Xi Dong

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Assistant Professor of Finance

One Bernard Baruch Way, Box B10-225

New York City, NY 10010

United States

http://faculty.baruch.cuny.edu/xdong1/

  • City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

SCHOLARLY PAPERS

14

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69

CROSSREF CITATIONS

16

Scholarly Papers (14)

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1.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 16 Nov 2021
Xi Dong, Yan Li, David Rapach and Guofu Zhou
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Southwestern University of Finance and Economics (SWUFE) - School of Accounting, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 2,894 (7,892)
Citation 55

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Out-of-sample predictability, Market excess return, Long-short anomaly portfolio return, Machine learning, Limits of arbitrage, Mispricing correction persistence

2.

Liquidity Risk and Mutual Fund Performance

AEA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 15 Mar 2011 Last Revised: 19 Dec 2022
Xi Dong, Shu Feng and Ronnie Sadka
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Boston University and Boston College - Carroll School of Management
Downloads 1,196 (30,898)
Citation 13

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Liquidity risk, Finanical institutions, Price impact, Asset pricing

3.

Short Covering

Number of pages: 57 Posted: 06 Feb 2023 Last Revised: 27 Nov 2023
Jesse Blocher, Xi Dong, Matthew C. Ringgenberg and Pavel G. Savor
Vanderbilt University - Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, University of Utah - Department of Finance and DePaul University - Kellstadt Graduate School of Business
Downloads 1,015 (39,054)
Citation 3

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limits to arbitrage, market efficiency, short sales, short covering

4.

Anomaly Discovery and Arbitrage Trading

Number of pages: 66 Posted: 14 Mar 2023
Xi Dong, Qi Liu, Lei Lu, Bo Sun and Hongjun Yan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Peking University - Department of Finance, University of Manitoba, University of Virginia Darden School of Business and DePaul University
Downloads 986 (40,761)
Citation 4

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Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing.

5.

Fast and Slow Arbitrage: The Predictive Power of Capital Flows for Factor Returns

Downloads 406 (126,206)
Citation 3

Fast and Slow Arbitrage: The Predictive Power of Capital Flows for Factor Returns

Number of pages: 114 Posted: 01 Oct 2020 Last Revised: 12 Nov 2023
Xi Dong, Namho Kang and Joel Peress
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley University - Department of Finance and INSEAD - Finance
Downloads 405 (125,413)
Citation 3

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factor return predictability; capital flows; anomalies; factor momentum;excess volatility; hedge funds; mutual funds; slow-moving capital; leverage constraints; limits to arbitrage; out-of-sample and in-sample predictability; spectral analysis.

Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain

CEPR Discussion Paper No. DP15235
Number of pages: 94 Posted: 12 Sep 2020
Xi Dong, Namho Kang and Joel Peress
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley University - Department of Finance and INSEAD - Finance
Downloads 1 (1,096,342)
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Hedge Funds, Limits to Arbitrage, Market Efficiency, Mutual funds, pricing anomalies, return persistence and cyclicality/seasonality, Slow-moving capital, Spectral analysis, transaction costs

6.

Flows to International Mutual Funds: Old Money vs. New Money

Baruch College Zicklin School of Business Research Paper No. 2020-01-01
Number of pages: 85 Posted: 23 Dec 2019 Last Revised: 06 Sep 2023
Azi Ben-Rephael, Xi Dong, Massimo Massa and Changyun Zhou
Rutgers Business School - Rutgers University, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, INSEAD - Finance and Southwestern University of Finance and Economics (SWUFE)
Downloads 352 (147,979)

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market participation, international markets, foreign investors, retail investors, fund flows, asset allocation, news, news tone

7.

Persistent equity lenders and limits to arbitrage: Position-level evidence from mutual funds

Number of pages: 54 Posted: 09 Dec 2022 Last Revised: 14 Jun 2023
Xi Dong and Qifei Zhu
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Nanyang Business School, Nanyang Technological University
Downloads 211 (249,325)

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Limits to Arbitrage, Equity Lending, Short Selling, Mutual Funds

8.

Liquidity Shocks and Institutional Trading

Number of pages: 75 Posted: 29 Apr 2022
Xi Dong, Karolina Krystyniak and Lin Peng
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Ontario Tech University and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 188 (275,491)

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Liquidity, Institutional Investors, Transaction Cost, Informed Trading, Mispricing, Market Efficiency, Feedback Effects

9.

Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence

Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 16 Jan 2017
Xi Dong and Shu Feng
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Boston University
Downloads 114 (412,178)

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Idiosyncratic Risk, New Venture, Option, Risk Management

10.

Negative Information Revelation: Informed Sales Meet Short Sales

Number of pages: 78 Posted: 31 Jan 2023 Last Revised: 13 Jul 2023
Xi Dong, Hong Liu, Siyi Shen and Yajun Wang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Washington University in St. Louis - Olin Business School, The Chinese University of Hong Kong, Shenzhen - School of Management and Economics and City University of NY, Baruch College, Zicklin School of Business
Downloads 109 (428,675)

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Short-sale constraints, Information acquisition, Return predictability, Institutional trading, Market efficiency

11.

Dynamic Excess Autocorrelation and Mutual Fund Performance

AFA 2014 Philadelphia Meetings Paper
Number of pages: 86 Posted: 13 Mar 2013 Last Revised: 31 Mar 2020
Xi Dong and Massimo Massa
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and INSEAD - Finance
Downloads 100 (452,597)
Citation 5

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Mutual Fund Performance, Serial Correlation, Informed Traders

12.

Dynamic Autocorrelation of Intraday Stock Returns

Finance Research Letters, Vol. 20, 2017
Posted: 08 Aug 2018
Shu Feng, Xi Dong, Leng Ling and Pingping Song
Boston University, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Georgia College & State University and Independent

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return autocorrelation; motives of trading; information asymmetry

13.

Corporate Social Responsibility Exposure and Performance of Mutual Funds

Journal of Investing, Forthcoming
Posted: 15 Dec 2016 Last Revised: 18 Jul 2023
Xi Dong, Shu Feng, Sitikantha Parida and Zhihong Wang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Boston University, Clark University and Clark University

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Performance Predictability; Corporate Social Responsibility; Mutual Fund Performance; Stock Return

14.

Born Different: Volume-induced Reversals in Foreign-traded Stocks

Posted: 19 Mar 2012 Last Revised: 01 Mar 2017
Xi Dong
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

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Keywords: Serial Return Correlation, Liquidity, Reversal, Momentum, International Finance