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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/

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

  • Purdue University - Krannert School of Management

SCHOLARLY PAPERS

25

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Top 791

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26,581

CITATIONS
Rank 307

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Top 307

in Total Papers Citations

1,294

Scholarly Papers (25)

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1.

The Cross-Section of Volatility and Expected Returns

Downloads 4,431 ( 1,569)
Citation 444

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 Purdue University - Krannert School of Management
Downloads 2,836 (3,387)
Citation 444

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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
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 1,595 (9,015)
Citation 444

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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 (1,444)
Citation 66

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

3.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,262 ( 2,711)
Citation 15

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 3,025 (3,034)
Citation 15

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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 Purdue University - Krannert School of Management
Downloads 237 (115,567)
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 Purdue University - Krannert School of Management
Downloads 2,416 (3,851)
Citation 67

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

5.

Aggregate Idiosyncratic Volatility

Downloads 1,840 ( 7,212)
Citation 15

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 1,807 (7,295)
Citation 15

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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 Purdue University - Krannert School of Management
Downloads 30 (436,296)
Citation 15

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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 Purdue University - Krannert School of Management
Downloads 3 (591,973)
Citation 15
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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 1,742 ( 7,943)
Citation 153

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 Purdue University - Krannert School of Management
Downloads 687 (32,039)
Citation 153

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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 Purdue University - Krannert School of Management
Downloads 611 (37,556)
Citation 153

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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
Purdue University - Krannert School of Management, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 444 (56,642)
Citation 153

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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 Purdue University - Krannert School of Management
Downloads 1,715 (8,132)
Citation 132

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short selling, return predictability, informed trading

8.

International Stock Return Comovements

Downloads 1,522 ( 9,864)
Citation 65

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 1,427 (10,741)
Citation 65

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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 Purdue University - Krannert School of Management
Downloads 59 (331,066)
Citation 65

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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 Purdue University - Krannert School of Management
Downloads 36 (409,853)
Citation 65
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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 (29,401)
Citation 20

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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
Purdue University - Krannert School of Management, Rice University and Purdue University - Krannert School of Management
Downloads 573 (24,721)

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Uncertainty, Volatility, Straddle, Earnings Announcement

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 (48,713)
Citation 3

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investor sentiment index, return predictability, business cycle

12.

What Do Short Sellers Know?

Number of pages: 47 Posted: 23 Dec 2012 Last Revised: 22 Jan 2018
Ekkehart Boehmer, Charles M. Jones, Julie Wu and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School, University of Nebraska at Lincoln and Purdue University - Krannert School of Management
Downloads 297 (36,948)
Citation 9

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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: 67 Posted: 31 Mar 2014 Last Revised: 26 Apr 2018
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 Purdue University - Krannert School of Management
Downloads 218 (70,977)

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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 (152,263)
Citation 8

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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 (170,857)
Citation 13

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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 (230,787)

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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
Andrew Ang, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 62 (221,810)
Citation 151

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18.

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 Purdue University - Krannert School of Management
Downloads 54 (340,712)
Citation 2

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19.

Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments

Columbia Business School Research Paper No. 15-67
Number of pages: 49 Posted: 24 Jun 2015 Last Revised: 02 Nov 2017
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School and Purdue University - Krannert School of Management
Downloads 50 (120,046)

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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 Last Revised: 09 Jan 2002
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 48 (332,019)
Citation 62

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21.

Government Affiliation and Fintech Industry: The Peer-to-Peer Lending Platforms in China

Number of pages: 57 Posted: 14 Feb 2018
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 Purdue University - Krannert School of Management
Downloads 0 (181,562)

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peer-to-peer lending platforms, fintech, government affiliation, state-owned enterprise

22.

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

Number of pages: 78 Posted: 17 Jan 2017 Last Revised: 25 Jul 2017
Chengdong Yin and Xiaoyan Zhang
Purdue University - Krannert School of Management and Purdue University - Krannert School of Management
Downloads 0 (229,257)

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

23.

The Multinational Return Premium: Investor's Perspective

Number of pages: 64 Posted: 13 Jan 2017 Last Revised: 11 Apr 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 (191,264)

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multinational companies, international diversification, returns

24.

Tracking Retail Investor Activity

Number of pages: 45 Posted: 13 Aug 2016 Last Revised: 02 Nov 2017
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School and Purdue University - Krannert School of Management
Downloads 0 (178,519)

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retail investor, price improvements, return predictability

25.

Are Shorts Equally Informed? A Global Perspective

Number of pages: 57 Posted: 03 Oct 2015 Last Revised: 03 Feb 2017
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 Purdue University - Krannert School of Management
Downloads 0 (113,086)

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