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Does herding behavior reveal skill? : an analysis of mutual fund performance

Jiang, Hao; Verardo, Michela - 2013

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Dispersion in beliefs among active mutual funds and the cross-section of stock returns

Jiang, Hao; Sun, Zheng - In: Journal of financial economics 114 (2014) 2, pp. 341-365

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Investor flows and fragility in corporate bond funds

Goldstein, Itay; Jiang, Hao; Ng, David Tat-chee - 2015

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Tracking biased weights: asset pricing implications of value-weighted indexing

Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2020

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Investor flows and fragility in corporate bond funds

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Does beta move with news? : systematic risk and firm-specific information flows

Patton, Andrew J. (contributor); … - 2009

This paper shows that the systematic risk (or 'beta') of individual stocks increases by an economically and statistically significant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...