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

33

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Scholarly Papers (33)

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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 6,225 (1,439)
Citation 69

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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 5,521 ( 1,749)
Citation 1,090

The Cross-Section of Volatility and Expected Returns

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 3,767 (3,347)
Citation 226

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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 2021
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 1,754 (11,904)
Citation 339

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3.

Tracking Retail Investor Activity

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 13 Aug 2016 Last Revised: 03 Nov 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 Central University of Finance and Economics (CUFE) - School of Finance
Downloads 4,158 (2,881)
Citation 20

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retail investor, price improvements, return predictability

4.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,426 ( 4,027)
Citation 20

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 3,121 (4,640)
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 305 (124,893)
Citation 18

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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 Business School and Tsinghua University - PBC School of Finance
Downloads 3,272 (4,371)
Citation 65

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

6.

Aggregate Idiosyncratic Volatility

Downloads 1,900 ( 10,655)
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 1,861 (10,826)
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: 19 May 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 (554,684)
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 (804,159)
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 1,861 (11,040)
Citation 44

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short selling, return predictability, informed trading

8.

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

Downloads 1,848 ( 11,163)
Citation 60

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 2021
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 713 (44,630)
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
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 658 (49,689)
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
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 477 (74,776)
Citation 6

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idiosyncratic volatility, Fama-MacBeth regression

9.

International Stock Return Comovements

Downloads 1,625 ( 13,663)
Citation 136

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 1,521 (14,898)
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 68 (417,977)
Citation 22

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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 (554,684)
Citation 70
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International diversification, correlation dynamics, country debate, factor models, comovements

10.

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 1,284 (19,605)
Citation 11

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

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 1,277 (19,809)
Citation 8

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Uncertainty, Volatility, Straddle, Earnings Announcement

12.

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
Danqi Hu, Charles M. Jones, Valerie Zhang and Xiaoyan Zhang
Northwestern University - Kellogg School of Management, Columbia Business School, Northwestern University and Tsinghua University - PBC School of Finance
Downloads 941 (30,914)

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social media, short selling, intraday trading, retail investors

13.

Specification Test of International Asset Pricing Models

Number of pages: 50 Posted: 11 Jul 2001
Xiaoyan Zhang
Tsinghua University - PBC School of Finance
Downloads 759 (41,584)
Citation 5

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14.

Understanding Retail Investors: Evidence from China

Number of pages: 66 Posted: 09 Jul 2020 Last Revised: 07 Oct 2021
Charles M. Jones, Donghui Shi, Xiaoyan Zhang and Xinran Zhang
Columbia Business School, Shanghai Stock Exchange, Tsinghua University - PBC School of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 739 (43,143)

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Retail investors, Chinese stock market, return predictability, liquidity, information content

15.

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 668 (49,408)
Citation 3

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

16.

Can Shorts Predict Returns? A Global Perspective

Number of pages: 80 Posted: 03 Oct 2015 Last Revised: 08 Mar 2021
Ekkehart Boehmer, Zsuzsa R. Huszar, Zsuzsa R. Huszar, Yanchu Wang, Xiaoyan Zhang and Xinran Zhang
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 624 (54,020)
Citation 10

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

17.

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 623 (54,130)
Citation 6

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

18.

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 596 (57,339)

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Pre-Announcement Return, Earnings Announcements, Uncertainty Resolution

19.

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 573 (60,093)
Citation 14

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investor sentiment index, return predictability, business cycle

20.

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 455 (79,916)
Citation 15

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

21.

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 306 (125,575)
Citation 4

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

22.

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 255 (151,005)
Citation 1

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multinational companies, international diversification, returns

23.

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 Business School and Tsinghua University - PBC School of Finance
Downloads 248 (155,335)
Citation 1

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

24.

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 248 (155,335)
Citation 1

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

25.

The International Commonality of Idiosyncratic Variances

Columbia Business School Research Paper Forthcoming, PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 11 Jan 2019 Last Revised: 11 Oct 2021
Geert Bekaert, Xue Wang and Xiaoyan Zhang
Columbia Business School - Finance and Economics, Nankai University - School of Finance and Tsinghua University - PBC School of Finance
Downloads 222 (172,819)

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

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
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 206 (185,300)
Citation 78

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27.

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 192 (197,567)
Citation 3

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

28.

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 176 (213,283)
Citation 14

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asset pricing, arbitrage, contingent claims

29.

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 Business School - Finance and Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 161 (230,022)
Citation 1

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

30.

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 132 (269,922)

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

31.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002 Last Revised: 01 Mar 2021
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 66 (419,453)

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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: 09 Jun 2021
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 64 (426,134)
Citation 5

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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 58 (447,287)

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