
Citation 13

Abstract:

asset pricing, arbitrage, contingent claims

16.

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, Purdue University - Krannert School of Management, Purdue University - Department of Management and Purdue University - Krannert School of Management
Downloads 88 (216,572)

Abstract:

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

17.

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
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 62 (235,661)
Citation 147

Abstract:

18.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002
Brinson Partners, Columbia Business School - Finance and Economics, Brinson Partners and Purdue University - Krannert School of Management
Downloads 52 (307,118)
Citation 2

Abstract:

19.

Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments

Columbia Business School Research Paper No. 15-67
Number of pages: 37 Posted: 24 Jun 2015
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 50 (144,774)

Abstract:

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

20.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661
Number of pages: 55 Posted: 16 May 2000
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 48 (304,466)
Citation 63

Abstract:

21.

Gambling or De-Risking: Hedge Fund Risk Taking vs. Managers' Compensation

Number of pages: 51 Posted: 17 Jan 2017
Chengdong Yin and Xiaoyan Zhang
Krannert School of Management and Purdue University - Krannert School of Management
Downloads 0 (430,804)

Abstract:

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

22.

The Multinational Return Premium: Investor's Perspective

Number of pages: 64 Posted: 13 Jan 2017
Yeejin Jang, Xue Wang and Xiaoyan Zhang
Purdue University - Krannert School of Management, Purdue University - Krannert School of Management and Purdue University - Krannert School of Management
Downloads 0 (301,797)

Abstract:

multinational companies, international diversification, returns

23.

Are Shorts Equally Informed? A Global Perspective

Number of pages: 57 Posted: 03 Oct 2015 Last Revised: 03 Feb 2017
Singapore Management University - Lee Kong Chian School of Business, National University of Singapore, School of Finance - Shanghai University of Finance and Economics and Purdue University - Krannert School of Management
Downloads 0 (148,698)

Abstract:

Short selling, Short-sale Regulations, Market Development, Short-sale Ban