Xingnong Zhu

Ibbotson Associates

225 North Michigan Avenue

Suite 700

Chicago, IL 60601

United States

SCHOLARLY PAPERS

5

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CITATIONS
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Top 23,908

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11

Scholarly Papers (5)

1.
Downloads 3,247 ( 2,723)
Citation 11

Human Capital, Asset Allocation, and Life Insurance

Yale ICF Working Paper No. 05-11
Number of pages: 21 Posted: 13 May 2005
Yale School of Management, Ibbotson Associates, York University - Schulich School of Business and Ibbotson Associates
Downloads 3,247 (2,659)
Citation 11

Abstract:

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Human Capital, Asset Allocation, Life Insurance

2.

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 276 (68,983)

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

3.

Interactive Distraction: The Effect of Macroeconomic News on Market Reaction to Earnings News

Number of pages: 50 Posted: 15 May 2017 Last Revised: 17 May 2017
Linda H. Chen, George J. Jiang and Xingnong Zhu
University of Idaho, Washington State University and Ibbotson Associates
Downloads 0 (141,263)

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

4.

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 0 (85,515)

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

5.

Biases in CAPM Beta Estimation

Number of pages: 28 Posted: 02 Sep 2016 Last Revised: 29 Dec 2016
University of Idaho, Washington State University, Washington State University and Ibbotson Associates
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Capital Asset Pricing Model (CAPM), Beta Estimation, Exogeneity, Consistency, Unbiasedness