Bing Liang

University of Massachusetts Amherst - Department of Finance

Charles P. McQuaid Professor of Finance

Amherst, MA 01003

United States

SCHOLARLY PAPERS

44

DOWNLOADS
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Top 592

in Total Papers Downloads

48,084

SSRN CITATIONS
Rank 1,533

SSRN RANKINGS

Top 1,533

in Total Papers Citations

273

CROSSREF CITATIONS

557

Ideas:
“  I am currently working on papers in Climate Finance.  ”

Scholarly Papers (44)

1.

On the Performance of Hedge Funds

Number of pages: 41 Posted: 17 Jun 1998
Bing Liang
University of Massachusetts Amherst - Department of Finance
Downloads 5,140 (1,975)
Citation 21

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Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

Number of pages: 21 Posted: 30 Sep 2007 Last Revised: 11 Sep 2009
New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance
Downloads 4,343 (2,640)
Citation 23

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Hedge funds, operational risk, due diligence, alpha

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

NYU Working Paper No. FIN-07-032
Number of pages: 21 Posted: 13 Nov 2008
New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance
Downloads 654 (50,127)

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Hedge funds, operational risk, due diligence, alpha

3.
Downloads 4,728 ( 2,305)
Citation 37

Fees on Fees in Funds of Funds

Yale ICF Working Paper No. 02-33
Number of pages: 40 Posted: 01 Oct 2002
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 4,289 (2,701)
Citation 7

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Fees on Fees in Funds of Funds

NBER Working Paper No. w9464
Number of pages: 1 Posted: 02 Feb 2003 Last Revised: 20 Jun 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 184 (205,271)
Citation 3

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Fees on Fees in Funds of Funds

NYU Working Paper No. SC-AM-02-06
Number of pages: 31 Posted: 13 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 119 (293,016)
Citation 1

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Fees on Fees in Funds of Funds

NYU Working Paper No. FIN-02-031
Number of pages: 31 Posted: 03 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 70 (411,590)
Citation 3

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Fees on Fees in Funds of Funds

NYU Working Paper No. S-DRP-04-01
Number of pages: 39 Posted: 05 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 66 (425,065)

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Fees on Fees in Funds of Funds

Journal of Investment Management, Vol. 2, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance

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Hedge funds, funds-of-funds, incentive fees

4.
Downloads 3,303 ( 4,303)
Citation 37

Trust and Delegation

Number of pages: 43 Posted: 17 Aug 2009 Last Revised: 20 May 2011
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 3,022 (4,924)
Citation 1

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Hedge Funds, Operational Risk, Due Diligence

Trust and Delegation

NYU Working Paper No. FIN-09-016
Number of pages: 43 Posted: 09 Nov 2009 Last Revised: 16 Feb 2012
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 238 (161,228)
Citation 7

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Trust and Delegation

NBER Working Paper No. w15529
Number of pages: 47 Posted: 24 Nov 2009 Last Revised: 07 Jun 2021
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 43 (518,752)
Citation 2

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Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 06-15
Number of pages: 55 Posted: 21 Jul 2006 Last Revised: 11 Sep 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 2,790 (5,604)
Citation 5

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Hedge funds, operational risk, SEC filing, Form ADV

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

NYU Working Paper No. FIN-07-031
Number of pages: 55 Posted: 13 Nov 2008
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst
Downloads 203 (187,766)
Citation 11

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Hedge funds, operational risk, SEC filing, Form ADV

6.

Estimating Operational Risk for Hedge Funds: The ω-Score

Yale ICF Working Paper No. 08-08
Number of pages: 23 Posted: 25 Jan 2008 Last Revised: 11 Sep 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 2,989 (5,131)

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mutual funds, hedge funds, investments, the Omega Score

7.

Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach

EFA 2003 Annual Conference Paper No. 376
Number of pages: 40 Posted: 03 Aug 2003
Anurag Gupta and Bing Liang
Case Western Reserve University - Department of Banking & Finance and University of Massachusetts Amherst - Department of Finance
Downloads 2,807 (5,665)
Citation 16

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Hedge funds, Value-at-Risk, Capital adequacy, Extreme value theory, Monte Carlo simulation.

8.

On the Performance of Alternative Investments: Ctas, Hedge Funds, and Funds-of-Funds

Number of pages: 59 Posted: 23 Apr 2003
Bing Liang
University of Massachusetts Amherst - Department of Finance
Downloads 2,617 (6,335)
Citation 21

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9.

Hedge Funds: The Living and the Dead

Number of pages: 39 Posted: 13 Apr 2000
Bing Liang
University of Massachusetts Amherst - Department of Finance
Downloads 2,030 (9,587)
Citation 21

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10.

Predicting Hedge Fund Failure: A Comparison of Risk Measures

Number of pages: 46 Posted: 30 Apr 2007 Last Revised: 11 Sep 2009
Bing Liang and Hyuna Park
University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 1,938 (10,353)
Citation 18

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hedge fund failure, downside risk, expected shortfall, VaR, attrition rate

11.

Do Market Timing Hedge Funds Time the Market?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 42, No. 4, 2007, EFA 2005 Moscow Meetings
Number of pages: 47 Posted: 18 Mar 2005 Last Revised: 19 Apr 2010
Yong Chen and Bing Liang
Texas A&M University - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 1,872 (10,939)
Citation 13

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Hedge funds, Return timing, Volatility timing, Bootstrap, Persistence

12.

Can Hedge Funds Time Market Liquidity?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 18 Feb 2015
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,546 (14,772)
Citation 43

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Hedge funds, liquidity timing, investment value, liquidity reaction, performance persistence

13.
Downloads 1,421 ( 16,902)
Citation 25

Risk Measures for Hedge Funds: A Cross-Sectional Approach

European Financial Management Journal, Forthcoming
Number of pages: 54 Posted: 17 May 2006
Bing Liang and Hyuna Park
University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 1,398 (17,006)

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hedge funds, cross-section of expected returns, conditional VaR, downside risk, Cornish-Fisher expansion

Risk Measures for Hedge Funds: A Cross-Sectional Approach

European Financial Management, Vol. 13, No. 2, pp. 333-370, March 2007
Number of pages: 38 Posted: 04 Mar 2007
Bing Liang and Hyuna Park
University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 23 (639,144)
Citation 4
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14.

Risk Management Research Report - Spring 2010

Risk Management Research Report, Spring 2010
Number of pages: 16 Posted: 23 Apr 2010
HEC Paris - Finance Department, affiliation not provided to SSRN, University of Massachusetts Amherst - Department of Finance, Brooklyn College - CUNY, Drexel University, Loyola Marymount University - Department of Finance, University of Rochester - Simon Business School, Temple University - Department of Finance, Southern Illinois University - Department of Economics & Finance, University of California, Santa Barbara (UCSB) - Department of Economics, University of California, San Diego (UCSD) - Rady School of Management, University of Utah - David Eccles School of Business, Purdue University - Krannert School of Management, HEC Paris - Finance Department, Harvard Law School, Columbia Business School - Finance and Economics, New York University (NYU) - Department of Finance, Department of Economics, Texas A&M University, Texas A&M University - Department of Economics, International Food Policy Research Institute (IFPRI)International Food Policy Research Institute (IFPRI), University of Navarra, IESE Business School, University of Georgia - Department of Banking and Finance, Southern Methodist University (SMU) - Finance Department, Pennsylvania State University, Smeal College of Business, University of California at Los Angeles - Anderson School of Management, INSEAD, University of South Florida - College of Business Administration, Fordham University, New York University (NYU) - Department of Finance, Fordham University - Gabelli School of Business and Loyola University of Chicago - Department of Finance
Downloads 1,377 (17,725)

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Risk, Risk Management, Derivatives, Corporate Governance, Financial Derivatives, Value-At-Risk, VaR, Ethics, Volatility, Variance, Standard Deviation, Systemic, Systematic

15.

Value at Risk and the Cross-Section of Hedge Fund Returns

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 18 Mar 2005
Turan G. Bali, Suleyman Gokcan and Bing Liang
Georgetown University - Robert Emmett McDonough School of Business, Citigroup Alternative Investments and University of Massachusetts Amherst - Department of Finance
Downloads 1,147 (23,265)
Citation 7

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hedge funds, value at risk, cross-section of expected returns, liquidity

16.
Downloads 922 ( 31,876)
Citation 12

Hedge Fund Holdings and Stock Market Efficiency

FEDS Working Paper No. 2014-36
Number of pages: 61 Posted: 25 May 2014
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 504 (69,899)
Citation 3

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Hedge funds, institutional investors, market efficiency

Hedge Fund Holdings and Stock Market Efficiency

Review of Asset Pricing Studies (RAPS), Forthcoming
Number of pages: 65 Posted: 14 Jun 2016 Last Revised: 20 Apr 2017
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Board of Governors of the Federal Reserve System
Downloads 418 (87,557)
Citation 10

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hedge funds, institutional investors, equity holdings, market efficiency, liquidity crises

17.

Onshore and Offshore Hedge Funds: Are They Twins?

Number of pages: 42 Posted: 06 Mar 2007 Last Revised: 27 Jan 2011
George O. Aragon, Bing Liang and Hyuna Park
Arizona State University (ASU) - Finance Department, University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 900 (32,967)
Citation 3

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offshore hedge funds, lock-up provision, liquidity risk, master-feeder structure

18.

The "Dartboard" Column: The Pros, the Darts, and the Market

Number of pages: 38 Posted: 27 Nov 1996
Bing Liang
University of Massachusetts Amherst - Department of Finance
Downloads 878 (34,075)
Citation 1

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19.

Hedge Funds and Stock Price Formation

Financial Analysts Journal, Vol. 74, No. 3, 2018, pp. 54–69
Number of pages: 30 Posted: 02 Aug 2012 Last Revised: 16 Aug 2018
Pennsylvania State University, Texas A&M University - Department of Finance, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance
Downloads 739 (43,179)
Citation 1

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Hedge funds, stock holdings, stock mispricing, investment value, arbitrage

Hedge Fund Returns: Auditing and Accuracy

Number of pages: 30 Posted: 09 Mar 2007
Bing Liang
University of Massachusetts Amherst - Department of Finance
Downloads 497 (71,154)
Citation 7

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auditing effectiveness, return consistency

Hedge Fund Returns: Auditing and Accuracy

Posted: 10 Oct 2002
Bing Liang
University of Massachusetts Amherst - Department of Finance

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hedge funds, auditing, return accuracy

21.

What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk Arbitrage Strategy

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 56 Posted: 20 Apr 2012 Last Revised: 01 Aug 2014
Pennsylvania State University, Miami University, University of Massachusetts Amherst - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 457 (79,585)
Citation 6

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Hedge funds, hedge fund holdings, performance evaluation, risk arbitrage strategy

22.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 49 Posted: 20 Nov 2015 Last Revised: 29 Mar 2019
University of Massachusetts Amherst - Department of Finance, University of California at Irvine, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 443 (82,510)
Citation 12

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hedge fund flows, investor flow restrictions, hedge fund flow-performance relation

23.

Is Pay for Performance Effective? Evidence from the Hedge Fund Industry

Number of pages: 44 Posted: 26 Jan 2009 Last Revised: 07 Mar 2011
Bing Liang and Christopher Schwarz
University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 375 (100,112)
Citation 3

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Hedge funds, closed to investment, compensation

24.

Estimating Operational Risk for Hedge Funds: The É-Score

NYU Working Paper No. FIN-08-001
Number of pages: 23 Posted: 09 Mar 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst
Downloads 286 (134,532)
Citation 1

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25.

Hedge Fund Manager Skills and Style-Shifting

Management Science, forthcoming
Number of pages: 65 Posted: 12 Apr 2018 Last Revised: 18 Jun 2021
Washington State University, University of Massachusetts Amherst - Department of Finance and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 280 (137,427)

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Hedge funds; Style-shifting; Fund manager skill; Fund performance; Fund flow

26.

Onshore and Offshore Hedge Funds: Are They Twins?

Number of pages: 53 Posted: 03 Mar 2012
Bing Liang, George O. Aragon and Hyuna Park
University of Massachusetts Amherst - Department of Finance, Arizona State University (ASU) - Finance Department and Brooklyn College - CUNY
Downloads 269 (143,290)
Citation 4

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offshore hedge funds, lock-up provision, liquidity risk, master-feeder structure

27.

Portfolio Formation, Measurement Errors, and Beta Shifts: A Random Sampling Approach?

Number of pages: 45 Posted: 03 Dec 2004
Bing Liang
University of Massachusetts Amherst - Department of Finance
Downloads 269 (143,290)
Citation 1

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28.

Mutual Fund Advisory Misconduct: Investor Flows and Company Reactions

Number of pages: 63 Posted: 13 Nov 2017 Last Revised: 11 Aug 2020
Bing Liang, Yuying Sun and Kai Wu
University of Massachusetts Amherst - Department of Finance, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 248 (155,416)

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investor monitoring; misconduct allegation; advisory contracting

29.

Do Hedge Funds Ride Market Irrationality?

Number of pages: 63 Posted: 12 Apr 2018 Last Revised: 11 Sep 2020
Bing Liang and Huacheng Zhang
University of Massachusetts Amherst - Department of Finance and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 169 (220,942)

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hedge funds, noise trader, irrationality riding, arbitrage

30.

Are Mutual Fund Manager Skills Transferable to Private Funds?

International Review of Economics & Finance, Forthcoming
Number of pages: 48 Posted: 07 May 2019 Last Revised: 08 Jul 2021
Ying Sophie Huang, Bing Liang and Kai Wu
affiliation not provided to SSRN, University of Massachusetts Amherst - Department of Finance and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 120 (289,881)
Citation 1

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private funds, mutual funds, investment skills, work experience

31.

Estimating Operational Risk for Hedge Funds: The Ω-Score

NYU Working Paper No. 2451/27845
Number of pages: 23 Posted: 10 Sep 2013
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 106 (316,131)
Citation 4

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32.

Liquidity Characteristics of Market Anomalies and Institutional Trading

Number of pages: 64 Posted: 14 Dec 2020 Last Revised: 26 May 2021
Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, University of Iowa - Henry B. Tippie College of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 80 (377,368)

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Institutional trading, market anomalies, liquidity characteristics, market efficiency

33.

Carbon Risk Exposure in the Mutual Fund Industry

Number of pages: 54 Posted: 21 Aug 2021
Huan Kuang and Bing Liang
University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 71 (406,712)

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Climate change; Carbon risk; Mutual fund performance; Mutual fund flow; Socially responsible investing

34.

Economic Policy Uncertainty and Hedge Fund Returns

Number of pages: 57 Posted: 03 Mar 2021
Bing Liang, Songtao Wang and Chunyang Zhou
University of Massachusetts Amherst - Department of Finance, Shanghai Jiao Tong University and Shanghai Jiao Tong University (SJTU)
Downloads 70 (409,855)

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economic policy uncertainty, hedge fund returns, timing ability

35.

Hedge Fund Leverage: 2002–2017

European Financial Management, Vol. 25, Issue 4, pp. 908-941, 2019
Number of pages: 34 Posted: 19 May 2020
Bing Liang and Liping Qiu
University of Massachusetts Amherst - Department of Finance and University of Connecticut - School of Business
Downloads 0 (808,910)
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financial crisis, hedge funds, leverage, newborn funds, survival

36.

On the Dynamics of Hedge Fund Strategies

Posted: 22 May 2019
Li Cai and Bing Liang
Illinois Institute of Technology - Stuart School of Business, IIT and University of Massachusetts Amherst - Department of Finance

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37.

Liquidity Costs, Return Smoothing, and Investor Flows: Evidence from a Separate Account Platform

Asian Finance Association (AsFA) 2013 Conference
Posted: 24 May 2013
Pennsylvania State University, Texas Christian University, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

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38.

Asset Allocation Dynamics in the Hedge Fund Industry

Journal of Investment Management (JOIM), Second Quarter 2012
Posted: 02 Jun 2012
Li Cai and Bing Liang
Illinois Institute of Technology - Stuart School of Business, IIT and University of Massachusetts Amherst - Department of Finance

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Change point, asset allocation, hedge funds, performance

39.

Hedge Fund Styles: 2005- 2011

Midwest Finance Association 2012 Annual Meetings Paper
Posted: 01 Oct 2011 Last Revised: 19 Oct 2017
Li Cai and Bing Liang
Illinois Institute of Technology - Stuart School of Business, IIT and University of Massachusetts Amherst - Department of Finance

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40.

Estimating Operational Risk for Hedge Funds: The Omega-Score

Financial Analysts Journal, Vol. 65, No. 1, 2009
Posted: 31 Jan 2009
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine

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Risk Measurement and Management: Alternative Investments; Portfolio Management: Hedge Fund strategies; Alternative Investments: Hedge Fund Strategies

41.

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

Journal of Investment Management, 2008
Posted: 26 Nov 2008
Bryan Cave LLP, Attorney in New York City and University of Massachusetts Amherst - Department of Finance

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Hedge funds, operational risk, due diligence, alpha

42.

Alternative Investments: Ctas, Hedge Funds, and Funds-of-Funds

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2004
Posted: 10 Dec 2004
Bing Liang
University of Massachusetts Amherst - Department of Finance

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Hedge funds, funds-of-funds, commodity trading advisors

43.

Portfolio Formation, Measurement Errors and Beta Shifts: A Random Sampling Approach

The Journal of Financial Research
Posted: 24 Nov 1999
Bing Liang
University of Massachusetts Amherst - Department of Finance

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44.

Price Pressure: Evidence from the 'Dartboard' Column

Journal of Business, Vol. 72, No. 1, January 1999
Posted: 07 Nov 1998
Bing Liang
University of Massachusetts Amherst - Department of Finance

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