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

32

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37,310

SSRN CITATIONS
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Top 205

in Total Papers Citations

1,640

CROSSREF CITATIONS

1,803

Scholarly Papers (32)

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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 6,024 (1,412)
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 5,392 ( 1,701)
Citation 1,062

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 3,656 (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
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 1,736 (11,364)
Citation 339

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3.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,398 ( 3,765)
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 3,109 (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
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, 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.

Aggregate Idiosyncratic Volatility

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

8.

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

Downloads 1,842 ( 10,526)
Citation 37

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
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 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
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 (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
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 474 (71,574)
Citation 6

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idiosyncratic volatility, Fama-MacBeth regression

9.

International Stock Return Comovements

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
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 1,142 (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
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 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
Ekkehart Boehmer, Zsuzsa R. Huszar, Yanchu Wang, Xiaoyan Zhang and Xinran Zhang
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
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, 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
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 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
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 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
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 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
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 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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