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

13

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CITATIONS
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101

Scholarly Papers (13)

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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

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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

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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

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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

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Institutional investors, syndicated loans, LBO, credit crisis

5.

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

Downloads 629 ( 40,162)

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)

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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)

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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

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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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9.

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

Downloads 373 ( 77,014)
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: 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

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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)

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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)

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