George J. Jiang

Washington State University

Gary P. Brinson Chair of Investment Management

Department of Finance and Management Science

Carson College of Business

Pullman, WA 99-4746164

United States

http://directory.business.wsu.edu/bio.html?username=george.jiang

SCHOLARLY PAPERS

55

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82

CROSSREF CITATIONS

363

Scholarly Papers (55)

1.

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

Journal of Derivatives, Vol. 14, No. 3, 2007
Number of pages: 41 Posted: 08 Feb 2006 Last Revised: 01 May 2014
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 3,476 (2,944)
Citation 13

Abstract:

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volatility index, VIX, investor fear gauge, volatility smile, fair value of future variance, model-free implied volatility

2.

Hedging Derivatives Risks - a Simulation Study

Number of pages: 46 Posted: 20 Mar 2002
Roel C. A. Oomen and George J. Jiang
Deutsche Bank AG (London) and Washington State University
Downloads 2,128 (6,765)

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Derivatives Risks, Model Risk, Hedging Strategies, Hedging Performance, Simulation Study

3.

Stock Price Jumps and Cross-Sectional Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 45 Posted: 25 Sep 2008 Last Revised: 27 Feb 2013
George J. Jiang and Tong Yao
Washington State University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,286 (15,358)
Citation 12

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stock return predictability, firm characteristics, stock price jumps, asset pricing theory

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

COMPUTATIONAL FINANCE, Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, Andreas S. Weigend, eds., Cambridge, MA: MIT Press, 1999
Number of pages: 41 Posted: 29 Dec 2000 Last Revised: 27 Feb 2013
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 891 (26,036)
Citation 2

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stochastic volatility, efficient method of moments (EMM), reprojection, option pricing

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 38 Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 350 (87,178)
Citation 1

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Swaps, default risk

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

European Finance Review, Vol. 3, No. 3
Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund

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Swaps, default risk

5.

The Information Content of Idiosyncratic Volatility

Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.
Number of pages: 28 Posted: 18 Aug 2005 Last Revised: 03 Oct 2012
George J. Jiang, Danielle Xu and Tong Yao
Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,233 (16,384)
Citation 8

Abstract:

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Idiosyncratic Volatility, Corporate Disclosure

6.

Dissecting the Idiosyncratic Volatility Anomaly

Number of pages: 40 Posted: 17 Mar 2012
Linda H. Chen, George J. Jiang, Danielle Xu and Tong Yao
University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,077 (20,084)
Citation 7

Abstract:

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idiosyncratic volatility, stock returns, robustness, market microstructure effect

7.

The Model-Free Implied Volatility and Its Information Content

Review of Financial Studies 18(4), 1305-1342, 2005
Number of pages: 38 Posted: 18 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 729 (34,978)
Citation 17

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8.

Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach

Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of pages: 41 Posted: 21 Nov 2005 Last Revised: 08 Jul 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 711 (36,214)
Citation 8

Abstract:

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swap variance, jumps, bi-power variation, market microstructure noise

9.

Volatility Spillovers and the Effect of News Announcements

Journal of Banking and Finance, Forthcoming
Number of pages: 33 Posted: 17 Jul 2010 Last Revised: 11 Apr 2012
Washington State University, University of Manchester - Manchester Business School and Queen Mary, University of London, School of Economics and Finance
Downloads 490 (58,840)
Citation 9

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Contagion, Scheduled news announcements, Unscheduled news announcements, Implied volatility, Implied volatility index,Volatility spillovers

10.

Information Shocks and Short-Term Market Underreaction

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 29 Dec 2016
George J. Jiang and Xingnong Zhu
Washington State University and Ibbotson Associates
Downloads 435 (68,008)

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Information shocks; short-term underreaction; stock return momentum; earnings announcement effect; limited investor attention

11.

Do Style and Sector Indexes Carry Momentum?

The Journal of Investment Strategies, vol1(3), Summer 2012, 67-89.
Number of pages: 29 Posted: 01 Sep 2012 Last Revised: 07 Sep 2012
Linda H. Chen, George J. Jiang and Xingnong Zhu
University of Idaho, Washington State University and Ibbotson Associates
Downloads 434 (68,207)
Citation 1

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Style Indexes, Sector Indexes, Price Momentum, Earnings Momentum, Transaction Costs

12.

Separating Up from Down: New Evidence on the Idiosyncratic Volatility - Return Relation

AFA 2008 New Orleans Meetings Paper
Number of pages: 43 Posted: 20 Mar 2007 Last Revised: 21 Feb 2013
Laura Frieder and George J. Jiang
Purdue University - Krannert School of Management and Washington State University
Downloads 429 (69,189)

Abstract:

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idiosyncratic volatility, risk

Drift or Jump: What Drives Post-Earnings Announcement Stock Returns?

Advances in Quantitative Analysis of Finance and Accounting, Volume 11(2013), pp.175-206
Number of pages: 36 Posted: 04 Oct 2012 Last Revised: 02 Nov 2018
Linda H. Chen and George J. Jiang
University of Idaho and Washington State University
Downloads 226 (139,084)

Abstract:

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post-earnings announcement drift, delayed reaction to earnings information, unexpected information shocks, stock price jumps

Drift or Jump: What Drives Post-Earnings Announcement Stock Returns?

Advances in Quantitative Analysis of Finance and Accounting (AQAFA), Forthcoming
Number of pages: 36 Posted: 30 Jun 2013
Linda H. Chen and George J. Jiang
University of Idaho and Washington State University
Downloads 169 (182,396)

Abstract:

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Post-earnings announcement drift, delayed reaction to earnings information, unexpected information shocks, stock price jumps

14.

The Shrinking Space for Anomalies

Journal of Financial Research, Forthcoming
Number of pages: 38 Posted: 19 Mar 2011 Last Revised: 01 May 2014
George J. Jiang and Andrew (Jianzhong) Zhang
Washington State University and University of Nevada, Las Vegas - Department of Finance
Downloads 392 (77,042)

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Market Anomaly, Factor Model

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Journal of Financial Econometrics, Vol. 5, No. 1, pp. 1-30, 2007
Number of pages: 39 Posted: 19 Sep 2006 Last Revised: 15 Feb 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 356 (85,461)

Abstract:

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Posted: 18 Aug 2006 Last Revised: 27 Feb 2013
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 1-30, 2007
Posted: 16 Jun 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

Abstract:

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affine jump diffusion, generalized method of moments, high-frequency data, latent state variables, unbiased minimum-variance estimator

16.

Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, 2010
Number of pages: 31 Posted: 14 Mar 2006 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 341 (90,431)

Abstract:

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Volatility forecasting, Option expensing, Historical volatility, Shrinkage forecast, Long memory, Fractional integration, Comovements

17.

Costly Information Production, Information Intensity, and Mutual Fund Performance

Number of pages: 61 Posted: 03 Mar 2017 Last Revised: 23 Nov 2018
George J. Jiang, Ke Shen, Russ Wermers and Tong Yao
Washington State University, Lehigh University - College of Business, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business
Downloads 321 (96,702)
Citation 1

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information intensity; performance persistence

18.

Total Attention: The Effect of Macroeconomic News on Market Reaction to Earnings News

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 15 May 2017 Last Revised: 01 Nov 2018
Linda H. Chen, George J. Jiang and Xingnong Zhu
University of Idaho, Washington State University and Ibbotson Associates
Downloads 261 (120,695)
Citation 1

Abstract:

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Earnings announcement; macroeconomic news announcement; market reaction; limited investor attention; category-learning behavior

19.

Linear-Quadratic Term Structure Models – Toward the Understanding of Jumps in Interest Rates

Journal of Banking and Finance, 2009, Vol. 33, No. 3
Number of pages: 13 Posted: 20 Mar 2006 Last Revised: 03 Oct 2012
George J. Jiang and Shu Yan
Washington State University and Oklahoma State University - Stillwater - Department of Finance
Downloads 237 (133,245)
Citation 4

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Term Structure, Affine, Quadratic, Jumps, GMM

20.

Market Reaction to Information Shocks – Does the Bloomberg and Briefing.com Survey Matter?

Journal of Futures Markets, Vol. 33, No. 10, 939-964 (2013)
Number of pages: 37 Posted: 03 May 2012 Last Revised: 01 Nov 2018
Linda H. Chen, George J. Jiang and Qin Emma Wang
University of Idaho, Washington State University and Oklahoma State University - Tulsa
Downloads 217 (145,151)
Citation 1

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Information shocks, Macroeconomic announcements, Market reactions, Asymmetric market reactions, Bloomberg survey, Briefing.com survey

21.

Biases in CAPM Beta Estimation

Advances in Investment Analysis and Portfolio Management, Volume 8(2017), pp.83-103.
Number of pages: 28 Posted: 02 Sep 2016 Last Revised: 01 Nov 2018
Linda H. Chen, George J. Jiang, Pan Guanzhong and Xingnong Zhu
University of Idaho, Washington State University, Washington State University and Ibbotson Associates
Downloads 207 (151,735)

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Capital Asset Pricing Model (CAPM), Beta Estimation, Exogeneity, Consistency, Unbiasedness

22.

Herding on Earnings News: The Role of Institutional Investors in Post-Earnings-Announcement Drift

Journal of Accounting, Auditing and Finance, Vol. 32, No. 4, 2017
Number of pages: 41 Posted: 08 Feb 2017 Last Revised: 01 Nov 2018
Linda H. Chen, Wei Huang and George J. Jiang
University of Idaho, College of Saint Benedict (CSB) and Saint John's University (SJU) and Washington State University
Downloads 201 (155,963)

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Post-Earnings-Announcement Drift, Institutional Herding, Short-Term Price Impact, Stock Price Discovery

23.

Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 5, 2009
Number of pages: 34 Posted: 15 Mar 2006 Last Revised: 20 Feb 2013
Abdoul G. Sam and George J. Jiang
The Ohio State University and Washington State University
Downloads 201 (155,963)

Abstract:

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drift function, nonparametric estimation, panel of yields

24.

Hedge Fund Manager Skills and Style-Shifting

Number of pages: 63 Posted: 12 Apr 2018 Last Revised: 23 Feb 2019
George J. Jiang, Bing Liang and Huacheng Zhang
Washington State University, University of Massachusetts Amherst - Department of Finance and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 182 (170,796)

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Hedge Funds; Style-Shifting; Fund Performance; Manager Skill; Style-Chasing

25.

Evaluating Analysts’ Value: Evidence from Recommendations around Stock Price Jumps

Number of pages: 42 Posted: 20 Sep 2009
George J. Jiang and Woojin Kim
Washington State University and Seoul National University - Business School
Downloads 172 (179,578)

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Analyst Recommendations, Information Processing Ability, Stock Price Jumps, Corporate Event, Market Reactions

26.

What Drives the 'Smart-Money' Effect? Evidence from Investors' Money Flow to Mutual Fund Classes

Forthcoming Journal of Empirical Finance
Number of pages: 53 Posted: 11 Nov 2016
George J. Jiang and H. Zafer Yuksel
Washington State University and University of Massachusetts
Downloads 171 (180,457)

Abstract:

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Fund Flows, Smart-Money Effect, Persistent-Flow Explanation, Institutional Funds, Retail Funds, Fund Classes

27.

Evaluating Analysts' Value: Evidence from Recommendations Around Stock Price Jumps

Number of pages: 46 Posted: 26 Mar 2010
George J. Jiang and Woojin Kim
Washington State University and Seoul National University - Business School
Downloads 171 (180,457)

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Analyst Recommendations, Information Processing Ability, Stock Price Jumps, Corporate Event, Market Reactions

28.

Risk, Illiquidity or Marketability: What Matters for Discounts on Private Equity Placements?

Journal of Banking and Finance, Vol. 57, 2015
Number of pages: 39 Posted: 12 Oct 2015
University of Idaho, University of Arizona, Washington State University and San Diego State University-College of Business Administration
Downloads 159 (192,078)

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Private equity placement; Trading restriction; Discount; Risk; Illiquidity; Marketability

29.

A Nonparametric Approach to the Estimation of Diffusion Processes - With an Application to a Short-Term Interest Rate Model

Econometric Theory, 1997 (13), 615-645
Number of pages: 37 Posted: 20 Sep 2012
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 150 (201,671)
Citation 1

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30.

The Information Content of Analyst Recommendation Revisions – Evidence from the Chinese Stock Market

Pacific-Basin Finance Journal, Vol. 29, 2014
Number of pages: 35 Posted: 01 May 2014
George J. Jiang, Liangliang Lu and Dongming Zhu
Washington State University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai University of Finance and Economics - School of Economics
Downloads 149 (202,773)

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Analyst Recommendations; Recommendation Revisions; Market Reactions; Short-selling Restriction; Individual Investor

31.

Stock Selection Timing

Number of pages: 59 Posted: 02 Apr 2019
Washington State University, West Virginia University, Department of Finance and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 146 (206,252)

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Mutual Funds; Active Trading; Stock Selection Opportunity; Stock Selection Timing

32.

Misreaction or Misspecification? A Re-Examination of Volatility Anomalies

Journal of Banking and Finance, Vol. 34, 2010
Number of pages: 12 Posted: 22 Aug 2011 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 130 (226,331)

Abstract:

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Volatility anomaly, Model misspecification, Market misreaction, Model-free implied volatility, Market efficiency

33.

A Random Walk Down the Options Market

Journal of Futures Markets, 2012, 32(6), 505-535.
Number of pages: 31 Posted: 22 Mar 2009 Last Revised: 03 Oct 2012
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 126 (231,841)

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Model-free forward variance, random walk, expectations hypothesis, market illiquidity, model misspecification

34.

Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

Journal of Financial and Quantitative Analysis (JFQA), Vol. 33, 1998
Number of pages: 34 Posted: 20 Sep 2012
George J. Jiang
Washington State University
Downloads 113 (251,152)

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35.

Gauging the Investor Fear Gauge: Implementation Problems of the Cboe's New Volatility Index

Number of pages: 55 Posted: 26 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 104 (266,168)
Citation 7

Abstract:

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Volatility index, VIX, Investor fear gauge, Volatility smile, Fair value of future variance, Model-free implied volatility, No-arbitrage smoothing

36.

Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing

International Journal of Theoretical and Applied Finance, 1999 (2), No. 4, 409-440
Number of pages: 37 Posted: 02 Oct 2012
George J. Jiang
Washington State University
Downloads 96 (280,914)

Abstract:

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Stochastic Volatility, Jump-Diffusion, Option Pricing

37.

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of pages: 26 Posted: 18 Mar 2008 Last Revised: 20 Feb 2013
George J. Jiang, Ingrid Lo and Adrien Verdelhan
Washington State University, Bank of Canada and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 91 (290,625)
Citation 16

Abstract:

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Information Shocks, Jumps, Price Discovery

38.

Option Pricing with the Efficient Method of Moments

Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and APG Asset Management, GTAA Fund
Downloads 84 (305,480)

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Stochastic Volatility, Efficient Method of Moments (EMM), Reprojection, Option Pricing

39.

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

HKIMR Working Paper No.19/2018
Number of pages: 48 Posted: 27 Aug 2018
George J. Jiang, Ingrid Lo and Giorgio Valente
Washington State University, Bank of Canada and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 81 (312,341)
Citation 3

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High-frequency Trading; Macroeconomic News Announcements; U.S. Treasury Market; Market Liquidity; Price Efficiency

40.

Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes -- A Monte Carlo Study

Journal of Computational Finance, 1999 (2), Nov. 3, 1-34
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 80 (314,625)

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Diffusion Process, Parametric Estimation, Nonparametric Estimation, Monte Carlo Simulation

41.

Affine-Quadratic Jump-Diffusion Term Structure Models

Number of pages: 41 Posted: 24 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Shu Yan
Washington State University and Oklahoma State University - Stillwater - Department of Finance
Downloads 80 (314,625)

Abstract:

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Affine, Quadratic, Jump-Diffusions, Term Structure, GMM

42.

Estimation of Continuous-Time Processes via the Empirical Characteristic Function

Journal of Business & Economic Statistics, 20:2, 198-212 (2002)
Posted: 18 Feb 2013
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 79 (316,990)

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43.

Be Prompt or Be Punished: Why Do Investors Discount Earnings Announced Late?

Number of pages: 58 Posted: 24 Apr 2018
Linda H. Chen, George J. Jiang and Kevin X. Zhu
University of Idaho, Washington State University and Hong Kong Polytechnic University
Downloads 70 (339,551)

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Earnings Announcement, Delayed Reporting, Investor Reaction, Disclosure Credibility, Price Efficiency

44.

The Role of Analysts: An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market

Journal of Empirical Finance, Forthcoming
Number of pages: 49 Posted: 08 Aug 2018 Last Revised: 16 Jun 2019
Ming Gu, George J. Jiang and Bu Xu
Xiamen University - School of Economics, Washington State University and Beijing University of Chemical Technology
Downloads 61 (364,896)

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Analyst Coverage; Analyst Revision; Idiosyncratic Volatility Anomaly; Chinese Stock Market

45.

What Could Also Cause or Aggravate the Implicit ‘Smile’ and ‘Asymmetry’?

Applied Economics Letters, 2002 (9), 75-80
Number of pages: 12 Posted: 02 Oct 2012
George J. Jiang
Washington State University
Downloads 59 (370,852)

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46.

Private Information Flow and Price Discovery in the U.S. Treasury Market

Number of pages: 43 Posted: 01 Sep 2012 Last Revised: 29 Dec 2016
George J. Jiang and Ingrid Lo
Washington State University and Bank of Canada
Downloads 58 (373,935)
Citation 1

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Private information flow; Public information shocks; Price discovery; Order flow impact; Bond return volatility; Depth of limit order book

47.

Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

International Review of Finance, Vol. 3, pp. 233-272, September 2002
Number of pages: 40 Posted: 30 Dec 2004
George J. Jiang
Washington State University
Downloads 34 (463,133)
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48.

Back to the Futures: When Short Selling is Banned

Number of pages: 50 Posted: 17 Jul 2019 Last Revised: 07 Oct 2019
George J. Jiang, Yoshiki Shimizu and Cuyler Strong
Washington State University, University of Minnesota - Duluth and Washington State University
Downloads 28 (492,208)
Citation 1

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Short-Selling Ban, Financial Crisis, Single-Stock Futures, Price Discovery, Market Quality

49.

When Trading Options is Not the Only Option: The Effects of Single-Stock Futures Trading on Options Market Quality

Number of pages: 38 Posted: 17 Jul 2019 Last Revised: 10 Oct 2019
George J. Jiang, Yoshiki Shimizu and Cuyler Strong
Washington State University, University of Minnesota - Duluth and Washington State University
Downloads 25 (508,616)

Abstract:

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Short Selling Ban, Financial Crisis, Single-Stock Futures, Options Market Quality

50.

Big Fish in a Small Pond: Institutional Trading of Penny Stocks

The Quarterly Journal of Finance, Forthcoming
Number of pages: 38 Posted: 13 Jan 2020
Wei Huang and George J. Jiang
College of Saint Benedict (CSB) and Saint John's University (SJU) and Washington State University
Downloads 17 (556,355)

Abstract:

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Penny Stocks, Institutional Trading, Price Impact, Abnormal Stock Returns, Short Interest

51.

Sentimental Mutual Fund Flows

Number of pages: 56 Posted: 27 Oct 2013 Last Revised: 21 Jun 2019
George J. Jiang and H. Zafer Yuksel
Washington State University and University of Massachusetts
Downloads 9 (607,425)

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Mutual fund flows; Investor sentiment; Fund performance; Fund expenses; Fund visibility; Flow-performance relation; Investor timing ability

52.

ECF Estimation of Markov Models Where the Transition Density is Unknown

Econometrics Journal, Vol. 13, Issue 2, pp. 245-270, July 2010
Number of pages: 26 Posted: 10 May 2010
George J. Jiang and John Knight
Washington State University and University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased)
Downloads 2 (658,830)
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53.

Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution

Posted: 21 Jun 2019
George J. Jiang and Dongming Zhu
Washington State University and Shanghai University of Finance and Economics - School of Economics

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VIX index; Uncertainty creation; Uncertainty resolution; Macroeconomic news announcements; Out-of-sample forecasts; Trading strategy

54.

Valuing Illiquid Common Stock

Financial Analysts Journal, Vol. 64, No. 4, 2008
Posted: 24 Sep 2008
Edward Alexander Dyl and George J. Jiang
University of Arizona and Washington State University

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Equity Investments, Fundamental Analysis and Valuation Models, Alternative Investments, Other

55.

Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 390-421, 2004
Posted: 29 Feb 2008
Dingan Feng, George J. Jiang and Peter X.K. Song
York University - Department of Economics, Washington State University and University of Waterloo - Department of Statistics and Actuarial Science

Abstract:

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autoregressive conditional duration (ACD) model, ergodicity, financial transaction data, leverage effect, Monte Carlo maximum-likelihood (MCML) estimation, stationarity, stochastic conditional duration (SCD) model