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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/

  • Purdue University - Krannert School of Management

SCHOLARLY PAPERS

23

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Rank 775

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Top 775

in Total Papers Downloads

24,633

CITATIONS
Rank 310

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Top 310

in Total Papers Citations

1,289

Scholarly Papers (23)

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1.

The Cross-Section of Volatility and Expected Returns

Downloads 4,166 ( 1,499)
Citation 440

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 2,589 (3,435)
Citation 440

Abstract:

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 1,577 (8,066)
Citation 440

Abstract:

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 (1,513)
Citation 66

Abstract:

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

3.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,198 ( 2,412)
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 2,980 (2,683)
Citation 15

Abstract:

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 218 (114,322)
Citation 15

Abstract:

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 - Finance and Economics and Purdue University - Krannert School of Management
Downloads 2,416 (3,501)
Citation 65

Abstract:

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

5.

Aggregate Idiosyncratic Volatility

Downloads 1,815 ( 6,472)
Citation 16

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 1,784 (6,537)
Citation 16

Abstract:

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 28 (412,473)
Citation 16

Abstract:

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 (550,281)
Citation 16

Abstract:

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 1,685 ( 7,410)
Citation 151

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
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 673 (29,676)
Citation 151

Abstract:

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 583 (35,998)
Citation 151

Abstract:

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 429 (53,359)
Citation 151

Abstract:

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 - Finance and Economics and Purdue University - Krannert School of Management
Downloads 1,669 (7,534)
Citation 132

Abstract:

short selling, return predictability, informed trading

8.

International Stock Return Comovements

Downloads 1,473 ( 9,222)
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 1,384 (9,997)
Citation 65

Abstract:

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
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 53 (320,847)
Citation 65

Abstract:

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 (377,738)
Citation 65

Abstract:

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 (26,704)
Citation 20

Abstract:

10.

Anticipating Uncertainty: Straddles Around Earnings Announcements

Number of pages: 41 Posted: 21 Jan 2013
Yuhang Xing and Xiaoyan Zhang
Rice University and Purdue University - Krannert School of Management
Downloads 573 (27,100)

Abstract:

option returns, straddle, earnings announcement, transaction costs

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 (47,658)
Citation 3

Abstract:

investor sentiment index, return predictability, business cycle

12.

What Do Short Sellers Know?

Number of pages: 52 Posted: 23 Dec 2012 Last Revised: 02 Oct 2015
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 297 (43,008)
Citation 9

Abstract:

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: 56 Posted: 31 Mar 2014 Last Revised: 21 Mar 2015
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 (73,094)

Abstract:

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 (142,562)
Citation 8

Abstract:

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 (157,746)
Citation 13

Abstract:

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 (221,675)

Abstract:

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 (227,861)
Citation 149

Abstract:

18.

Pricing the Global Industry Portfolios

NBER Working Paper No. w9344
Number of pages: 29 Posted: 23 Dec 2002
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 (313,333)
Citation 2

Abstract:

19.

Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments

Columbia Business School Research Paper No. 15-67
Number of pages: 37 Posted: 24 Jun 2015
Ekkehart Boehmer, Charles M. Jones and Xiaoyan Zhang
Singapore Management University - Lee Kong Chian School of Business, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 50 (139,699)

Abstract:

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
Robert J. Hodrick and Xiaoyan Zhang
Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management
Downloads 48 (310,531)
Citation 61

Abstract:

21.

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

Number of pages: 51 Posted: 17 Jan 2017
Chengdong Yin and Xiaoyan Zhang
Krannert School of Management and Purdue University - Krannert School of Management
Downloads 0 (339,632)

Abstract:

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

22.

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 (254,056)

Abstract:

multinational companies, international diversification, returns

23.

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 (141,850)

Abstract:

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

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