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Publications


Forthcoming Publications

  • Li H., Y. Xu and X. Zhang No-Arbitrage Restriction and Hedge Fund Performance Evaluation. Journal of Financial and Quantitative Analysis,

Journal Articles

  • Sibley, S., Y. Wang, Y. Xing and X. Zhang (2016). The Information Content of The Sentiment Index. Journal of Banking and Finance, vol. 62 164-179.
  • Boehmer, E., C. Jones and X. Zhang (2013). Shackling Short Sellers: The 2008 Shorting Ban. Review of Financial Studies, vol. 26 1363-1400.
  • Wang, Z. & X. Zhang (2012). Empirical Evaluation of Pricing Models: Arbitrage and Pricing Errors on Contingent Claims. Journal of Empirical Finance, vol. 19 65-78.
  • Bekaert, B., R. Hodrick & X. Zhang (2012). Aggregate Idiosyncratic Volatility. Journal of Financial and Quantitative Analysis, vol. 47 1155-1185.
  • Li, H., Y. Xu & X. Zhang (2010). Investing In Talents: Manager Characteristics and Hedge Fund Performances. Journal of Financial and Quantitative Analysis, vol. 46 59-82.
  • Xing, Y., X. Zhang & R. Zhao (2010). What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?. Journal of Financial and Quantitative Analysis, vol. 45 641-662.
  • Li, H., Y. Xu & X. Zhang (2010). Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance. Journal of Financial Economics, vol. 97 279-301.
  • Ang, A., R. Hodrick, Y. Xing & X. Zhang (2009). High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics, vol. 91 1-23.
  • Bekaert, G., R. Hodrick & X. Zhang (2009). International Stock Return Comovements. Journal of Finance, vol. 64 2591-2626.
  • Boehmer, E., C. Jones & X. Zhang (2008). Which Shorts Are Informed?. Journal of Finance, vol. 63 491-527.
  • Zhang, X. (2006). Specification Tests of International Asset Pricing Models. Journal of International Money and Finance, vol. 25 275-307.
  • Ang, A., R. Hodrick, Y. Xing & X. Zhang (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, vol. 61 259-299.
  • Hodrick, R. & X. Zhang (2001). Evaluating the Specification Errors of Asset Pricing Models. Journal of Financial Economics, vol. 62 327-376.