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/

SCHOLARLY PAPERS

12

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5,246

SSRN CITATIONS
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Top 34,592

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6

CROSSREF CITATIONS

17

Scholarly Papers (12)

1.

Anomalies and the Expected Market Return

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 07 Apr 2020 Last Revised: 16 Nov 2021
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 2,100 (10,474)
Citation 4

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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

Management Science, Forthcoming, AEA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 15 Mar 2011 Last Revised: 20 Jan 2019
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 1,142 (26,643)
Citation 5

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Liquidity risk, Finanical Institutions, Price impact, Asset pricing

3.

Anomaly Discovery and Arbitrage Trading

Number of pages: 41 Posted: 02 May 2014 Last Revised: 28 Mar 2022
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, Asper School of Business, University of Manitoba, Board of Governors of the Federal Reserve System and DePaul University
Downloads 663 (56,324)
Citation 4

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

4.

When Do Short Sellers Exit Their Positions?

Number of pages: 54 Posted: 27 Aug 2018 Last Revised: 18 Nov 2021
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 Businessaffiliation not provided to SSRN
Downloads 632 (59,879)
Citation 3

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

5.

Foreign Sentiment

Baruch College Zicklin School of Business Research Paper No. 2020-01-01
Number of pages: 94 Posted: 23 Dec 2019 Last Revised: 11 Jun 2021
Rutgers Business School - Rutgers University, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, INSEAD - Finance and Baruch College / City University of New York
Downloads 241 (177,957)

Abstract:

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sentiment, foreign sentiment, news, flow shifts, international markets

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

Number of pages: 104 Posted: 01 Oct 2020 Last Revised: 28 Mar 2022
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 217 (196,339)
Citation 2

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factor return predictability; capital flows; anomalies; factor momentum; factor reversal; excess volatility; hedge funds; mutual funds; slow-moving capital; frictions; limits to arbitrage; 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 (933,997)
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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

7.

Liquidity Shocks and Institutional Trading

Number of pages: 75 Posted: 29 Apr 2022
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 98 (367,953)

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

8.

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 95 (375,124)

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Idiosyncratic Risk, New Venture, Option, Risk Management

9.

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 57 (495,891)
Citation 5

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Mutual Fund Performance, Serial Correlation, Informed Traders

10.

Dynamic Autocorrelation of Intraday Stock Returns

Finance Research Letters, Vol. 20, 2017
Posted: 08 Aug 2018
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

11.

Corporate Social Responsibility Exposure and Performance of Mutual Funds

Journal of Investing, Forthcoming
Posted: 15 Dec 2016 Last Revised: 31 Jul 2018
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Boston University, Clark University and Clark University

Abstract:

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

12.

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