xiaoyan zhang : Citation Profile

Tsinghua University

14

H index

17

i10 index

3505

Citations

RESEARCH PRODUCTION:

21

Articles

13

Papers

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 134
   Journals where xiaoyan zhang has often published
   Relations with other researchers
   Recent citing documents: 213.    Total self citations: 12 (0.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh588
   Updated: 2025-03-22    RAS profile: 2024-04-13    
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Relations with other researchers

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:

Blau, Benjamin (30)

Demirer, Riza (21)

GUPTA, RANGAN (16)

Prokopczuk, Marcel (15)

Wu, Ji (14)

Nartea, Gilbert (14)

Bartram, Söhnke (14)

Bekaert, Geert (13)

Smajlbegovic, Esad (13)

Rossi, Francesco (12)

Yin, Libo (12)

Cites to:

Jagannathan, Ravi (31)

Campbell, John (26)

Hansen, Lars (22)

Fama, Eugene (21)

French, Kenneth (21)

Harvey, Campbell (18)

Hodrick, Robert (16)

Wang, Zhenyu (15)

Dybvig, Phillip (9)

Dybvig, Philip (9)

Titman, Sheridan (9)

Main data

Where xiaoyan zhang has published?

Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis5
Journal of Finance4
Journal of Financial Economics4
The Review of Financial Studies2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc6
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing xiaoyan zhang (2025 and 2024)

YearTitle of citing document
2024Information Acquisition and Individual Investors’ Trading Behavior. (2024). Shen, Kailing ; Luo, Ronghua ; Li, Yaling. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-698.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions. (2024). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17095.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints. (2024). Yu, Xiang ; Yan, Kaixin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2411.13579.

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2024.

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2024Mutual fund performance and manager assets: The negative effect of outside holdings. (2024). Lipson, Marc ; Gilbazo, Javier ; Evans, Richard. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:3-29.

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2024Does hedge fund managers’ industry experience matter for hedge fund activism?. (2024). Kang, Junkoo ; Chen, Yuzi ; Brick, Ivan E ; Kim, Jinmo. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:59-97.

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2024Short selling and readability in financial disclosures: A controlled experiment. (2024). Xu, Weike ; Sun, Minxing. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:265-292.

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2024.

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2024.

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2024Do retail investors gamble more during lockdown?. (2024). Zhao, Bin ; Pavabutr, Pantisa. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:4:p:572-603.

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2024Informed Trading Intensity. (2024). Muravyev, Dmitriy ; Fos, Vyacheslav ; Bogousslavsky, Vincent. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:903-948.

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2024A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ. (2024). Jorion, Philippe ; Barber, Brad ; Huang, Xing ; Schwarz, Christopher ; Odean, Terrance. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2403-2427.

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2024.

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2024Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries. (2024). Yang, Guanyi ; Horvath, Jaroslav. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:672-689.

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2024Informed options trading before FDA drug advisory meetings. (2024). Golec, Joseph ; Borochin, Paul ; Wu, Zekun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300144x.

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2024Business aspects in focus, investor underreaction and return predictability. (2024). Jin, Zuben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119923001748.

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2024The influence of media slant on short sellers. (2024). McConnell, John J ; Liu, Baixiao ; Knill, April ; McKenzie, Glades. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119924000038.

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2024Do options trading activities affect underlying firms asymmetric cost behavior?. (2024). Jalali, Zahra ; Zadeh, Mohammad Hendijani. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924001196.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024A contagion test with unspecified heteroscedastic errors. (2024). Peng, Liang ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun ; Ko, Stanley Iat-Meng ; Aboagye, Ernest. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105.

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2024Dynamic mean-variance portfolio selection under factor models. (2024). Cui, Xiangyu ; Kong, Lingjie ; Yang, Lanzhi ; Li, Duan ; Shi, Yun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001155.

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2024What drives the tail risk effect in the Chinese stock market?. (2024). Zhu, Yifeng ; Wang, Hui ; Sun, Kaisi. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004431.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024Does pension fund ownership reduce market manipulation? Evidence from China. (2024). Ur, Faheem ; Ma, Xiang ; Zhu, Xingting ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001249.

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2024Systematic COVID risk, idiosyncratic COVID risk and stock returns. (2024). Zhang, Jiachen ; Wan, Xiaoyuan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001274.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Bataineh, Hassan ; Gider, Zeynullah ; Hassan, Kabir M ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081.

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2024Do fund managers’ performance rely on gender and team size? Evidence from India. (2024). Chandra, Abhijeet ; Mishra, Ajay Kumar ; Majumdar, Sudipta. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000184.

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2024Option trading volume and the cross-section of option returns. (2024). Hu, Sen ; Yuan, Jianglei ; Liu, Dehong ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001542.

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2024Size and ESG premiums: Evidence from Chinese A-share market. (2024). Wu, Yanran ; Zhou, Riwang ; Zhang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001712.

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2024Vocabulary Herfindahl Index (VocaHIn): Linguistic dominance and collective effervescence in WallStreetBets. (2024). Wei, Siliang ; Poon, Ser-Huang ; Otsubo, Yoichi ; Hayakawa, KO. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005111.

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2024Tail risks and private equity performance. (2024). Markarian, Garen ; Kurtovi, Hrvoje. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s092753982300124x.

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2024Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329.

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2024Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?. (2024). Wan, Xiaoyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539824000112.

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2024Policy uncertainty, bad news disclosure, and stock price crash risk. (2024). Yi, Yao ; Wang, Jundong ; Tseng, Kevin ; Kim, Jeong-Bon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000471.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024The value of information in China’s connected market. (2024). Wang, Yuehan ; Chen, Keqi ; Zhu, Xiaoquan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000616.

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2024The 2008 short-selling ban’s impact on tail risk. (2024). Bartl, Jonas ; Irresberger, Felix ; Weiss, Gregor ; Yang, Ruomei ; Bostandzic, Denefa. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000677.

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2024Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA. (2024). Zhou, Guofu ; Lu, Yueliang ; Han, Yufeng ; Xu, Weike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000720.

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2024Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?. (2024). Wang, Mengxin ; Li, Yanling ; Liao, Gaoke. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006667.

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2024Financial market development and corporate risk management: Evidence from Shanghai crude oil futures launched in China. (2024). Wu, Ji ; Chen, Longxuan ; Hao, Jing. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300748x.

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2024The impact of oil and global markets on Saudi stock market predictability: A machine learning approach. (2024). Ibrahim, Bassam A ; Abedin, Mohammad Zoynul ; Elamer, Ahmed A ; Abdou, Hussein A. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001245.

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2024Verified carbon emissions and stock returns in the EU Emissions Trading System. (2024). Galanti, Sébastien ; Benchora, Inessa. In: Energy Policy. RePEc:eee:enepol:v:193:y:2024:i:c:s0301421524002842.

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2024Factor models for Chinese A-shares. (2024). Swinkels, Laurens ; Jansen, Maarten ; Hanauer, Matthias X ; Zhou, Weili. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300491x.

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2024The sources of portfolio volatility and mutual fund performance. (2024). Rakowski, David ; Vafai, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300501x.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Intermediate cross-sectional prospect theory value in stock markets: A novel method. (2024). Park, Jong Won ; Eom, Yunsung. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000528.

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2024Network centrality, information diffusion and asset pricing. (2024). Zhong, Angel ; Hu, Xiaolu ; Yu, Miao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001558.

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2024Investing while lending: Do index funds improve managerial information disclosure?. (2024). Yang, Xing ; Xu, Zijin ; Luo, Haoyi ; Dong, Yunhe. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001790.

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2024Understanding co-movements based on heterogeneous information associations. (2024). Chen, Huayi ; Shi, Huai-Long. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400245x.

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2024Do Chinese carbon-intensive stocks overreact to climate transition risk? Evidence from the COP26 news. (2024). Cao, Ruiyi ; Xue, Minggao ; Ge, Xiaowen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002667.

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2024Retail traders and co-movement: Evidence from Robinhood trading activity. (2024). faff, robert ; Oliver, Barry ; Haghighi, Afshin. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003636.

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2024Representative investors versus best clienteles: Performance evaluation disagreement in mutual funds. (2024). Chretien, Stephane ; Kammoun, Manel. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004307.

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2024Trading on trends: How the ordering of historical volume predicts Chinese stock returns?. (2024). Li, Yihan. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004502.

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2024Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?. (2024). Oehler, Andreas ; Horn, Matthias. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005003.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Crowd-sourced CEO approval and turnover. (2024). Park, Kwangwoo ; Jimmy, Ji Yeol ; Chang, Sea-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005192.

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2024Exploring the factor zoo with a machine-learning portfolio. (2024). Chng, Michael T ; Huang, Tao ; Sak, Halis. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005313.

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2024ESG components and equity returns: Evidence from real estate investment trusts. (2024). , Louis ; Shen, Jianfu ; Fan, Kwok Yuen. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006483.

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2024Social media attention and retail investor behavior: Evidence from r/wallstreetbets. (2024). Warkulat, Sonja ; Pelster, Matthias. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006537.

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2024‘E’ of ESG and firm performance: Evidence from China. (2024). Tan, Yusen ; Poshakwale, Sunil ; Qian, Binsheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006835.

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2024Investor attention and anomalies: Evidence from the Chinese stock market. (2024). Wen, Danyan ; Zhang, Zihao ; Nie, Jing ; Cao, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924007075.

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2024ETF MAX and MIN effects. (2024). Yang, Joey W ; Sun, Zhiyue ; Gould, John. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012072.

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2024An aspirational perspective on the negative risk-return relationship. (2024). Neszveda, Gabor ; Bako, Barna. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000072.

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2024Predicting stock market returns with average correlation and average variance: Decomposition approach. (2024). Oh, Jong-Min. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003738.

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2024Exploring the investment value of retail sales growth: Evidence from the China Retailer Alliance. (2024). Su, Zhi ; Wu, Danni ; Zhou, Zhenkun ; Ren, Tao. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003945.

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2024Idiosyncratic asymmetry in stock returns: An entropy measure. (2024). Liu, Yakun ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324003477.

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2024A closer look at the substitution effects between retail trading and national lotteries. (2024). Liang, Qiqi ; Sun, Licheng. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006275.

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2024Firm-specific investor sentiment and stock price informativeness. (2024). Tan, Yusen ; Qian, Binsheng. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007104.

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2024The price of firm-level information uncertainty. (2024). Wang, XI ; Gao, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008122.

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2024Nominal price illusion, return skewness, and momentum. (2024). Yan, Shu ; Jia, Yuecheng ; Zhang, Runyu ; Xu, Zheng. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009292.

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2024Nonlinear relationship between cryptocurrency returns and price sensitivity to market uncertainty. (2024). Han, Seungoh. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010468.

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2024Short selling and firms’ long-term stock return volatility: Evidence from Chinese concept stocks in Hong Kong. (2024). Ji, XU ; Dong, Yan ; Vagnani, Gianluca ; Yang, Xiaoqi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013680.

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2024Informed trading prior to financial misconduct: Evidence from option markets. (2024). Li, Keming. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000538.

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2024Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases. (2024). Saha, Sounak ; Sun, Licheng ; Stivers, Chris. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000666.

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More than 100 citations found, this list is not complete...

Works by xiaoyan zhang:

YearTitleTypeCited
2006The Cross‐Section of Volatility and Expected Returns In: Journal of Finance.
[Full Text][Citation analysis]		article1349
2004The Cross-Section of Volatility and Expected Returns.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1349		paper
2008Which Shorts Are Informed? In: Journal of Finance.
[Full Text][Citation analysis]		article340
2009International Stock Return Comovements In: Journal of Finance.
[Full Text][Citation analysis]		article375
2006International Stock Return Comovements.(2006) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 375		paper
2008International stock return comovements.(2008) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 375		paper
2005International Stock Return Comovements.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 375		paper
2005International Stock Return Comovements.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 375		paper
2021Tracking Retail Investor Activity In: Journal of Finance.
[Full Text][Citation analysis]		article75
2010Aggregate Idiosyncratic Volatility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper94
2012Aggregate Idiosyncratic Volatility.(2012) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		article
2010Aggregate Idiosyncratic Volatility.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2010What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article267
2011Investing in Talents: Manager Characteristics and Hedge Fund Performances In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article62
2016Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article5
2018Anticipating Uncertainty: Straddles around Earnings Announcements In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article7
2023Finding Anomalies in China In: Working Paper Series.
[Full Text][Citation analysis]		paper2
2012Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2021Government Affiliation and Peer-To-Peer Lending Platforms in China In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article12
2016The information content of the sentiment index In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article46
2020Potential pilot problems: Treatment spillovers in financial regulatory experiments In: Journal of Financial Economics.
[Full Text][Citation analysis]		article14
2001Evaluating the specification errors of asset pricing models In: Journal of Financial Economics.
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2000Evaluating the Specification Errors of Asset Pricing Models.(2000) In: NBER Working Papers.
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2009High idiosyncratic volatility and low returns: International and further U.S. evidence In: Journal of Financial Economics.
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2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.(2008) In: NBER Working Papers.
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2010Evaluating asset pricing models using the second Hansen-Jagannathan distance In: Journal of Financial Economics.
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2006Specification tests of international asset pricing models In: Journal of International Money and Finance.
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2006Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims In: Staff Reports.
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1997Mutual Funds and Stock and Bond Market Stability In: Columbia - Graduate School of Business.
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2021Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation In: Management Science.
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2002Pricing the Global Industry Portfolios In: NBER Working Papers.
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2020What Do Short Sellers Know?* In: Review of Finance.
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2013Shackling Short Sellers: The 2008 Shorting Ban In: The Review of Financial Studies.
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2022Can Shorts Predict Returns? A Global Perspective In: The Review of Financial Studies.
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