Xiaoyan Zhang
Xinyuan Chair Professor of Finance, Associate Dean
PBC School of Finance, Tsinghua University, 43 Chengfu Road, Beijing, China, 100084
E-mail: zhangxiaoyan@pbcsf.tsinghua.edu.cn or Prof.Xiaoyan.Zhang@gmail.com
Xinyuan Chair Professor of Finance, Associate Dean
PBC School of Finance, Tsinghua University, 43 Chengfu Road, Beijing, China, 100084
E-mail: zhangxiaoyan@pbcsf.tsinghua.edu.cn or Prof.Xiaoyan.Zhang@gmail.com
“Retail Trading and Return Predictability in China” (with Charles Jones, Donghui Shi and Xinran Zhang), Journal of Financial and Quantitative Analysis, forthcoming. This paper won CIFFP Best Paper Award.
"The International Commonality of Idiosyncratic Variances” (with Geert Bekaert and Xue Wang), Management Science, forthcoming. This paper won Blackrock Prize for Best Paper.
"Risking or De-Risking: How Management Fees Affect Hedge Fund Risk-Taking Choices" (with Chengdong Yin), Review of Financial Studies, 2023, 36, 904-944.
“Can Shorts Predict Return? A Global Perspective” (with Ekkehart Boehmer, Zsuzsa. R. Huszár, Yanchu Wang and Xinran Zhang), Review of Financial Studies, 2022, 35, 2428-2463.
“Tracking Retail Investor Activity” (with Ekkehart Boehmer, Charles Jones and Xinran Zhang), Journal of Finance, 2021, 76, 2249-2305.
“Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation” (with Zhiyao Chen, Ilya Strebulaev, and Yuhang Xing), Management Science, 2021, 67, 2751-2772.
“Government Affiliation and Peer-to-Peer Lending Platforms in China” (with Jinglin Jiang, Li Liao, and Zhengwei Wang), Journal of Empirical Finance, 2021, 62, 87-106. This paper won CFRC Best Paper Award.
“What Do Short Sellers Know?” (with Ekkehart Boehmer, Charles Jones and Julie Wu), Review of Finance, 2020, 24, 1203-1235. This paper won the Spängler-IQAM award for the Best Investments Paper in the Review of Finance.
“Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments” (with Ekkehart Boehmer and Charles Jones), Journal of Financial Economics, 2020, 135, 68-87 .
“Anticipating Uncertainty: Straddles Around Earnings Announcements” (with Chao Gao and Yuhang Xing), Journal of Financial and Quantitative Analysis, 2018, 53, 2587-2617.
“Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework” (with Haitao Li and Yuewu Xu), Journal of Financial and Quantitative Analysis, 2016, 51, 231-257.
“The Information Content of The Sentiment Index” (with Steve Sibley, Yanchu Wang and Yuhang Xing), Journal of Banking and Finance, 2016, 62, 164-179.
“Shackling Short Sellers: The 2008 Shorting Ban” (with Ekkehart Boehmer and Charles Jones), Review of Financial Studies, lead article, 2013, 26, 1363-1400. This paper won Best Paper Award at16th Mitsui Finance Symposium, University of Michigan.
“Aggregate Idiosyncratic Volatility” (with Geert Bekaert and Robert Hodrick), Journal of Financial and Quantitative Analysis, lead article, 2012, 47, 1155-1185. This paper won the William F. Sharpe Award for the best paper published in JFQA 2012.
“Empirical Evaluation of Asset Pricing Models: Arbitrage and Pricing Errors in Contingent Claims” (with Zhenyu Wang), Journal of Empirical Finance, 2012, 19, 65-78.
“Investing In Talents: Manager Characteristics and Hedge Fund Performances” (with Haitao Li and Rui Zhao), Journal of Financial and Quantitative Analysis, 2011, 46, 59 – 82.
“What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?” (with Yuhang Xing and Rui Zhao), Journal of Financial and Quantitative Analysis, 2010, 45, 641-662.
“Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance” (with Haitao Li and Yuewu Xu), Journal of Financial Economics, 2010, 97, 279-301.
“International Stock Return Comovements” (with Geert Bekaert and Robert Hodrick), Journal of Finance, 2009, 64, 2591-2626.
“High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Financial Economics, 2009, 91, 1-23.
“Which Shorts Are Informed?” (with Ekkehart Boehmer and Charles Jones), Journal of Finance, lead article, 2008, 63, 491-527. This paper won BSI Gamma Foundation Award.
“The Cross-Section of Volatility and Expected Returns” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Finance, 2006, 61, 259-299.
“Specification Tests of International Asset Pricing Models”, Journal of International Money and Finance, 2006, 25, 275-307.
“Evaluating the Specification Errors of Asset Pricing Models” (with Robert Hodrick), Journal of Financial Economics, 2001, 62, 327-376.
“The Rise of Reddit: How Social Media Affects Retail Investors and Short-sellers’ Roles in Price Discovery" (with Danqi Hu, Charles M. Jones, and Valerie Zhang)
“When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models” (with Danqi Hu, and Charles M. Jones)
“Uncertainty Resolution Before Earnings Announcements” (with Chao Gao and Grace Xing Hu)
"Retail Investors During Pandemic" (with Charles M. Jones, Lin Tan, and Xinran Zhang)
“Multinational Corporations and Stock Returns: International Evidence” (with Yeejin Jang and Xue Wang)
“Variance Risk Premiums in Emerging Markets” (with Fang Qiao, Lai Xu, Xiaoyan Zhang, and Hao Zhou)
“Understanding Retail Investors: Evidence from China” (with Charles Jones, Donghui Shi and Xinran Zhang). This paper won CIFFP Best Paper Award.
"Are Foreign Investors Informed? Trading Experiences of Foreign Investors in China" (with Christian T. Lundblad, Donghui Shi, Xiaoyan Zhang and Zijian Zhang)
“Finding Anomalies in China” (with Kewei Hou, and Fang Qiao)
“The China-U.S. Equity Valuation Gap” (with Geert Bekaert, Shuojia Ke and Xue Wang)