Hong Xiang

The Hong Kong Polytechnic University

Hong Kong

Hong Kong

  • The Hong Kong Polytechnic University

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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2

Scholarly Papers (6)

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1.

The Smart Beta Mirage

Number of pages: 77 Posted: 01 Jul 2020 Last Revised: 20 Mar 2023
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 2,950 (7,026)
Citation 1

Abstract:

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ETFs, factor investing, smart beta, data mining

2.

Noise Trading and Asset Pricing Factors

Number of pages: 65 Posted: 29 Apr 2019 Last Revised: 21 Jun 2022
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 848 (46,097)
Citation 1

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noise trader risk, factor premia, anomaly

3.

Psychological Barrier and Cross-Firm Return Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 06 Feb 2018 Last Revised: 28 Sep 2020
Shiyang Huang, Tse-Chun Lin and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and The Hong Kong Polytechnic University
Downloads 718 (57,780)
Citation 11

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Cross-firm return predictability, Psychological barrier, 52-week high, Customer momentum

4.

A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle

Number of pages: 79 Posted: 04 Nov 2020 Last Revised: 10 Jun 2021
Charles M.C. Lee, Shiyang Huang, Yang Song and Hong Xiang
Foster School of Business, University of Washington, The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 696 (60,185)
Citation 4

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Momentum spillovers, return prediction, investor inattention, belief updating.

5.

Economic Links from Bonds and Cross-Stock Return Predictability

Number of pages: 50 Posted: 28 Mar 2022 Last Revised: 23 Oct 2022
Jian Feng, Xiaolin Huo, Xin Liu, Yifei Mao and Hong Xiang
HKU Business School, The University of Hong Kong, Renmin University of China, School of Finance, Renmin University of China, Cornell University - SC Johnson College of Business - Finance Department and The Hong Kong Polytechnic University
Downloads 362 (133,030)

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Economic linkage, cross-firm return predictability, credit-rating comovement, market segmentation, market inefficiency

6.

Variation in Put-Call Parity Violation and Option Returns

Number of pages: 51 Posted: 04 Aug 2022 Last Revised: 11 Nov 2022
Chun Liu, Chun Liu, Tianyu Wang, Yintian Wang and Hong Xiang
University of TorontoTsinghua University - School of Economics and Management, Tsinghua University, School of Economics and Management, Tsinghua University and The Hong Kong Polytechnic University
Downloads 179 (267,032)

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put-call parity, options return predictability