Xiaoyan Zhang
Professor Zhang's research interests include empirical asset pricing, international finance and applied econometrics. Her teaching interests are investments and derivatives. She published in Journal of Financial Economics, Journal of Finance, Journal of Financial and Quantitative Analysis and Journal of International Money and Finance. She received the Lehman Brothers Fellowship for Research Excellence in Finance for 2001, BSI Gamma Research Fund for 2003 and 2005, Q Group Research Fund for 2004 and Lamfalussy Fellowship from European Central Bank for 2007.
Publications
"International Stock Return Comovements" (with Geert Bekaert and Robert Hodrick). Forthcoming in Journal of Finance.
"Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance" (with Haitao Li and Yuewu Xu). Forthcoming in Journal of Financial Economics.
"What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?" (with Yuhang Xing and Rui Zhao). Forthcoming in Journal of Financial and Quantitative Analysis.
"Investing In Talents: Manager Characteristics and Hedge Fund Performances" (with Haitao Li and Rui Zhao). Accepted at Journal of Financial and Quantitative Analysis.
"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, and is one of the finalists for Smith-Breeden Award from JF.
"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.
xz69@cornell.edu
366 Sage Hall
Johnson Graduate School of Management
Cornell University
Ithaca, NY 14853-6207
607-255-8729
