Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Professor

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 724

SSRN RANKINGS

Top 724

in Total Papers Downloads

46,408

SSRN CITATIONS
Rank 193

SSRN RANKINGS

Top 193

in Total Papers Citations

1,833

CROSSREF CITATIONS

1,780

Scholarly Papers (39)

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 6,631 (1,521)
Citation 69

Abstract:

Loading...

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

2.
Downloads 5,822 ( 1,890)
Citation 1,090

The Cross-Section of Volatility and Expected Returns

Number of pages: 56 Posted: 05 Apr 2005
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
Downloads 4,018 (3,516)
Citation 224

Abstract:

Loading...

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: 26 Feb 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
Downloads 1,804 (13,098)
Citation 339

Abstract:

Loading...

3.

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 University, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 5,115 (2,352)
Citation 49

Abstract:

Loading...

retail investor, price improvements, return predictability

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 3,144 (5,349)
Citation 4

Abstract:

Loading...

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 329 (128,688)
Citation 18

Abstract:

Loading...

hedge fund performance, manager characteristics, hedge fund flows

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 University and Tsinghua University - PBC School of Finance
Downloads 3,395 (4,778)
Citation 65

Abstract:

Loading...

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

6.

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

Number of pages: 66 Posted: 02 Apr 2021 Last Revised: 30 Aug 2021
Northwestern University - Kellogg School of Management, Columbia University, Northwestern University and Tsinghua University - PBC School of Finance
Downloads 1,962 (11,685)

Abstract:

Loading...

social media, short selling, intraday trading, retail investors

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: 16 Jan 2022
BlackRock, Inc, Columbia University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
Downloads 737 (48,220)
Citation 15

Abstract:

Loading...

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 University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
Downloads 677 (53,978)
Citation 8

Abstract:

Loading...

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 University - Columbia Business School, Finance and Rice University
Downloads 501 (79,152)
Citation 6

Abstract:

Loading...

idiosyncratic volatility, Fama-MacBeth regression

8.
Downloads 1,912 ( 12,143)
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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 1,870 (12,346)
Citation 1

Abstract:

Loading...

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: 19 May 2022
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 39 (590,136)
Citation 1

Abstract:

Loading...

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 3 (898,760)
Citation 5
  • Add to Cart

Abstract:

Loading...

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

9.

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 University and Tsinghua University - PBC School of Finance
Downloads 1,901 (12,264)
Citation 44

Abstract:

Loading...

short selling, return predictability, informed trading

10.
Downloads 1,644 ( 15,427)
Citation 136

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 17 Nov 2021
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 1,533 (16,857)
Citation 11

Abstract:

Loading...

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 2022
Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 75 (435,605)
Citation 22

Abstract:

Loading...

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 University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 36 (607,543)
Citation 70
  • Add to Cart

Abstract:

Loading...

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

11.

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 1,531 (17,206)
Citation 8

Abstract:

Loading...

Uncertainty, Volatility, Straddle, Earnings Announcement

12.

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 University, University of Nebraska - Lincoln and Tsinghua University - PBC School of Finance
Downloads 1,337 (21,026)
Citation 11

Abstract:

Loading...

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

13.

Understanding Retail Investors: Evidence from China

Number of pages: 72 Posted: 07 Oct 2021 Last Revised: 29 Jun 2022
Columbia University, Shanghai Stock Exchange, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 1,115 (27,513)

Abstract:

Loading...

Retail investors, Chinese stock market, Return predictability, Information content

14.

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, Central European UniversityNational University of Singapore, School of Finance - Shanghai University of Finance and Economics, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 806 (43,462)
Citation 10

Abstract:

Loading...

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

15.

Specification Test of International Asset Pricing Models

Number of pages: 50 Posted: 11 Jul 2001
Xiaoyan Zhang
Tsinghua University - PBC School of Finance
Downloads 766 (46,376)
Citation 5

Abstract:

Loading...

16.

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 741 (48,596)

Abstract:

Loading...

Pre-Announcement Return, Earnings Announcements, Uncertainty Resolution

17.

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 693 (53,042)
Citation 3

Abstract:

Loading...

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

18.

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 661 (56,363)
Citation 6

Abstract:

Loading...

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

19.

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

Columbia Business School Research Paper Forthcoming
Number of pages: 52 Posted: 18 Feb 2021 Last Revised: 13 Sep 2021
Danqi Hu, Charles M. Jones and Xiaoyan Zhang
Northwestern University - Kellogg School of Management, Columbia University and Tsinghua University - PBC School of Finance
Downloads 659 (56,920)
Citation 1

Abstract:

Loading...

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

20.

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 585 (65,869)
Citation 14

Abstract:

Loading...

investor sentiment index, return predictability, business cycle

21.

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 University and Tsinghua University - PBC School of Finance
Downloads 462 (88,090)
Citation 15

Abstract:

Loading...

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

22.

Variance Risk Premiums in Emerging Markets

Number of pages: 93 Posted: 25 Jun 2018 Last Revised: 02 Aug 2021
Fang Qiao, Lai Xu, Xiaoyan Zhang and Hao Zhou
University of International Business and Economics (UIBE) - School of Banking and Finance, Syracuse University, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 366 (115,109)
Citation 4

Abstract:

Loading...

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

23.

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

The Review of Financial Studies
Number of pages: 87 Posted: 17 Jan 2017 Last Revised: 05 Aug 2022
Chengdong Yin and Xiaoyan Zhang
Renmin University of China - School of Finance and Tsinghua University - PBC School of Finance
Downloads 315 (135,773)
Citation 1

Abstract:

Loading...

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

24.

Do Retail Investors Trade on ESG?

Number of pages: 58 Posted: 06 Apr 2022 Last Revised: 21 Jun 2022
Ran Chang, J. (Julie) Wu, Xiaoyan Zhang and Xinran Zhang
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, University of Nebraska - Lincoln, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 296 (145,448)

Abstract:

Loading...

ESG, retail investors, return predictability

25.

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 University - Columbia Business School, Finance, Rice University and Tsinghua University - PBC School of Finance
Downloads 277 (154,595)
Citation 78

Abstract:

Loading...

26.

Multinational Corporations and Stock Returns: International Evidence

PBCSF-NIFR Research Paper
Number of pages: 60 Posted: 13 Jan 2017 Last Revised: 09 Jul 2021
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 272 (157,527)
Citation 1

Abstract:

Loading...

multinational companies, international diversification, returns

27.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 71 Posted: 11 Jan 2019 Last Revised: 21 Jun 2022
Geert Bekaert, Xue Wang and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 266 (161,030)

Abstract:

Loading...

return idiosyncratic variance, cash flow idiosyncratic variance, global commonality, countercyclical, economic uncertainty, return on equity

28.

The China-U.S. Equity Valuation Gap

Number of pages: 101 Posted: 05 Mar 2021 Last Revised: 08 Sep 2021
Geert Bekaert, Shuojia Ke and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 258 (166,710)
Citation 1

Abstract:

Loading...

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

29.

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 198 (213,251)
Citation 3

Abstract:

Loading...

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

30.

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 180 (231,778)
Citation 14

Abstract:

Loading...

asset pricing, arbitrage, contingent claims

31.

Are Stock Returns Predictable in China? A Machine Learning Approach

Number of pages: 48 Posted: 28 Nov 2021
huihang wu, xingkong wei and Xiaoyan Zhang
Postdoctoral Fellow, China Securities Co., Ltd. and Tsinghua University - PBC School of Finance
Downloads 146 (275,733)

Abstract:

Loading...

Return Prediction, Out-of-sample forecasts, Machine Learning, Fintech

32.

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 134 (294,742)

Abstract:

Loading...

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

33.

The Informational Role of Options Trading: Evidence from the Shanghai Stock Exchange 50ETF Options in China

Number of pages: 59 Posted: 09 Jul 2021
Teng Ma and Xiaoyan Zhang
and Tsinghua University - PBC School of Finance
Downloads 132 (298,077)

Abstract:

Loading...

Put-call ratios, skewness ratios, China VIX Index, variance risk premium, stock return predictability, market timing

34.

News Tone and Stock Return in Chinese Market

Number of pages: 44 Posted: 10 Jan 2022 Last Revised: 21 Jun 2022
Huimin Ge and Xiaoyan Zhang
PBCSF, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 120 (319,832)

Abstract:

Loading...

Media, tone, text-analysis, cross-sectional prediction.

35.

Are Foreign Investors Informed? Trading Experiences of Foreign Investors in China

Number of pages: 94 Posted: 19 May 2022
University of North Carolina Kenan-Flagler Business School, Shanghai Stock Exchange, Tsinghua University - PBC School of Finance and Tsinghua University, PBC School of Finance, Students
Downloads 82 (409,133)

Abstract:

Loading...

Foreign investors, the Chinese stock market, public information, market liberalization

36.

Retail Investors in the Pandemic

Number of pages: 50 Posted: 06 Jul 2022
Charles M. Jones, Xiaoyan Zhang and Xinran Zhang
Columbia University, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 76 (433,688)

Abstract:

Loading...

retail investors, order flows, liquidity, volatility, high frequency trading, short selling

37.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002 Last Revised: 15 Jul 2022
Brinson Partners, Columbia University - Columbia Business School, Finance, Brinson Partners and Tsinghua University - PBC School of Finance
Downloads 68 (453,665)

Abstract:

Loading...

38.

Evaluating the Specification Errors of Asset Pricing Models

NBER Working Paper No. w7661
Number of pages: 55 Posted: 16 May 2000 Last Revised: 09 Jun 2022
Robert J. Hodrick and Xiaoyan Zhang
Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance
Downloads 67 (457,133)
Citation 5

Abstract:

Loading...

39.

How Can Robot Investment Assistant Help: Collecting Information or Providing Advice? Evidence from China

Number of pages: 50 Posted: 30 Jun 2022
Huimin Ge, huihang wu and Xiaoyan Zhang
PBCSF, Tsinghua University, Postdoctoral Fellow and Tsinghua University - PBC School of Finance
Downloads 29 (635,602)

Abstract:

Loading...

Fintech, investment behavior, information, financial advice.