13
H index
15
i10 index
3181
Citations
Tsinghua University | 13 H index 15 i10 index 3181 Citations RESEARCH PRODUCTION: 21 Articles 13 Papers RESEARCH ACTIVITY: 26 years (1997 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pzh588 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with xiaoyan zhang. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial and Quantitative Analysis | 5 |
Journal of Finance | 4 |
Journal of Financial Economics | 4 |
Review of Financial Studies | 2 |
Journal of Empirical Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 6 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 2 |
Year | Title of citing document | |
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2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947. Full description at Econpapers || Download paper | |
2023 | Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves. (2023). Singh, Astha ; Kachhara, Darsh. In: Papers. RePEc:arx:papers:2307.15718. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio with Ratio Type Periodic Evaluation under Short-Selling Prohibition. (2023). Yan, Kaixin ; Wang, Wenyuan ; Yu, Xiang. In: Papers. RePEc:arx:papers:2311.12517. Full description at Econpapers || Download paper | |
2023 | Information Content of Financial Youtube Channel: Case Study of 3PROTV and Korean Stock Market. (2023). Kim, Hyeonjun. In: Papers. RePEc:arx:papers:2311.15247. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | To lend or not to lend: the Bank of Japans ETF purchase program and securities lending. (2023). Takahashi, Koji ; Shino, Junnosuke ; Katagiri, Mitsuru. In: BIS Working Papers. RePEc:bis:biswps:1113. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320. Full description at Econpapers || Download paper | |
2023 | Impact of share pledging by controlling shareholders on firm value in the context of Chinas tightened regulatory reforms. (2023). Alexiou, Constantinos ; Su, Zili. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2847-2874. Full description at Econpapers || Download paper | |
2023 | Short interest and the stock market relation with news sentiment from traditional and social media sources. (2023). Smales, Lee ; Liu, Zhangxin ; Chamberlain, Ben. In: Australian Economic Papers. RePEc:bla:ausecp:v:62:y:2023:i:2:p:321-334. Full description at Econpapers || Download paper | |
2023 | Financial conditions and the well?being of the real estate sector—A bottom?up default analysis on five ASEAN economies. (2023). Yiu, Matthew S ; Sun, Wei. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:41:y:2023:i:1:p:41-60. Full description at Econpapers || Download paper | |
2023 | Americas decoupling from China: A perspective from stock markets. (2023). Liu, Kerry. In: Economic Affairs. RePEc:bla:ecaffa:v:43:y:2023:i:1:p:32-52. Full description at Econpapers || Download paper | |
2023 | Tick size and price efficiency: Further evidence from the Tick Size Pilot Program. (2023). Chuwonganant, Chairat ; Chung, Kee H. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:3:p:483-511. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573. Full description at Econpapers || Download paper | |
2023 | Shareholder litigation and short selling ahead of private equity placements. (2023). Liu, Yini ; Bayar, Onur ; Mao, Juan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:833-858. Full description at Econpapers || Download paper | |
2023 | Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271. Full description at Econpapers || Download paper | |
2023 | Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436. Full description at Econpapers || Download paper | |
2023 | The midterm election effect on US stock returns: Some practical considerations for investors. (2023). Wagner, Moritz ; Biakowski, Jdrzej ; Anderson, Warwick. In: Working Papers in Economics. RePEc:cbt:econwp:23/05. Full description at Econpapers || Download paper | |
2023 | Investor-driven corporate finance: evidence from insurance markets. (2023). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20232816. Full description at Econpapers || Download paper | |
2023 | Price setting on the two sides of the Atlantic: evidence from supermarket-scanner data. (2023). Karadi, Peter ; Wursten, Jesse ; Seiler, Pascal ; Bachiller, Javier Sanchez ; Amann, Juergen. In: Working Paper Series. RePEc:ecb:ecbwps:20232853. Full description at Econpapers || Download paper | |
2023 | Leadership in a pandemic: Do more able managers keep firms out of trouble?. (2023). Truong, Cameron ; Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001034. Full description at Econpapers || Download paper | |
2023 | The beta anomaly and the quality effect in international stock markets. (2023). Wu, Winston ; Veron, Jose Francisco ; Bradrania, Reza. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000229. Full description at Econpapers || Download paper | |
2023 | Why Muddy the Water? Short selling and the disclosure of proprietary information. (2023). You, Jiaxing ; Lin, Hui ; Jiang, Haiyan ; Wu, Xiting. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838923000379. Full description at Econpapers || Download paper | |
2023 | Short-selling activities in the time of COVID-19. (2023). Zheng, Liyi ; Xu, Fangming ; Luu, Ellie. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838923000549. Full description at Econpapers || Download paper | |
2023 | Wage gap and stock returns: Do investors dislike pay inequality?. (2023). Zhu, Yuhao ; Montone, Maurizio ; Dittmann, Ingolf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001651. Full description at Econpapers || Download paper | |
2023 | Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance. (2023). Huang, Zhijian James ; Wen, Fenghua ; Li, Zhuo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001869. Full description at Econpapers || Download paper | |
2023 | The equity value implications of court ideology: Evidence from federal judge turnover. (2023). Rizzo, Emanuele A ; Cassella, Stefano. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000391. Full description at Econpapers || Download paper | |
2023 | Short selling, divergence of opinion and volatility in the corporate bond market. (2023). Tian, Xiao ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188922002950. Full description at Econpapers || Download paper | |
2023 | Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027. Full description at Econpapers || Download paper | |
2023 | Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246. Full description at Econpapers || Download paper | |
2023 | Social contagion and the survival of diverse investment styles. (2023). Hirshleifer, David ; Zhang, Ruixun ; Lo, Andrew W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001173. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984. Full description at Econpapers || Download paper | |
2023 | Idiosyncratic risk and cross-section of stock returns in emerging European markets. (2023). Wojtowicz, Tomasz ; Czapkiewicz, Anna ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001347. Full description at Econpapers || Download paper | |
2023 | The impact of Twitter-based sentiment on US sectoral returns. (2023). Vo, Xuan Vinh ; Ahmad, Nasir ; Ur, Mobeen ; Zeitun, Rami. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001826. Full description at Econpapers || Download paper | |
2023 | The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978. Full description at Econpapers || Download paper | |
2023 | Financial integration and international risk spillovers. (2023). Lee, Dongwon. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000745. Full description at Econpapers || Download paper | |
2023 | Social identity of civil servants and online peer-to-peer lending: Evidence from China. (2023). Tian, Xiujuan ; Zhang, Zhiying. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002094. Full description at Econpapers || Download paper | |
2023 | Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44. Full description at Econpapers || Download paper | |
2023 | Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255. Full description at Econpapers || Download paper | |
2023 | Leverage made at home: Investors margin loan usage and firm leverage. (2023). Niu, Zilong ; Liu, Chunbo. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000158. Full description at Econpapers || Download paper | |
2023 | Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274. Full description at Econpapers || Download paper | |
2023 | Salience theory in price and trading volume: Evidence from China. (2023). Zhu, Yifeng ; Wang, Hui ; Sun, Kaisi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:38-61. Full description at Econpapers || Download paper | |
2023 | Option price implied information and REIT returns. (2023). Zhan, Xintong ; Song, Linjia ; Cao, Jie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:13-28. Full description at Econpapers || Download paper | |
2023 | Coreversal: The booms and busts of arbitrage activities in China. (2023). Zheng, Weinan ; Shen, Luyao ; Qiu, Zhigang ; Liu, Xin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:51-65. Full description at Econpapers || Download paper | |
2023 | Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22. Full description at Econpapers || Download paper | |
2023 | Disagreement, speculation, and the idiosyncratic volatility. (2023). Jiang, Ying ; Pan, Jiening ; Wu, KE ; Wang, Jianqiu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:232-250. Full description at Econpapers || Download paper | |
2023 | Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340. Full description at Econpapers || Download paper | |
2023 | Global political risk and international stock returns. (2023). Zenios, Stavros A ; Pagliardi, Giovanni ; Gala, Vito D. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:78-102. Full description at Econpapers || Download paper | |
2023 | Investor sentiment and global economic conditions. (2023). Lutkebohmert, Eva ; Herculano, Miguel C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:134-152. Full description at Econpapers || Download paper | |
2023 | How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment. (2023). Ni, BO ; Gu, Ming ; Chen, Haiqiang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:22-39. Full description at Econpapers || Download paper | |
2023 | Individual investors’ trading behavior and gender difference in tolerance of sex crimes: Evidence from a natural experiment. (2023). Yang, Chloe Chunliu ; Liu, Zhengkai ; Gao, Huasheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:349-368. Full description at Econpapers || Download paper | |
2023 | Macroeconomic news and price synchronicity. (2023). Wang, Qingwei ; Eshraghi, Arman ; Cheema, Arbab K. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:390-412. Full description at Econpapers || Download paper | |
2023 | The impact of climate policy on U.S. environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness. (2023). Trinh, Hai Hong ; Truong, HA ; Hao, Wei ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000622. Full description at Econpapers || Download paper | |
2023 | Let’s talk about risk! Stock market effects of risk disclosure for European energy utilities. (2023). Walther, Thomas ; Schiemann, Frank ; Dusterhoft, Maximilian. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s014098832300292x. Full description at Econpapers || Download paper | |
2023 | COVID-19 and finance scholarship: A systematic and bibliometric analysis. (2023). Sureka, Riya ; Kumar, Satish ; Goodell, John W ; Boubaker, Sabri. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004082. Full description at Econpapers || Download paper | |
2023 | The calming effects of conflict: The impact of partisan conflict on market volatility. (2023). Fan, Zaifeng S ; Beyer, Deborah B. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004124. Full description at Econpapers || Download paper | |
2023 | Tracking investor gambling intensity. (2023). Xu, Changxin ; Yang, Li Hua ; Zhu, Hongbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004185. Full description at Econpapers || Download paper | |
2023 | The impact of idiosyncratic risk on corporate financialisation——Evidence from China. (2023). Peng, Biyu ; Mohamed, Zinb Abduljabbar ; Zhong, Huaming. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000078. Full description at Econpapers || Download paper | |
2023 | A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns. (2023). Huang, Zhaodan ; Han, Yufeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000339. Full description at Econpapers || Download paper | |
2023 | Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467. Full description at Econpapers || Download paper | |
2023 | Sentiment and covariance characteristics. (2023). le Tran, VU. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000492. Full description at Econpapers || Download paper | |
2023 | Do online searches actually measure future retail investor trades?. (2023). Piccoli, Pedro ; de Castro, Jessica. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000686. Full description at Econpapers || Download paper | |
2023 | Investor propensity to speculate and price delay in emerging markets. (2023). Peng, Shu-Cing ; Hsin, Chin-Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s105752192300073x. Full description at Econpapers || Download paper | |
2023 | Left-tail momentum and tail properties of return distributions: A case of Korea. (2023). Park, Jong Won ; Eom, Yunsung. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000868. Full description at Econpapers || Download paper | |
2023 | Informative or distracting: CSR disclosure of peer firms and analyst forecast accuracy. (2023). Zhang, Lei ; Hu, YI ; Jin, Shuchang ; Ni, Juan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000911. Full description at Econpapers || Download paper | |
2023 | Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680. Full description at Econpapers || Download paper | |
2023 | The annual report tone and return Comovement—Evidence from Chinas stock market. (2023). Xue, Wenjun ; Wang, Feifei ; Liu, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001266. Full description at Econpapers || Download paper | |
2023 | The destabilizing effect of mutual fund herding: Evidence from China. (2023). Hu, YU ; He, Zhongzhi ; Xue, Wenjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001278. Full description at Econpapers || Download paper | |
2023 | The role of social capital in price efficiency: International evidence. (2023). Peng, Shu-Cing ; Hsin, Chin-Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002569. Full description at Econpapers || Download paper | |
2023 | Dispersion in news sentiment and corporate bond returns. (2023). Pu, Xiaoling ; Isakin, Maksim. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002776. Full description at Econpapers || Download paper | |
2023 | Copula approach to market volatility and technology stocks dependence. (2023). Arenda, Peter ; Raiova, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292. Full description at Econpapers || Download paper | |
2023 | Retail investors’ sensitivity to the development and promotion of CSR issues. (2023). Stella, Gian Paolo ; Salerno, Dario ; Porzio, Claudio. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000168. Full description at Econpapers || Download paper | |
2023 | The COVID-19 risk in the cross-section of equity options. (2023). Ruan, Xinfeng ; Jitsawatpaiboon, Kanokrak. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000582. Full description at Econpapers || Download paper | |
2023 | Outside of a sole globally risk averse agent, all other agents in markets are risk seeking agents. (2023). Obrimah, Oghenovo A. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000892. Full description at Econpapers || Download paper | |
2023 | CEO overconfidence, lottery preference and the cross-section of stock returns. (2023). Ko, Kuan-Cheng ; Ho, Po-Hsin ; Lu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001228. Full description at Econpapers || Download paper | |
2023 | The race to exploit anomalies and the cost of slow trading. (2023). Kaplanski, Guy. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000465. Full description at Econpapers || Download paper | |
2023 | When is the order-to-trade ratio fee effective?. (2023). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000532. Full description at Econpapers || Download paper | |
2023 | Informed options strategies before corporate events. (2023). Subrahmanyam, Marti G ; Orowski, Piotr ; Grass, Gunnar ; Brenner, Menachem ; Augustin, Patrick. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000568. Full description at Econpapers || Download paper | |
2023 | Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611. Full description at Econpapers || Download paper | |
2023 | Profitability anomaly and aggregate volatility risk. (2023). Barinov, Alexander. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000714. Full description at Econpapers || Download paper | |
2023 | Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908. Full description at Econpapers || Download paper | |
2023 | Strategic trading by insiders in the presence of institutional investors. (2023). Yang, Joey Wenling ; Wee, Marvin ; Hoang, Lai T. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s138641812200091x. Full description at Econpapers || Download paper | |
2023 | The role of idiosyncratic jumps in stock markets. (2023). Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000186. Full description at Econpapers || Download paper | |
2023 | The impact of short selling on dividend smoothing. (2023). Wu, Qiang ; Samuel, Gilna ; Francis, Bill B. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000177. Full description at Econpapers || Download paper | |
2023 | Volatility and correlation of Islamic and conventional indices during crises. (2023). Azad, A. S. M. Sohel, ; Samet, Anis ; Chazi, Abdelaziz. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322001028. Full description at Econpapers || Download paper | |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper | |
2023 | Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods. (2023). Urquhart, Andrew ; Duan, Kun ; Huang, Yingying. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001597. Full description at Econpapers || Download paper | |
2023 | European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688. Full description at Econpapers || Download paper | |
2023 | Does systematic tail risk matter?. (2023). Pereverzin, Aleksandr ; Nguyen, Linh H ; Polanski, Arnold ; Stoja, Evarist. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001706. Full description at Econpapers || Download paper | |
2023 | Average tail risk and aggregate stock returns. (2023). , Richard ; Dai, Yingtong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001718. Full description at Econpapers || Download paper | |
2023 | What explains the benefits of international portfolio diversification?. (2023). Sy, Oumar ; Nazaire, Gregory ; Guedhami, Omrane ; Attig, Najah. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002013. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2006 | The Cross?Section of Volatility and Expected Returns In: Journal of Finance. [Full Text][Citation analysis] | article | 1247 |
2004 | The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1247 | paper | |
2008 | Which Shorts Are Informed? In: Journal of Finance. [Full Text][Citation analysis] | article | 303 |
2009 | International Stock Return Comovements In: Journal of Finance. [Full Text][Citation analysis] | article | 350 |
2006 | International Stock Return Comovements.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 350 | paper | |
2008 | International stock return comovements.(2008) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 350 | paper | |
2005 | International Stock Return Comovements.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 350 | paper | |
2005 | International Stock Return Comovements.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 350 | paper | |
2021 | Tracking Retail Investor Activity In: Journal of Finance. [Full Text][Citation analysis] | article | 41 |
2010 | Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 86 |
2012 | Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | article | |
2010 | Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
2010 | What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 247 |
2011 | Investing in Talents: Manager Characteristics and Hedge Fund Performances In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 54 |
2016 | Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 4 |
2018 | Anticipating Uncertainty: Straddles around Earnings Announcements In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 5 |
2023 | Finding Anomalies in China In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2012 | Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
2021 | Government Affiliation and Peer-To-Peer Lending Platforms in China In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
2016 | The information content of the sentiment index In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 39 |
2020 | Potential pilot problems: Treatment spillovers in financial regulatory experiments In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 11 |
2001 | Evaluating the specification errors of asset pricing models In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 89 |
2000 | Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
2009 | High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 472 |
2008 | High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 472 | paper | |
2010 | Evaluating asset pricing models using the second Hansen-Jagannathan distance In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 17 |
2006 | Specification tests of international asset pricing models In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 34 |
2006 | Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims In: Staff Reports. [Full Text][Citation analysis] | paper | 3 |
1997 | Mutual Funds and Stock and Bond Market Stability In: Columbia - Graduate School of Business. [Citation analysis] | paper | 0 |
2021 | Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation In: Management Science. [Full Text][Citation analysis] | article | 1 |
2002 | Pricing the Global Industry Portfolios In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | What Do Short Sellers Know?* In: Review of Finance. [Full Text][Citation analysis] | article | 13 |
2013 | Shackling Short Sellers: The 2008 Shorting Ban In: Review of Financial Studies. [Full Text][Citation analysis] | article | 145 |
2022 | Can Shorts Predict Returns? A Global Perspective In: Review of Financial Studies. [Full Text][Citation analysis] | article | 2 |
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