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Zheng Sun

University of California, Irvine - Paul Merage School of Business

Irvine, CA California 92697-3125

United States

  • University of California, Irvine - Paul Merage School of Business

SCHOLARLY PAPERS

12

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6,573

CITATIONS
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Top 4,972

in Total Papers Citations

105

Scholarly Papers (12)

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1.

Institutional Stock Trading on Loan Market Information

AFA 2008 New Orleans Meetings Paper, EFA 2007 Ljubljana Meetings
Number of pages: 55 Posted: 18 Dec 2007 Last Revised: 20 Feb 2010
Victoria Ivashina and Zheng Sun
Harvard University and University of California, Irvine - Paul Merage School of Business
Downloads 1,038 (14,768)
Citation 37

Abstract:

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 897 (16,867)
Citation 7

Abstract:

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 859 (19,043)
Citation 24

Abstract:

Strategy Distinctiveness, Hedge Fund

4.

Institutional Demand Pressure and the Cost of Corporate Loans

Number of pages: 60 Posted: 16 Nov 2008 Last Revised: 28 May 2010
Victoria Ivashina and Zheng Sun
Harvard University and University of California, Irvine - Paul Merage School of Business
Downloads 776 (22,083)
Citation 27

Abstract:

Institutional investors, syndicated loans, LBO, credit crisis

5.

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 493 (39,668)
Citation 2

Abstract:

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

6.

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

Downloads 374 ( 65,106)

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: 41 Posted: 13 Apr 2013 Last Revised: 10 Nov 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 293 (85,542)

Abstract:

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 81 (259,737)

Abstract:

Conditional performance, Hedge funds, Performance Persistence

7.

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 358 (59,367)
Citation 5

Abstract:

8.

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 284 (73,236)
Citation 1

Abstract:

institutional holdings, stock comovement, cluster

9.

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

Downloads 271 ( 93,836)
Citation 2

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: 12 Feb 2014
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 260 (97,482)
Citation 2

Abstract:

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 11 (517,472)
Citation 2

Abstract:

10.

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 67 (148,007)

Abstract:

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

11.

Are Mutual Fund Investors Bayesian Learners?

Number of pages: 45 Posted: 25 Jan 2016
Christopher Schwarz and Zheng Sun
University of California at Irvine and University of California, Irvine - Paul Merage School of Business
Downloads 0 (261,371)

Abstract:

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

12.

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 0 (51,897)

Abstract:

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

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