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

29

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1,356

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1,764

Scholarly Papers (29)

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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 5,657 (1,356)
Citation 56

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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 5,109 ( 1,619)
Citation 981

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 3,400 (3,240)
Citation 241

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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 1,709 (10,298)
Citation 246

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3.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,361 ( 3,368)
Citation 18

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 3,086 (3,819)
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 275 (120,009)
Citation 17

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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 3,023 (4,023)
Citation 39

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

5.

Aggregate Idiosyncratic Volatility

Downloads 1,867 ( 9,084)
Citation 39

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco 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 1,830 (9,188)
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 (496,452)

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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 (710,933)
Citation 4
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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 1,826 ( 9,413)
Citation 17

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 705 (38,286)

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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 652 (42,547)
Citation 7

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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 469 (65,055)
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 1,805 (9,571)
Citation 10

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short selling, return predictability, informed trading

8.

International Stock Return Comovements

Downloads 1,595 ( 11,679)
Citation 117

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 1,495 (12,656)
Citation 10

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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 64 (377,787)
Citation 7

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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 (486,513)
Citation 65
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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 1,081 (21,247)
Citation 3

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Uncertainty, Volatility, Straddle, Earnings Announcement

10.

Tracking Retail Investor Activity

Number of pages: 72 Posted: 13 Aug 2016 Last Revised: 09 Apr 2020
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 1,001 (23,799)
Citation 25

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retail investor, price improvements, return predictability

11.

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 1,000 (23,832)
Citation 11

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

12.

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 (35,858)
Citation 5

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13.

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 555 (53,158)
Citation 2

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

14.

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 538 (55,337)
Citation 14

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investor sentiment index, return predictability, business cycle

15.

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
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 500 (60,654)
Citation 5

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

16.

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 393 (81,111)
Citation 47

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

17.

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 392 (81,337)
Citation 11

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

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 219 (151,554)
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 201 (164,153)
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 (179,710)
Citation 3

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

21.

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

Number of pages: 88 Posted: 17 Jan 2017 Last Revised: 15 Jun 2020
Chengdong Yin and Xiaoyan Zhang
Purdue University - Krannert School of Management and Tsinghua University - PBC School of Finance
Downloads 181 (180,631)
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 164 (196,676)
Citation 14

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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 158 (202,970)
Citation 78

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24.

Uncertainty Resolution Before Earnings Announcements

Number of pages: 58 Posted: 02 Jun 2020
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 153 (208,574)

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Pre-Announcement Return, Earnings Announcements, Uncertainty Resolution

25.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming
Number of pages: 68 Posted: 11 Jan 2019 Last Revised: 29 Apr 2020
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 145 (217,991)

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

26.

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 (252,390)

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

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 58 (391,734)

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28.

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 (391,734)
Citation 5

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29.

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

Number of pages: 87 Posted: 09 Jul 2020
Charles M. Jones, Donghui Shi, Xiaoyan Zhang and Xinran Zhang
Columbia Business School, Shanghai Stock Exchange, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 14 (601,939)

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Retail Investors, Chinese Stock Market, Return Predictability, Gain and Loss