Zheng Sun

University of California, Irvine - Paul Merage School of Business

Irvine, CA California 92697-3125

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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6,313

CITATIONS
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SSRN RANKINGS

Top 5,062

in Total Papers Citations

102

Scholarly Papers (12)

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 (14,266)
Citation 36

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 (16,399)
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 (18,259)
Citation 23

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 (21,329)
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 (39,594)
Citation 1

Abstract:

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

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 283 (83,654)

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 77 (252,723)

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 (58,175)
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 (71,567)
Citation 1

Abstract:

institutional holdings, stock comovement, cluster

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 235 (102,017)
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 10 (497,079)
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 (151,179)

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 (260,268)

Abstract:

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

12.

Equity Duration: A Puzzle on High Dividend Stocks

Number of pages: 41 Posted: 24 Oct 2015 Last Revised: 26 Oct 2015
Hao Jiang and Zheng Sun
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 0 (57,497)

Abstract:

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