Hao Jiang

Michigan State University

Associate Professor

315 Eppley Center

Department of Finance

East Lansing, MI 48824

United States

http://sites.google.com/site/haojiangfinance/

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 4,434

SSRN RANKINGS

Top 4,434

in Total Papers Downloads

16,377

SSRN CITATIONS
Rank 2,368

SSRN RANKINGS

Top 2,368

in Total Papers Citations

600

CROSSREF CITATIONS

131

Scholarly Papers (23)

1.

Tail Risk and Hedge Fund Returns

Chicago Booth Research Paper No. 12-44, Fama-Miller Working Paper
Number of pages: 42 Posted: 31 May 2012 Last Revised: 20 Nov 2012
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 2,724 (9,208)
Citation 3

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Hedge fund, tail risk, performance evaluation

2.

Pervasive underreaction: Evidence from high-frequency data

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 26 Oct 2015 Last Revised: 23 Mar 2021
Hao Jiang, Sophia Zhengzi Li and Hao Wang
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Prime Quantitative Research
Downloads 2,716 (9,253)
Citation 4

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Underreaction; High-Frequency; News; Attention; Expectation Formation

3.
Downloads 277 (12,562)
Citation 205

Tail Risk and Asset Prices

NBER Working Paper No. w19375
Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 11 Jun 2023
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 277 (201,675)
Citation 12

Abstract:

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Passive Investing and the Rise of Mega-Firms

Number of pages: 64 Posted: 20 Jan 2021 Last Revised: 05 Oct 2022
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 802 (56,642)

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passive investing, fund flows, asset pricing, size distribution of firms

Passive Investing and the Rise of Mega-Firms

NBER Working Paper No. w28253
Number of pages: 66 Posted: 14 Mar 2021 Last Revised: 13 Mar 2023
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 154 (348,954)

Abstract:

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Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing

CEPR Discussion Paper No. DP15563
Number of pages: 61 Posted: 23 Dec 2020
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 11 (1,069,917)
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Passive Investing and the Rise of Mega-Firms

Number of pages: 65 Posted: 20 Jan 2021
Hao Jiang, Dimitri Vayanos and Lu Zheng
Michigan State University, London School of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 1 (1,161,303)

Abstract:

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passive investing, fund flows, asset pricing, size distribution of firms

5.

Institutional Investors, Intangible Information and the Book-to-Market Effect

Journal of Financial Economics (JFE), Vol. 96, pp. 98–126, 2010
Number of pages: 62 Posted: 22 Feb 2007 Last Revised: 27 Nov 2014
Hao Jiang
Michigan State University
Downloads 948 (45,772)
Citation 8

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Book-to-Market Effect, Institutional Investors, Intangible Information, Overreaction

6.

Information Content When Mutual Funds Deviate from Benchmarks

AFA 2012 Chicago Meetings Paper
Number of pages: 33 Posted: 12 Mar 2011 Last Revised: 16 Sep 2013
Hao Jiang, Marno Verbeek and Yu Wang
Michigan State University, Erasmus University - Rotterdam School of Management and Aspect Capital
Downloads 906 (48,724)
Citation 20

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Mutual Funds, Benchmarks, Private Information, Fund Performance

7.

Investor Flows and Fragility in Corporate Bond Funds

Number of pages: 50 Posted: 21 Apr 2015 Last Revised: 18 Jul 2015
Itay Goldstein, Hao Jiang and David T. Ng
University of Pennsylvania - The Wharton School - Finance Department, Michigan State University and Johnson College of Business
Downloads 839 (54,118)
Citation 102

Abstract:

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Fund Flows, Fragility, Bond Funds, Runs

8.

Dynamic Liquidity Management by Corporate Bond Mutual Funds

Number of pages: 42 Posted: 08 May 2016 Last Revised: 30 Oct 2017
Hao Jiang, Dan Li and Ashley Wang
Michigan State University, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 829 (55,050)
Citation 51

Abstract:

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Liquidity, Mutual funds, Asset Managers, Corporate Bond Funds, Run risks

9.

Reaching for Dividends

Journal of Monetary Economics, Forthcoming
Number of pages: 43 Posted: 24 Oct 2015 Last Revised: 09 Aug 2019
Hao Jiang and Zheng Sun
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 784 (59,345)
Citation 6

Abstract:

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Low Interest Rates, Monetary Policy, Dividends, Income Funds, Flows

10.

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance

Number of pages: 90 Posted: 12 Apr 2013 Last Revised: 12 Dec 2017
Hao Jiang and Michela Verardo
Michigan State University and London School of Economics & Political Science (LSE)
Downloads 769 (60,943)
Citation 15

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Mutual funds, performance, herding, imitation, alpha

11.

Granular Information and Sectoral Movements

Number of pages: 75 Posted: 08 Oct 2020 Last Revised: 17 Apr 2024
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Renmin University of China - School of Finance
Downloads 706 (68,068)
Citation 1

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Granular Information, Sectoral Movements, Exchange-Traded Funds

12.

Dispersion in Beliefs among Active Mutual Funds and the Cross-Section of Stock Returns

AFA 2013 San Diego Meetings Paper, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 12 Nov 2011 Last Revised: 16 Sep 2013
Hao Jiang and Zheng Sun
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 699 (68,937)
Citation 9

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Mutual Funds, Private Information, Dispersion in Beliefs, Short-Sale Constraints, Asymmetric Information

13.

Active Fundamental Performance

Review of Financial Studies Forthcoming
Number of pages: 56 Posted: 14 Aug 2013 Last Revised: 04 Oct 2018
Hao Jiang and Lu Zheng
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 634 (78,080)
Citation 7

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Mutual Funds, Performance Evaluation, Skill, Earnings Announcement

14.

Does Mutual Fund Illiquidity Introduce Fragility into Asset Prices? Evidence from the Corporate Bond Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 73 Posted: 31 Dec 2019 Last Revised: 03 Feb 2021
Hao Jiang, Yi Li, Zheng Sun and Ashley Wang
Michigan State University, Board of Governors of the Federal Reserve System, University of California, Irvine - Paul Merage School of Business and Board of Governors of the Federal Reserve System
Downloads 570 (89,290)
Citation 48

Abstract:

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Corporate bond mutual fund, liquidity transformation, fragility, volatility

15.

News and Corporate Bond Liquidity

Number of pages: 53 Posted: 18 May 2014 Last Revised: 26 Mar 2015
Hao Jiang and Zheng Sun
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 525 (98,923)
Citation 10

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Corporate Bonds; News; Information Asymmetry; Liquidity; Yields; Bond Return

16.

Who is at the Center of the Global Supply Chain?

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 26 Posted: 19 Oct 2022
Teodor Dyakov and Hao Jiang
EDHEC Business School and Michigan State University
Downloads 416 (130,552)

Abstract:

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global supply chain, networks, centrality

17.

The Cyber Risk Premium

Forthcoming, Management Science
Number of pages: 57 Posted: 15 Jul 2020 Last Revised: 30 Aug 2023
Michigan State University, Michigan State University, McMaster University and Michigan State University - Department of Computer Science and Engineering
Downloads 277 (202,825)
Citation 6

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Cyber risk, Cybersecurity, Risk premium, Machine learning

18.

Do Stocks Lead Bonds? New Evidence from Corporate Bond ETFs

Number of pages: 60 Posted: 14 Mar 2022 Last Revised: 30 Jun 2023
Michigan State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 261 (215,254)

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Market Efficiency, ETF, Stocks, Bonds, Lead-Lag Relation.

19.

Mutual Fund Yield and Investor Flows

Number of pages: 53 Posted: 15 Mar 2021 Last Revised: 28 Aug 2022
Hao Jiang, Lily Y. Li and Lu Zheng
Michigan State University, Villanova University and University of California, Irvine - Paul Merage School of Business
Downloads 236 (237,652)

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Bond Funds; SEC Yield; Distribution Yield; Flows; Fund Performance

20.

Skilled Foreign Labor, Urban Agglomeration, and Value Creation

Number of pages: 59 Posted: 23 May 2023 Last Revised: 31 Oct 2023
Michigan State University, University of Southern California - Marshall School of Business, George Mason University - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 145 (366,258)

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21.

Trading is Hazardous to Your Wealth: Evidence from Mutual Funds Around the World

Number of pages: 45 Posted: 30 Nov 2017 Last Revised: 26 Jan 2018
Teodor Dyakov, Hao Jiang and Marno Verbeek
EDHEC Business School, Michigan State University and Erasmus University - Rotterdam School of Management
Downloads 99 (486,982)
Citation 1

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international mutual funds, trading performance, herding

22.

Investor Composition, Trading Styles and Liquidity: An Analysis of Japanese Stocks

Number of pages: 50 Posted: 16 Nov 2023
Michigan State University, University of Texas at Austin - Department of Finance, Australian National University (ANU) and Australian National University (ANU)
Downloads 49 (712,479)

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Liquidity, Foreign Institution, Japan, Bid-Ask Spread, Amihud illiquidity

23.

The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium

Financial Analysts Journal, Vol. 67, No. 6, 2011
Posted: 23 Nov 2011
Takeshi Yamada and Hao Jiang
Australian National University (ANU) and Michigan State University

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Equity Investments, Equity Market Valuation and Return Analysis, Analysis of World Security Markets, International Equity Investing, Equity Markets, Characteristics, Institutions, Benchmarks, Organization and Functioning of Securities Markets, Portfolio Management, Equity Portfolio Management