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Research Areas

Macro Finance Investment

Zhang, Xiaoyan

Associate Professor of Finance
Purdue University

xyzhang@saif.sjtu.edu.cn

Educational Background

Ph.D. in Finance, Columbia Business School, Columbia University

Experience

Professor Xiaoyan Zhang is a special-term professor at SAIF and Associate Professor of Finance at the Krannert School of Management at Purdue University. Prior to joining the Krannert faculty, Professor Zhang was Assistant Professor of Finance at the Johnson School of Management at Cornell University (2002-2010).

Honors / Achievements

BSI Gamma Foundation Award (2005)
Best Paper Award at the 16th Mitsui Finance Symposium (2009) at the University of Michigan

Short BIO

Professor Zhang's research focuses on portfolio management, short-selling, and international finance. Her papers have appeared in the Journal of Finance, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis and other leading finance journals. Her article "Which Shorts Are Informed" (with EkkehartBoehmer and Charles Jones) won the BSI Gamma Foundation Award (2005) and was finalist for Smith-Breeden Award from the Journal of Finance (2007). Her paper "Shackling Short Sellers: The 2008 Shorting Ban" (with EkkehartBoehmer and Charles Jones) won Best Paper Award at the 16th Mitsui Finance Symposium (2009) at the University of Michigan. Her other research on international finance and asset management has received awards from the European Central Bank and the Q Group Research Fund.

Publication

“Aggregate Idiosyncratic Volatility” (with Geert Bekaert and Robert Hodrick), Forthcoming at Journal of Financial and Quantitative Analysis.

“Empirical Evaluation of Pricing Models: Arbitrage and Pricing Errors on Contingent Claims” (with Zhenyu Wang), Forthcoming atJournal of Empirical Finance.

“What Does 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.

“Investing In Talents: Manager Characteristics and Hedge Fund Performances” (with Haitao Li and Rui Zhao), Journal of Financial and Quantitative Analysis, 2010, 46, 59 – 82.

“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.

Research Areas

Zhang, Xiaoyan

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