Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Professor

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 763

SSRN RANKINGS

Top 763

in Total Papers Downloads

37,310

SSRN CITATIONS
Rank 205

SSRN RANKINGS

Top 205

in Total Papers Citations

1,640

CROSSREF CITATIONS

1,803

Scholarly Papers (32)

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 6,024 (1,412)
Citation 69

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

2.
Downloads 5,392 ( 1,701)
Citation 1,062

The Cross-Section of Volatility and Expected Returns

Number of pages: 56 Posted: 05 Apr 2005
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 3,656 (3,271)
Citation 224

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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: 01 Mar 2021
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,736 (11,364)
Citation 339

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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 3,109 (4,343)
Citation 4

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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 289 (125,982)
Citation 18

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hedge fund performance, manager characteristics, hedge fund flows

4.

Tracking Retail Investor Activity

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 13 Aug 2016 Last Revised: 03 Nov 2020
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, Students
Downloads 3,194 (4,258)
Citation 41

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retail investor, price improvements, return predictability

5.

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 3,184 (4,247)
Citation 61

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

6.
Downloads 1,893 ( 10,084)
Citation 41

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 1,854 (10,206)
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 Last Revised: 01 Mar 2021
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 (531,126)
Citation 1

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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 (771,626)
Citation 5
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics

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 1,844 (10,504)
Citation 42

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short selling, return predictability, informed trading

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: 01 Mar 2021
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 710 (42,551)
Citation 15

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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
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Tsinghua University - PBC School of Finance
Downloads 658 (47,210)
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
Tsinghua University - PBC School of Finance, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 474 (71,574)
Citation 6

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idiosyncratic volatility, Fama-MacBeth regression

9.
Downloads 1,617 ( 12,934)
Citation 128

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 1,514 (14,073)
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: 01 Mar 2021
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 67 (403,479)
Citation 12

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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 (531,126)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

10.

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 1,205 (20,382)
Citation 5

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Uncertainty, Volatility, Straddle, Earnings Announcement

11.

What Do Short Sellers Know?

Review of Finance, Forthcoming
Number of pages: 48 Posted: 23 Dec 2012 Last Revised: 24 Sep 2019
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School, University of Nebraska - Lincoln and Tsinghua University - PBC School of Finance
Downloads 1,142 (22,094)
Citation 12

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

12.

Specification Test of International Asset Pricing Models

Number of pages: 50 Posted: 11 Jul 2001
Xiaoyan Zhang
Tsinghua University - PBC School of Finance
Downloads 757 (39,542)
Citation 5

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13.

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

PBCSF-NIFR Research Paper, Journal of Empirical Finance, Forthcoming
Number of pages: 61 Posted: 14 Feb 2018 Last Revised: 12 Apr 2021
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 649 (48,671)
Citation 4

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

14.

Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle

Rock Center for Corporate Governance at Stanford University Working Paper No. 182
Number of pages: 65 Posted: 31 Mar 2014 Last Revised: 29 Feb 2020
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 588 (55,213)
Citation 6

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

15.

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 562 (58,382)
Citation 14

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investor sentiment index, return predictability, business cycle

16.

Can Shorts Predict Returns? A Global Perspective

Number of pages: 80 Posted: 03 Oct 2015 Last Revised: 08 Mar 2021
Singapore Management University - Lee Kong Chian School of Business, National University of Singapore, School of Finance - Shanghai University of Finance and Economics, Tsinghua University - PBC School of Finance and Tsinghua University, PBC School of Finance, Students
Downloads 506 (66,641)
Citation 10

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

17.

Uncertainty Resolution Before Earnings Announcements

PBCSF-NIFR Research Paper
Number of pages: 53 Posted: 02 Jun 2020 Last Revised: 27 Feb 2021
Chao Gao, Grace Xing Hu and Xiaoyan Zhang
Australian National University, RSFAS, PBC School of Finance, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 481 (70,985)

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Pre-Announcement Return, Earnings Announcements, Uncertainty Resolution

18.

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 432 (80,768)
Citation 15

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

19.

Heterogeneity in Retail Investors: Evidence from Comprehensive Account-Level Trading and Holdings Data

Number of pages: 87 Posted: 28 Jan 2021
Columbia Business School, Shanghai Stock Exchange, Tsinghua University - PBC School of Finance and Tsinghua University, PBC School of Finance, Students
Downloads 365 (99,130)

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Retail investors, Chinese stock market, Return predictability, Gain and loss

20.

The Rise of Reddit: How Social Media Affects Retail Investors and Short-sellers’ Roles in Price Discovery

Number of pages: 49 Posted: 02 Apr 2021
Northwestern University - Kellogg School of Management, Columbia Business School, Northwestern University and Tsinghua University - PBC School of Finance
Downloads 346 (106,345)
Citation 1

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social media, short selling, intraday trading, retail investors

21.

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 278 (131,962)
Citation 4

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

22.

The Multinational Return Premium: An Investor Perspective

PBCSF-NIFR Research Paper
Number of pages: 43 Posted: 13 Jan 2017 Last Revised: 29 Oct 2020
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 230 (159,359)
Citation 1

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multinational companies, international diversification, returns

23.

Risking or De-Risking: How Management Fees Affect Hedge Fund Risk-Taking Choices

PBCSF-NIFR Research Paper
Number of pages: 88 Posted: 17 Jan 2017 Last Revised: 29 Oct 2020
Chengdong Yin and Xiaoyan Zhang
Renmin University of China - School of Finance and Tsinghua University - PBC School of Finance
Downloads 224 (163,477)
Citation 1

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

24.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 68 Posted: 11 Jan 2019 Last Revised: 29 Oct 2020
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 189 (191,353)

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

25.

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 189 (191,353)
Citation 3

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

26.

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 Tsinghua University - PBC School of Finance
Downloads 185 (195,028)
Citation 85

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27.

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 171 (208,861)
Citation 14

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asset pricing, arbitrage, contingent claims

28.

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 130 (261,106)

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

29.

When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models

Number of pages: 42 Posted: 18 Feb 2021
Danqi Hu, Charles M. Jones and Xiaoyan Zhang
Northwestern University - Kellogg School of Management, Columbia Business School and Tsinghua University - PBC School of Finance
Downloads 99 (316,441)
Citation 1

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short selling, intraday trading, information content, off-exchange trading, dynamic informed trading models, institutional investors, retail investors

30.

The China-U.S. Equity Valuation Gap

Number of pages: 99 Posted: 05 Mar 2021
Geert Bekaert, Shuojia Ke and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 68 (395,343)
Citation 1

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Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading

31.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002 Last Revised: 01 Mar 2021
Brinson Partners, Columbia Business School - Finance and Economics, Brinson Partners and Tsinghua University - PBC School of Finance
Downloads 65 (404,841)

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32.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661
Number of pages: 55 Posted: 16 May 2000 Last Revised: 01 Mar 2021
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 61 (418,000)
Citation 5

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