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

20

DOWNLOADS
Rank 4,113

SSRN RANKINGS

Top 4,113

in Total Papers Downloads

12,183

SSRN CITATIONS
Rank 4,404

SSRN RANKINGS

Top 4,404

in Total Papers Citations

190

CROSSREF CITATIONS

123

Scholarly Papers (20)

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 2,493 (6,791)
Citation 3

Abstract:

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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 2,037 (9,432)
Citation 4

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

3.
Downloads 127 ( 11,490)
Citation 112

NBER Working Paper No. w19375
Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 15 Jun 2020
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 127 (277,177)
Citation 12

Abstract:

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4.

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 893 (33,040)
Citation 3

Abstract:

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

5.

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 833 (36,423)
Citation 10

Abstract:

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Mutual Funds, Benchmarks, Private Information, Fund Performance

6.

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 701 (45,954)
Citation 102

Abstract:

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Fund Flows, Fragility, Bond Funds, Runs

7.

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 690 (46,950)
Citation 6

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

8.

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 681 (47,790)
Citation 15

Abstract:

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Mutual funds, performance, herding, imitation, alpha

9.

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 666 (49,229)
Citation 23

Abstract:

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

10.

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 645 (51,283)
Citation 9

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

11.

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 520 (67,358)
Citation 7

Abstract:

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Mutual Funds, Performance Evaluation, Skill, Earnings Announcement

12.

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 363 (103,114)
Citation 10

Abstract:

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

13.

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 326 (116,146)
Citation 6

Abstract:

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Corporate bond mutual fund, liquidity transformation, fragility, volatility

14.

The Cyber Risk Premium

Number of pages: 76 Posted: 15 Jul 2020 Last Revised: 24 Aug 2021
Hao Jiang, Naveen Khanna and Qian Yang
Michigan State University, Michigan State University and Michigan State University
Downloads 283 (135,005)

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Cyber Risk, Cybersecurity, Risk Premium, Machine Learning, LASSO, Cross-Validation

15.

Investor Composition and Liquidity: An Analysis of Japanese Stocks

Number of pages: 39 Posted: 14 Aug 2012 Last Revised: 23 Aug 2014
Michigan State University, University of Texas at Austin - Department of Finance and Australian National University (ANU)
Downloads 274 (139,595)
Citation 1

Abstract:

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Liquidity, Foreign Institutions, Japan, Bid-Ask Spreads

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

Number of pages: 58 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 234 (162,725)

Abstract:

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Market efficiency, mutual funds, indexing, limits of arbitrage

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 (731,391)
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Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing

NBER Working Paper No. w28253
Number of pages: 59 Posted: 14 Mar 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 3 (800,005)
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17.

Predicting High-Frequency Industry Returns: Machine Learners Meet News Watchers

Number of pages: 43 Posted: 08 Oct 2020
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 226 (169,434)
Citation 1

Abstract:

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Industry Return, ETF, Return Predictability, LASSO, Boosted trees, News

18.

Beware of Chasing Yield: Bond Fund Yield, Flows and Performance

Number of pages: 42 Posted: 15 Mar 2021
Hao Jiang, Lily Li and Lu Zheng
Michigan State University, Villanova University and University of California, Irvine - Paul Merage School of Business
Downloads 103 (320,123)

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Bond Fund, SEC Yield, Distribution Yield, Flows, Performance

19.

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
Vrije Universiteit Amsterdam, School of Business and Economics, Michigan State University and Erasmus University - Rotterdam School of Management
Downloads 74 (391,847)
Citation 1

Abstract:

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international mutual funds, trading performance, herding

20.

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