Zheng Sun

University of California, Irvine - Paul Merage School of Business

Irvine, CA California 92697-3125

United States

SCHOLARLY PAPERS

13

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7,780

CITATIONS
Rank 5,112

SSRN RANKINGS

Top 5,112

in Total Papers Citations

101

Scholarly Papers (13)

1.

Institutional Stock Trading on Loan Market Information

AFA 2008 New Orleans Meetings Paper, EFA 2007 Ljubljana Meetings, Journal of Financial Economics (JFE), 100 (2), 284-303, 2011
Number of pages: 55 Posted: 18 Dec 2007 Last Revised: 15 Feb 2018
Victoria Ivashina and Zheng Sun
Harvard University and University of California, Irvine - Paul Merage School of Business
Downloads 1,187 (16,277)
Citation 35

Abstract:

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Institutional investors, Syndicated loans, Insider trading

2.

Forecasting Volatility Using Tick by Tick Data

Forthcoming
Number of pages: 45 Posted: 10 Mar 2005
Robert F. Engle and Zheng Sun
New York University - Leonard N. Stern School of Business - Department of Economics and University of California, Irvine - Paul Merage School of Business
Downloads 1,118 (17,794)
Citation 7

Abstract:

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volatility, tick by tick data, duration, microstructure noise, ACD, Kalman Filter

3.

The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance

AFA 2010 Atlanta Meetings Paper
Number of pages: 68 Posted: 04 Feb 2009 Last Revised: 09 Apr 2011
Zheng Sun, Ashley Wang and Lu Zheng
University of California, Irvine - Paul Merage School of Business, Federal Reserve Board and University of California, Irvine - Paul Merage School of Business
Downloads 1,008 (20,809)
Citation 24

Abstract:

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Strategy Distinctiveness, Hedge Fund

4.

Institutional Demand Pressure and the Cost of Corporate Loans

Journal of Financial Economics (JFE), 99 (3), 500-522, 2011
Number of pages: 60 Posted: 16 Nov 2008 Last Revised: 15 Feb 2018
Victoria Ivashina and Zheng Sun
Harvard University and University of California, Irvine - Paul Merage School of Business
Downloads 915 (23,943)
Citation 24

Abstract:

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Institutional investors, syndicated loans, LBO, credit crisis

Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 47 Posted: 13 Apr 2013 Last Revised: 04 Oct 2018
Zheng Sun, Ashley Wang and Lu Zheng
University of California, Irvine - Paul Merage School of Business, Federal Reserve Board and University of California, Irvine - Paul Merage School of Business
Downloads 521 (50,712)

Abstract:

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Hedge funds, Conditional performance, Performance persistence

Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence Over Different Market Conditions

FEDS Working Paper No. 2016-030
Number of pages: 42 Posted: 20 Apr 2016
Zheng Sun, Ashley Wang and Lu Zheng
University of California, Irvine - Paul Merage School of Business, Federal Reserve Board and University of California, Irvine - Paul Merage School of Business
Downloads 108 (247,375)

Abstract:

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Conditional performance, Hedge funds, Performance Persistence

6.

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 596 (43,170)
Citation 3

Abstract:

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

7.

Reaching for Dividends

Number of pages: 66 Posted: 24 Oct 2015 Last Revised: 05 Aug 2017
Hao Jiang and Zheng Sun
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 573 (45,437)

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Equity Duration, Interest Rate Risk, Dividends, Income Funds, Flows, Institutional Investors

8.

When is Noise Not Noise - A Microstructure Estimate of Realized Volatility

NYU Working Paper No. FIN-07-047
Number of pages: 50 Posted: 03 Nov 2008
Zheng Sun and Robert F. Engle
University of California, Irvine - Paul Merage School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 452 (61,296)
Citation 5

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Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

AFA 2013 San Diego Meetings Paper
Number of pages: 60 Posted: 17 Mar 2012 Last Revised: 02 Apr 2019
Clemens Sialm, Zheng Sun and Lu Zheng
University of Texas at Austin - McCombs School of Business, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 360 (79,705)
Citation 2

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Hedge Funds, Funds of Funds, Home Bias, Informational Advantage, Contagion, Comovement

Home Bias and Local Contagion: Evidence from Funds of Hedge Funds

NBER Working Paper No. w19570
Number of pages: 60 Posted: 25 Oct 2013
Clemens Sialm, Zheng Sun and Lu Zheng
University of Texas at Austin - McCombs School of Business, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 13 (571,966)
Citation 2

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10.

Institutional Clientele and Comovement

Number of pages: 47 Posted: 24 Jan 2009 Last Revised: 16 May 2015
Zheng Sun
University of California, Irvine - Paul Merage School of Business
Downloads 363 (79,565)
Citation 1

Abstract:

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institutional holdings, stock comovement, cluster

11.

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 254 (117,513)

Abstract:

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

12.

When the Start Matters: The Timing of Hedge Fund Inceptions

Number of pages: 65 Posted: 24 Aug 2018 Last Revised: 27 Jan 2019
Lin Sun, Zheng Sun and Lu Zheng
George Mason University - Department of Finance, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 179 (164,209)

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Hedge Fund Starts, Market Timing, Investor Sentiment, Agency Issues

13.

How Fast Do Investors Learn? Asset Management Investors and Bayesian Learning

Number of pages: 48 Posted: 25 Jan 2016 Last Revised: 27 Nov 2018
Christopher Schwarz and Zheng Sun
University of California at Irvine and University of California, Irvine - Paul Merage School of Business
Downloads 133 (210,655)

Abstract:

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mutual funds, hedge funds, learning, bayes rule, bayesian, asset management