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://xidongbaruch.weebly.com/

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

SCHOLARLY PAPERS

19

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TOTAL CITATIONS
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Top 13,415

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126

Scholarly Papers (19)

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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 3,545 (6,918)
Citation 91

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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.

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 1,328 (32,209)
Citation 3

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

3.

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 1,280 (33,969)
Citation 19

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Liquidity risk, Finanical institutions, Price impact, Asset pricing

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 1,228 (36,047)
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 584 (98,856)
Citation 4

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 578 (98,797)
Citation 4

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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 6 (1,320,598)
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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.

Equity lender base and limits to arbitrage: Position-level evidence from mutual funds

Number of pages: 66 Posted: 09 Dec 2022 Last Revised: 22 Apr 2024
Xi Dong and Qifei Zhu
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and National University of Singapore (NUS)
Downloads 500 (119,573)

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

7.

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: 87 Posted: 23 Dec 2019 Last Revised: 29 Dec 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 425 (145,033)

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

8.

AI (ChatGPT) Democratization, Return Predictability, and Trading Inequality

Olin Business School Center for Finance & Accounting Research Paper No. 2024/19
Number of pages: 65 Posted: 27 Aug 2023 Last Revised: 02 Feb 2025
Anne Chang, Xi Dong, Xiumin Martin and Changyun Zhou
City University of New York, Baruch College - Zicklin School of Business - Stan Ross Department of Accountancy, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Washington University in Saint Louis - Olin School of Business and Southwestern University of Finance and Economics (SWUFE)
Downloads 386 (161,885)

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Return Predictability, Artificial Intelligence AI, ChatGPT, AI democratization, Open AI, Outage, Machine Learning ML, Earnings Conference Calls, Retail Investors, Short Sellers, Households, Anomalies, Financial Market Fairness, Financial Literacy, Information Asymmetry

9.

Anomalies Never Disappeared: The Case of Stubborn Retail Investors

Number of pages: 75 Posted: 25 Apr 2023 Last Revised: 29 Dec 2023
Xi Dong and Cathy Yang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of NY, Baruch College, Zicklin School of Business
Downloads 331 (191,637)

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Anomalies, Retail investors, Horizon, Noise Trading Risk, Limits to Arbitrage, Return Predictability

10.

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 256 (250,446)

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

11.

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 160 (387,560)

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

12.

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 128 (464,200)

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Idiosyncratic Risk, New Venture, Option, Risk Management

13.

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 127 (467,061)
Citation 5

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Mutual Fund Performance, Serial Correlation, Informed Traders

14.

Inside and Outside Informed Trading

Number of pages: 49 Posted: 03 Mar 2025
Zhi Da, Xi Dong, Ke Wu and Dexin Zhou
University of Notre Dame - Mendoza College of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Renmin University of China - School of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 71 (683,396)

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Informed trading, Firms, Share issuance, Buybacks, Insiders, Outside arbitragers, Profitability, Momentum, Persistence in Profitability, Fundamental Valuation, Anomalies

15.

Anomalies and Links to Market Return Predictability: Supranational Evidence Based on New Market Efficiency Measures

Number of pages: 42 Posted: 04 Aug 2021 Last Revised: 26 Feb 2025
Xi Dong, Yan Li, Yanran 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, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 36 (928,346)

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Cross-sectional anomaly returns, Market return predictability, International market efficiency, Mispricing, Limits of arbitrage

16.

Investor Sentiment and Asset Returns: Actions Speak Louder Than Words

The Journal of Portfolio Management, Feb 2025, Vol 51, Issue 4, 96-127
Posted: 19 Feb 2025 Last Revised: 02 Mar 2025
Xi Dong, Dat Mai, Kuntara Pukthuanthong and Guofu Zhou
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, MKT MediaStats LLC, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School

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17.

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

18.

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

19.

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