Jiang, Lei

Assistant Professor, Department of Finance
   

Curriculum Vitae



Phone               (86) (10) 62797084
Email             
jianglei@sem.tsinghua.edu.cn
Office               328 Weilun Building
Office Hours      Thur.  15:30-18:30

 

Lei JIANG got his Ph.D. in Economics from Emory University in 2011.

Dr. Jiang’s main research area is empirical asset pricing, investment and FinTech: mutual funds, stock markets and digital currency
 

PUBLICATIONS                                                                                                                                           
 

Lei Jiang, Esfandiar Maasoumi, Jiening Pan and Ke Wu, A Test of General Asymmetric Dependence, Journal of Applied Econometrics, forthcoming

-Emory University*, South University of Science and Technology of China*, Renmin University*, National School of Development at Peking University*, Nankai University*, 9th Annual Society for Financial Econometrics Conference*, International Association for Applied Econometrics (IAAE 2016)*, ­­the national Postdoctoral financial forum* (Winner, Best Paper Award)

Lei Jiang, Ke Wu and Guofu Zhou, Asymmetry in Stock Comovements: An Entropy Approach, Journal of Financial and Quantitative Analysis, forthcoming

-2014 Tsinghua Finance Workshop*, Emory University*, Washington University in St. Louis*, Cornerstone Research*, Georgia State University, Harbin Institute of Technology, 2015 CICF (Shen Zhen)*, 2015 Tsinghua Finance Workshop, 8th China Finance Review International Conference* (Winner, GTA Best Paper Award), 2015 Five-Star Workshop in Finance*, Peking University*, Case Western Reserve University*, 2017Midwest Finance Association Annual Meeting*

SSRN's Top Ten download list for: Capital Markets: Asset Pricing & Valuation eJournal

Lucy F. Ackert, Lei Jiang and Qi Li, 2016. Experiments on Electronic Double Auctions and Abnormal Trades, Southern Economic Journal, volume 83, issue 1, 87-104.

-Southern Economic Association 84th Annual Meetings*

Lucy F. Ackert, Lei Jiang, Hoan Soo Lee and Jie Liu, 2016. Influential Investor in Online Stock Forum, International Review of Financial Analysis, 45, 39-46.

Lucy F. Ackert, Yaru Huang and Lei Jiang, 2015. Investor Sentiment and Price Limit Rules, Journal of Behavioral and Experimental Finance, 5, 15-26.

Lei Jiang (solo author), 2014. Stock Liquidity and the Taylor Rule, Journal of Empirical Finance, volume 28, 202-214.

-Emory University, Financial Management Association International Annual Meetings, 2011

Lei Jiang (solo author), 2011. Order imbalance, liquidity and market efficiency: evidence from the Chinese stock market, Managerial and Decision Economics, volume 32, issue 7, 469-480.

-Emory University

WORKING PAPERS                                                    

“Stock Return Asymmetry: Beyond Skewness”, with Ke Wu, Guofu Zhou and Yifeng Zhu, Working Paper, 2018Revise and Resubmit for 2nd round at Journal of Financial and Quantitative Analysis

-Tsinghua University*, Central University of Finance and Economics*, Shanghai University of Finance and Economics*, Emory University*,
South University of Science and Technology of China*, 
8th China Finance Review International Conference*, 
Washington University in St. Louis*,
Renmin University,
Midwest Finance Association 2016*, Shanghai Tech University*, 
Case Western Reserve University*, 5th ITAM Finance Conference*, 
CICF 2016*, World Finance Conference (New York, Manhatann), 2016 Annual Meeting of the Financial Management Association International*

"Double Adjusted Mutual Fund Performance" with Jeffrey A. Busse and Yuehua Tang, Working Paper, 2018 
Revise and Resubmit at Journal of Financial and Quantitative Analysis

 -Singapore Management University*, Emory University*,Georgia State University*, University of Puerto Rico*, Peking University,
PBC School of Finance at Tsinghua University, Cheung Kong Graduate School of Business, Louisiana State University*,
University of International Business and Economics, SMU Finance Summer Camp 2015*, 
2015 Citigroup Global Quant Conference*,
42nd Annual Meeting of the European Finance Association* , AFA 2016*
University of Georgia, University of Melbourne*, The University of New South Wales*, CICF2017
SSRN's Top Ten download list for: Risk Management eJournal

“Communication and Comovement: Evidence from Online Stock Forums”, with Jinyu Liu and Baozhong Yang, Working paper, 2017Revise and Resubmit for 2nd round at Financial Management

-2014 China Finance Review International Conference*, Central University of Finance and Economics*, Georgia State University*, 
PhD symposium of National Mathematical Economics at Xiamen University*(Winner, Best paper in the area of Finance), Federal Reserve Bank of Atlanta*,
 Peking University*, 2015 CICF (Shen Zhen)(Winner, Yihong Xia Best Paper Award), 2016 Annual Meeting of the Financial Management Association International*
2016 Annual Meeting of the Financial Management Association International*, 25th European Financial Management Association (EFMA) *

SSRN's Top Ten download list for: ERN: Information Asymmetry Models (Topic)

“Mutual Fund Transcation Costs”, with Jeffrey A. Busse, Tarun Chordia and Yuehua Tang, Working Paper, 2017 (under review)

- 2014 CICF (Chengdu), 2014 Tsinghua Finance Workshop*, Cheung Kong Graduate School of Business*, 2014 SMU Summer Institute of Finance Conference*, University of Illinois at Urbana-Champaign*WFA 2015*, Singapore Scholars Symposium 2015*, Oxford University*, Boston College*
 

“Why Do Mutual Funds Hold Lottery Stocks” with Vikas Agarwal and Wen Quan, Working Paper, 2017 (under review)

-University of Houston*, University of North Carolina at Charlotte, University of California, Riverside*, Indian School of Business*, Indira Gandhi Institute of Development Research*, Baruch College*, University of Virginia*
“Asset Pricing Tests with Mimicking Portfolios”, with Raymond Kan and Zhaoguo Zhan, Working Paper, 2017

-Opening Plenary Session at the 8th Annual Society for Financial Econometrics Conference, Tsinghua University, Renmin University, National School of Development at Peking University, South University of Science and Technology of China, CICF 2016 
 

“It’s All about What You Lose: Downside Loss and Mutual Fund Performance” with Vikas Agarwal and Wen Quan, Working Paper, 2017

- Central University of Finance and Economics, 2017 Tsinghua Finance Workshop, Renmin University*
 

“Investor attention and commonalities across asset pricing anomalies” with Jinyu Liu, Lin Peng and Baolian Wang, Working Paper, 2017

-University of International Business and Economics*, Central University of Finance and Economics*, Beihang University*, Nankai University*, Shanghai University of Finance and Economics*, 2017 PhD symposium of Finance at Xiamen University*, City University of New York Baruch College*, Renmin University*, 2017 FMA Asia/Pacific Conference*, CICF 2017, 2017 Annual Meeting of the Financial Management Association International*, 2018 Midwest Finance Association Annual Meeting*, China International Forum on Finance and Policy*
 

PUBLICATIONS IN CHINESE JOURNAL                                                                                                     

The impact of unobservable firm and manager characteristics on executive compensation-evidence from listed companies in China, (with Minwen Li, Xi Yang), China Journal of Economics, 96-123, 2015 (in Chinese) (不可观测的公司与经理人特征对高管薪酬的影响—来自中国上市公司的证据,合作者:李旻文,杨玺。《经济学报》,2015196-123)-南开大学公司治理国际研讨会(2013),北京大学第一届中国财务与会计学术研讨会(2013

Investor sentiment and idiosyncratic volatility: a micro-level test, (with Ping He, Tian Wu and Liangjie Wu), Journal of Tsinghua University (Science and Technology), 655-663, 2014 (in Chinese) (投资者情绪与个股波动关系的微观检验,合作者:何平,吴添,伍良杰。《清华大学学报(自然科学版)》,201454 5655-663)

Studies on Chinese Credit-Scoring system benefited from US experiences, (with Minghui Jiang, Yushan Liu and Weiyi Yang), Commercial Research, 108-110, June 2005 (in Chinese). (中国个人征信体系对美国经验借鉴研究,合作者:姜明辉,刘玉山,杨唯一。《商业研究》,200512108-110)

A Study on Personal Credit Scoring Using Linear Discriminant Analysis, (with Minghui Jiang and Yalin Wang), Management Sciences in China, pages 53-55, Feb. 2003 (in Chinese). (线性判别式分析在个人信用评估中的应用,合作者:姜明辉,王雅林。《管理科学》,2003153-55)

 

Presentations given by co-authors are denoted by *

·      Referee: Journal of Financial Markets, Journal of Banking and Finance, Journal of Empirical Finance, International Review of Economics and Finance, Pacific Basin Finance Journal, Managerial and Decision Economics, Empirical Economics, Asia-Pacific Journal of Financial Studies, Econometric Review, International Review of Finance, China Finance Review International, Emerging Markets Finance and Trade


·         External Reviewer: Hong Kong Research Grants Council (RGC)

·         Session Chair: World Finance Conference 2016 (New York, Manhatann)

Discussant: CICF 2014 (two papers), 2014 Tsinghua Finance Workshop, CICF 2016 (two papers)