Zheng Sun

University of California, Irvine - Paul Merage School of Business

Paul Merage School of Business

Irvine, CA California 92697-3125

United States

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

SCHOLARLY PAPERS

15

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SSRN CITATIONS
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Top 7,849

in Total Papers Citations

91

CROSSREF CITATIONS

41

Scholarly Papers (15)

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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 1,204 (16,976)
Citation 44

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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 1,148 (18,254)
Citation 6

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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 1,037 (21,161)
Citation 43

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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 939 (24,530)
Citation 14

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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 671 ( 39,089)
Citation 2

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 554 (49,690)
Citation 1

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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 117 (245,957)
Citation 1

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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 610 (44,417)
Citation 11

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

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 608 (44,619)
Citation 2

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

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 471 (61,719)

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9.

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

Downloads 430 ( 68,954)
Citation 6

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 Aug 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 415 (71,366)
Citation 5

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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 15 (590,038)

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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 369 (82,556)
Citation 11

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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 291 (107,591)
Citation 8

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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 199 (157,376)

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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 159 (191,959)

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

14.

Religious Belief and Socially Responsible Investing

Number of pages: 55 Posted: 02 Oct 2019
John Bae, Zheng Sun and Lu Zheng
Elon University - Love School of Business, University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 45 (421,716)

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Religiosity, Corporate Social Responsibility, Fund CSR Preference

15.

Does Mutual Fund Illiquidity Introduce Fragility into Asset Prices? Evidence from the Corporate Bond Market

Number of pages: 49 Posted: 31 Dec 2019
Hao Jiang, Yi Li, Zheng Sun and Ashley Wang
Michigan State University, Federal Reserve Board, University of California, Irvine - Paul Merage School of Business and Federal Reserve Board
Downloads 26 (502,802)

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Corporate Bond Mutual Fund, Volatility, Liquidity, Fire Sales