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

68

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SSRN CITATIONS
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SSRN RANKINGS

Top 2,310

in Total Papers Citations

400

CROSSREF CITATIONS

370

Scholarly Papers (68)

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 4,255 (4,602)
Citation 20

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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 2,293 (12,453)

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

3.

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 1,579 (22,394)
Citation 83

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4.

Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

AFA 2005 Philadelphia Meetings Paper, Journal of Financial Economics (JFE), Vol. 86, 2007
Number of pages: 49 Posted: 16 Jan 2005 Last Revised: 23 Jun 2020
George J. Jiang, Tong Yao and Tong Yu
Washington State University, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,554 (22,967)
Citation 12

Abstract:

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market timing, mutual fund

5.

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 1,492 (24,384)
Citation 13

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

6.
Downloads 1,434 (25,865)
Citation 14

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 1,316 (28,862)
Citation 10

Abstract:

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idiosyncratic volatility, stock returns, robustness, market microstructure effect

Dissecting the Idiosyncratic Volatility Anomaly

Journal of Empirical Finance, Forthcoming
Number of pages: 50 Posted: 06 Nov 2020
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 118 (439,863)
Citation 7

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Idiosyncratic volatility anomaly, Robustness, Market microstructure effect, Microcaps, Penny stocks, Stock return reversal

7.

Unusual Option Activity: Is it Smart to Follow ‘Smart Money’?

Number of pages: 77 Posted: 29 Jun 2020 Last Revised: 03 May 2024
George J. Jiang and Cuyler Strong
Washington State University and Wayne State University - Mike Ilitch School of Business
Downloads 1,397 (26,885)

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Options trading, Return predictability, Media coverage, Investor attention

8.

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 1,341 (28,506)
Citation 21

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Idiosyncratic Volatility, Corporate Disclosure

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 affiliation not provided to SSRN
Downloads 928 (47,599)
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 affiliation not provided to SSRN
Downloads 382 (145,827)
Citation 1

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Swaps, default risk

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and affiliation not provided to SSRN

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Swaps, default risk

10.

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 880 (52,006)
Citation 21

Abstract:

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

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 744 (65,223)
Citation 1

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

12.

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 633 (80,099)
Citation 4

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

13.

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, The University of Manchester - Manchester Business School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 544 (96,907)
Citation 11

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

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 296 (192,309)

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 204 (277,478)

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

15.

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 489 (110,397)
Citation 3

Abstract:

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idiosyncratic volatility, risk

16.

Costly Information Production, Information Intensity, and Mutual Fund Performance

Number of pages: 61 Posted: 03 Mar 2017 Last Revised: 23 Sep 2021
George J. Jiang, Ke Shen, Russ Wermers and Tong Yao
Washington State University, Lehigh University -- Perella Department of Finance, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business
Downloads 483 (112,064)
Citation 4

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information intensity; performance persistence

17.

Hedge Fund Manager Skills and Style-Shifting

Management Science, forthcoming
Number of pages: 65 Posted: 12 Apr 2018 Last Revised: 18 Jun 2021
George J. Jiang, Bing Liang and Huacheng Zhang
Washington State University, University of Massachusetts Amherst - Department of Finance and University of Edinburgh Business School
Downloads 437 (126,116)
Citation 7

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

18.

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 435 (126,794)
Citation 2

Abstract:

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Market Anomaly, Factor Model

19.

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 423 (130,946)
Citation 3

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

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 406 (135,958)
Citation 1

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

21.

Stock Selection Timing

Journal of Banking and Finance, Vol. 121, 2021
Number of pages: 60 Posted: 02 Apr 2019 Last Revised: 18 Jun 2021
Washington State University, West Virginia University, Department of Finance and University of Edinburgh Business School
Downloads 397 (140,915)
Citation 3

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Mutual Funds; Active Trading; Stock Selection Opportunity; Stock Selection Timing; Stock-picking ability

22.

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 377 (149,206)

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

23.

The Unintended Consequence of Employment Nondiscrimination Acts: Evidence from Earnings Management

Number of pages: 67 Posted: 17 Jan 2024
Wenbin Hu, George J. Jiang, Wenquan Li and He Wang
University of Queensland - School of Business, Washington State University, University of Queensland - Business School and Southern University of Science and Technology
Downloads 336 (169,152)

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Employment nondiscrimination acts; Earnings management; Corporate social responsibility

24.

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 326 (174,765)

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

25.

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, University of Minnesota Duluth and Washington State University
Downloads 306 (186,745)
Citation 2

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

26.

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 289 (198,364)
Citation 4

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Term Structure, Affine, Quadratic, Jumps, GMM

27.

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 270 (212,592)
Citation 2

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

28.

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 Texas A&M University Corpus Christi
Downloads 262 (219,010)
Citation 12

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

Investor Risk Appetite and High-Beta Stock Valuation around Macroeconomic Announcements

Number of pages: 55 Posted: 21 Oct 2020 Last Revised: 25 Jan 2024
Jingjing Chen and George J. Jiang
Portland State University - School of Business Administration and Washington State University
Downloads 166 (333,972)

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Macroeconomic announcements; High-beta stock returns; Beta premium; Market return; Investor risk appetite

Investor Risk Appetite and High-Beta Stock Valuation Around Macroeconomic Announcements

Number of pages: 55 Posted: 25 Jan 2024
Jingjing Chen and George J. Jiang
Portland State University - School of Business Administration and Washington State University
Downloads 95 (514,684)

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Macroeconomic announcements, High-beta stock returns, Beta premium, Market return, Investor risk appetite

30.

Academic CEOs and Corporate Innovation

Number of pages: 72 Posted: 29 Aug 2022 Last Revised: 25 Jul 2023
George J. Jiang, Wenquan Li, Yaohua Li and He Wang
Washington State University, University of Queensland - Business School, University of Glasgow and Southern University of Science and Technology
Downloads 250 (229,451)

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Corporate innovation; CEO academic experience; Innovative effectiveness; External governance; Innovative industries

31.

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 250 (229,451)
Citation 1

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

32.

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
University of Minnesota Duluth and Washington State University
Downloads 248 (231,289)
Citation 1

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

33.

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 238 (240,845)

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drift function, nonparametric estimation, panel of yields

34.

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 232 (246,674)

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

35.

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 221 (258,330)
Citation 3

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

36.

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 207 (274,582)

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

37.

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 201 (281,990)
Citation 1

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38.

Information Intensity and Pricing of Earnings Announcement Risk

Number of pages: 53 Posted: 22 Mar 2021 Last Revised: 15 Feb 2023
Jingjing Chen, Linda H. Chen and George J. Jiang
Portland State University - School of Business Administration, University of Idaho and Washington State University
Downloads 190 (296,629)

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Earnings announcement risk; Risk premium; Information intensity; Cash-flow news; Announcement premium

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: 02 Jun 2020
Ming Gu, George J. Jiang and Bu Xu
Xiamen University - School of Economics, Washington State University and Beijing University of Chemical Technology
Downloads 120 (434,312)
Citation 3

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

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

Number of pages: 46 Posted: 27 Jan 2018
Ming Gu, George J. Jiang and Bu Xu
Xiamen University - School of Economics, Washington State University and Beijing University of Chemical Technology
Downloads 37 (832,680)
Citation 3

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

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

Number of pages: 37 Posted: 30 Jan 2017
Ming Gu, George J. Jiang and Bu Xu
Xiamen University - School of Economics, Washington State University and Beijing University of Chemical Technology
Downloads 27 (922,109)

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40.

Academia to Action: Managerial Academic Experience and Corporate ESG Performance

Number of pages: 51 Posted: 08 Dec 2023
George J. Jiang, Wenquan Li, Nan Shi, Zizhe Tang and He Wang
Washington State University, University of Queensland - Business School, China Galaxy Securities, Southern University of Science and Technology and Southern University of Science and Technology
Downloads 178 (314,360)

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Managerial academic experience; ESG performance; Agency issue; Pollution intensity; Corporate philanthropy; Capital expenditure

41.

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 173 (322,345)

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

42.

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 170 (327,258)
Citation 7

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

43.

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 169 (328,935)

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

44.

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 166 (334,055)

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45.

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
Washington State University, Bank of Canada and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 157 (350,293)
Citation 30

Abstract:

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Information Shocks, Jumps, Price Discovery

46.

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 156 (352,231)

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

47.

Back to the Futures: When Short Selling is Banned

Number of pages: 70 Posted: 17 Jul 2019 Last Revised: 08 Oct 2021
George J. Jiang, Yoshiki Shimizu and Cuyler Strong
Washington State University, Hitotsubashi University - Hitotsubashi University Business School and Wayne State University - Mike Ilitch School of Business
Downloads 155 (354,185)
Citation 4

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

48.

Does Managers’ Early Policy-Induced Adversity Affect Corporate ESG Performance? Evidence From China Sent-Down Youth Movement

Number of pages: 52 Posted: 21 Sep 2022
He Wang, Wenquan Li, Rong Wang and George J. Jiang
Southern University of Science and Technology, University of Queensland - Business School, University of Queensland and Washington State University
Downloads 151 (361,725)
Citation 4

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Upper echelons theory, ESG performance, Early-life experience, Agency problem, Sent-down youth movement

49.

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 143 (377,921)

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Stochastic Volatility, Jump-Diffusion, Option Pricing

50.

Sharpening the Sharpe Style Analysis with Machine Learning: Evidence of Mutual Fund Style-Shifting Skill

Number of pages: 70 Posted: 27 Oct 2023 Last Revised: 29 Jan 2024
George J. Jiang, Bing Liang and Huacheng Zhang
Washington State University, University of Massachusetts Amherst - Department of Finance and University of Edinburgh Business School
Downloads 141 (382,077)

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Mutual fund style-shifting; Machine learning; LASSO; Sharpe style analysis; Style-timing; Style expertise

51.

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 affiliation not provided to SSRN
Downloads 131 (404,734)

Abstract:

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

52.

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 125 (419,352)

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

53.

(When) is Beta Priced in China?

Number of pages: 48 Posted: 21 Nov 2023 Last Revised: 27 Nov 2023
Xiaoyuan Wan, Jiachen Zhang and George J. Jiang
Shanghai University of International Business and Economics - School of Finance, Zhejiang University of Finance and Economics (ZUFE) and Washington State University
Downloads 124 (421,894)

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Market risk,Daily return,Day return,Night return,Chinese stock market

54.

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 124 (421,894)

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

55.

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 113 (452,274)
Citation 5

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56.

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 Texas A&M University Corpus Christi
Downloads 93 (517,443)
Citation 2

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

57.

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 93 (517,443)
Citation 3

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

58.

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 89 (531,833)

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59.

A Separation Analysis of the Idiosyncratic Volatility-Return Relation

Number of pages: 27 Posted: 06 Jun 2022
George J. Jiang, Gady Jacoby, Gady Jacoby, Lei Lu and Chengbo Fu
Washington State University, College of Management Academic Studies, University of Manitoba and University of Northern British Columbia - School of Business
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Citation 1

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Market Condition, Idiosyncratic Volatility, Upside Risk, Downside Risk, Investor Reaction

60.

Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution

Journal of Banking and Finance, Forthcoming
Number of pages: 50 Posted: 21 Jun 2019 Last Revised: 13 Jan 2021
Jingjing Chen, George J. Jiang, Chaowen Yuan and Dongming Zhu
Portland State University - School of Business Administration, Washington State University, Shanghai University of Finance and Economics - School of Economics 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

61.

Information Uncertainty of Fiscal Year End Quarter Earnings

Review of Accounting and Finance, forthcoming
Number of pages: 48 Posted: 28 Mar 2022
Linda H. Chen, George J. Jiang and Kevin X. Zhu
University of Idaho, Washington State University and Hong Kong Polytechnic University
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Fiscal-year-end (FYE) quarter earnings, Information uncertainty, Market reactions, FASB Statement No. 145

62.

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

Jiang, G.J., Shimizu, Y. and Strong, C., 2020. When trading options is not the only option: The effects of single‐stock futures trading on options market quality. Journal of Futures Markets.
Number of pages: 38 Posted: 17 Jul 2019 Last Revised: 07 Oct 2021
George J. Jiang, Yoshiki Shimizu and Cuyler Strong
Washington State University, Hitotsubashi University - Hitotsubashi University Business School and Wayne State University - Mike Ilitch School of Business
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Short Selling Ban, Financial Crisis, Single-Stock Futures, Options Market Quality

63.

Getting on Board: The Monitoring Effect of Institutional Directors

Journal of Corporate Finance, Forthcoming
Number of pages: 62 Posted: 27 Feb 2021
George J. Jiang and Chang Liu
Washington State University and California State University, Sacramento
Downloads 71 (606,870)

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Institutional Investors, Board of Directors, Institutional Monitoring, Informational Efficiency, Firm Performance, Corporate Policies

64.

Whose Money is Smarter? Evidence from Investors’ Money Flows to Mutual Funds and Fund Classes

Number of pages: 39 Posted: 20 Mar 2012
George J. Jiang and H. Zafer Yuksel
Washington State University and affiliation not provided to SSRN
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“Smart money” effect, Fund flows, Stock return momentum, Institutional funds, Retail funds, Fund classes

65.

Do Short-Term Institutions and Short Sellers Exploit the Net Share Issuance Effect?

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 1 Posted: 16 Feb 2015
Yinfei Chen, Wei Huang and George J. Jiang
California State University Chico, Washington State University - College of Business and Economics and Washington State University
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Net Share Issuance; Cross-Sectional Stock Returns; Institutional Trading; Short Interest; Institution Type

66.

Mutual Fund Partial Liquidation and Future Performance

Number of pages: 48 Posted: 25 Apr 2024
April Wang, George J. Jiang and Ping McLemore
Washington State University - Vancouver, Washington State University and Federal Reserve Banks - Quantitative Supervision & Research
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decreasing returns to scale, mutual fund, partial liquidation, size, performance, flow

67.

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

68.

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

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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