All Outputs (3)

Hedge Fund Manager Skill and Style-Shifting (2021)
Journal Article
Jiang, G. J., Liang, B., & Zhang, H. (2022). Hedge Fund Manager Skill and Style-Shifting. Management Science, 68(3), 2284-2307. https://doi.org/10.1287/mnsc.2020.3945

Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to Dec... Read More about Hedge Fund Manager Skill and Style-Shifting.

Stock-selection timing (2021)
Journal Article
Jiang, G. J., Zaynutdinova, G. R., & Zhang, H. (2021). Stock-selection timing. Journal of Banking and Finance, 125, Article 106089. https://doi.org/10.1016/j.jbankfin.2021.106089

We argue that mutual fund managers should trade actively only when the market presents opportunities to pick stocks with positive alpha. In this paper, we propose stock-selection opportunity measures and show that a significant portion of mutual fund... Read More about Stock-selection timing.

Seasonality in the cross section of stock returns: Advanced markets versus emerging markets (2018)
Journal Article
Li, F., Zhang, H., & Zheng, D. (2018). Seasonality in the cross section of stock returns: Advanced markets versus emerging markets. Journal of Empirical Finance, 49, 263-281. https://doi.org/10.1016/j.jempfin.2018.11.001

We extend the studies of stock return seasonality by Heston and Sadka (2008, 2010) to a comprehensive sample of 42 international markets, including 21 advanced markets and 21 emerging markets. The empirical results show a large variation in stock sea... Read More about Seasonality in the cross section of stock returns: Advanced markets versus emerging markets.