|
|
Xiaoyan Zhang
Professor Zhang's research interests include international finance, empirical asset pricing, and applied econometrics; her teaching interests are international finance, investments and derivatives. She published in Journal of Financial Economics, Journal of Finance and Journal of International Money and Finance. She also received the Lehman Brothers Fellowship for Research Excellence in Finance for 2001.
Selected Publications
"Evaluating the Specification Errors of Asset Pricing Models" (with Robert Hodrick, Journal of Financial Economics, November 2001, 62, 327-376)
"Specification Tests of International Asset Pricing Models" (Journal of International Money and Finance, 2006, 25, 275-307)
"The Cross-Section of Volatility and Expected Returns" (with Andrew Ang, Robert Hodrick and Yuhang Xing, Journal of Finance, February 2006, 61, 259-299)
"Which Shorts are Informed" (with Ekkehart Boehmer and Charles Jones, won BSI Gamma Foundation award, forthcoming at Journal of Finance)
"High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence" (with Andrew Ang, Robert Hodrick and Yuhang Xing, forthcoming at Journal of Financial Economics)
"International Stock Return Comovements" (with Geert Bekaert and Robert Hodrick)
"Investing in Talents: Manager Characteristics and Hedge Fund Performances" (with Haitao Li and Rui Zhao)
"Evaluating Asset Pricing Models Using the Second Hansen-Jagananthan Distance" (with Haitao Li, and Yuewu Xu)
"The Role of Arbitrage in the Empirical Evaluation of Asset Pricing Models" (with Zhenyu Wang)
"Idiosyncratic Volatility around the World: is there a trend?" (with Geert Bekaert and Robert Hodrick)
"What Does Individual Option Volatility Smirk Tell Us about Future Equity Returns" (with Yuhang Xing and Rui Zhao)
"Hedge Fund Performance Evaluation: A Stochastic Discount Factor Approach" (with Warren Bailey and Haitao Li, won Q Group Research Fund)
xz69@cornell.edu
366 Sage Hall
Johnson Graduate School of Management
Cornell University
Ithaca, NY 14853-6207
607-255-8729
