XI DONG Baruch College One Baruch way, Box B10-225 New York, NY 10010 Phone: (646) 312-3491 Fax: (646) 312-3451 Email: [email protected]
ACADEMIC POSITIONS • •
Assistant Professor of Finance, Baruch College, City University of New York, 2014 to present Assistant Professor of Finance, INSEAD, France and Singapore, 2010-2014
EDUCATION • • •
Boston College, Ph.D. in Finance, May 2010 The Ohio State University, MA in Economics, 2004 Southeast University, Bachelor of Engineering (with honors), 2000
WORKING PAPERS •
 Excess Autocorrelation and Mutual Fund Performance, with Massimo Massa (INSEAD), 2014 – On the AFA 2014 program and the FIRS 2014 program
 Liquidity Risk and Mutual Fund Performance, with Shu Feng (Boston University) and Ronnie Sadka (Boston College), 2014 – On the AEA 2012 program
 Volume-Return Relationships and Home Bias, 2013
 Media Coverage, Liquidity Risk, and Corporate Bond Returns, with Joel Peress (INSEAD), Daniel Schmidt (INSEAD), and Junbo Wang (CUHK), 2013
 Idiosyncratic Return Volatility of New Ventures: Theory and Evidence, 2013, with Shu Feng (Boston University) – On the INFORMS 2006 program
 Developed Market Crises and International Stock Market Return Comovements, 2013
WORK IN PROGRESS •
 Sentiment Risk and Hedge Funds, with Bernard Dumas (INSEAD) and Emilio Osambela (Carnegie Mellon), coming soon
 Price Limits, Trading Activity, and Stock Returns, with Lily Fang (INSEAD) and Li Jin (Oxford University and Peking University)
 Trading Seasonality in Options, with Ronnie Sadka (Boston College), 2013
 “Excess Autocorrelation and Mutual Fund Performance,” with Massimo Massa, 2013 – FIRS, 2014 – American Finance Association (AFA) Annual Meetings, Philadelphia, 2014 – Helsinki Finance Summit, 2013 – China International Conference in Finance, 2013 – Symposium on Financial Econometrics and Market Microstructure, 2013 – INSEAD, 2011
 “Liquidity Risk and Mutual Fund Performance” with Shu Feng and Ronnie Sadka, 2013 – *Defined Contribution Institutional Investment Association (DCIIA) Academic Forum, Boston, 2013 – *Fidelity Investments, 2013 – *Acadian Asset Management, 2013 – 1st Asset Management Summit, Luxembourg, 2012 – American Economic Association (AEA) Annual Meetings, Chicago, 2012 – 5th Conference on Professional Asset Management, Rotterdam School of Management, Erasmus University, 2011 – INSEAD, 2011 – *2011 Inquire Europe, Luxembourg, October 2011 – 4th Financial Risks International Forum, Paris, France, 2011
 “Volume-Return Relationships and Home Bias,” 2013 – Barclays Capital, 2011 – State Street Global Advisors, 2011 – Boston College, INSEAD, George Washington University, James Madison University, Manchester Business School, University of Louisville, Kentucky, Singapore Management University, Nanyang Technological University, City University of Hong Kong, 2010 – Financial Management Association Annual Meeting, 2009 – Northern Finance Association Annual Meetings, 2009
 “Media Coverage, Liquidity Risk, and Corporate Bond Returns,” with Joel Peress, Daniel Schmidt, and Junbo Wang, 2013 – INSEAD, 2012
 “Idiosyncratic Risk of New Ventures: Theory and Evidence,” with Shu Feng, 2013 – *State University of New York (SUNY) at Buffalo, 2009 – Financial Management Association Annual Meeting, 2009 – Northern Finance Association Annual Meetings, 2009
*Boston University, 2008 *Institute for Operations Research and the Management Sciences (INFORMS), 2006
 “Developed Market Crises and International Stock Market Return Comovements,” 2013 – University of Chicago CRSP Forum, 2008 – Financial Management Association (FMA) Annual Meeting, 2008
 “Sentiment Risk and Hedge Funds” with Bernard Dumas and Emilio Osambela – INSEAD, 2013
*Presented by coauthors
TEACHING EXPERIENCE • •
Investments (MBA), INSEAD Fontainebleau (half a year) and Singapore (half a year), 2011-2014 – Latest rating 4.65 (INSEAD Teaching Excellence Award threshold 4.5) Principles of Macroeconomics, Fisher College of Business, The Ohio State University, 2004
OTHER WORKING EXPERIENCE • • •
Global Investment Strategy Researcher, State Street Global Advisors, Boston, USA, 2006 Consultant, Jiangsu Hi-tech Investment Co. Ltd, China, 2002 Co-Founder and Entrepreneur of Widetek Co. Ltd, China, 1998-2001
MEDIA COVERAGE • •
“Not yet time to write off 'buy and hold',” The Business Times, November 8, 2011. “Fundamentalists vs. technicians,” The Business Times, May 9, 2011.
AWARDS, FELLOWSHIPS AND GRANTS • • • • • • •
INSEAD Alumni Research Grant, 2011-2013 Best Paper Award for Doctoral Students at the Southwestern Finance Association Meetings for the paper, “Volume-Return Relationships and Home Bias,” 2010 Graduate Fellowship, Finance Department, Boston College, 2005-2010 Referee Finance Best Paper Award for the paper titled, “Developed Market Crises and EmergingDeveloped Return Comovements,” 2008 National Champion of the China College Students “Challenge Cup” Business Plan Competition, 2000 University Fellowship, Economics Department, The Ohio State University, 2002-2004 First Class Undergraduate Fellowship, Southeast University, Nanjing, China, 1996-2000
REFEREE SERVICES (AD-HOC REFEREE) •
Journal of Finance, Finance Research Letters, Journal of Empirical Finance, Journal of Financial Intermediation, Journal of Business and Economic Statistics, Journal of Financial Research
REFERENCES Bernard Dumas The INSEAD Chaired Professor of Finance INSEAD Boulevard de Constance 77305 Fontainebleau Cedex, France Email: [email protected]
Phone: 33 (0)1 60 72 43 73 Massimo Massa The Rothschild Chaired Professor of Banking INSEAD Boulevard de Constance 77305 Fontainebleau Cedex, France Email: [email protected]
Phone: 33 (0)1 60 72 44 81 Fax: 33 (0)1 60 72 40 45 Joël Peress The AXA Chaired Professor in Financial Market Risk INSEAD Boulevard de Constance 77305 Fontainebleau Cedex, France Email: [email protected]
Phone: 33 (0)1 60 72 40 35 Fax: 33 (0)1 60 72 40 45 Ronnie Sadka Professor of Finance Hillenbrand distinguished fellow Boston College, Carroll School of Management 336 Fulton Hall 140 Commonwealth Ave. Chestnut Hill, MA 02467 Phone: (617) 552-0899 Fax: (617) 552-0431 Email: [email protected]
RESEARCH PAPER ABSTRACTS  Excess Autocorrelation and Mutual Fund Performance, with Massimo Massa (INSEAD), 2013 We develop a new measure to predict mutual fund performance based on the microstructure evidence on stealth trading. We exploit the intuition that strategic stealth trading induces positive autocorrelation in the portfolios of informed investors. The degree of portfolio return autocorrelation of the funds therefore carries information to gauge their skills. We propose an autocorrelation-based measure of mutual fund portfolio returns, termed the excess autocorrelation – the difference between the autocorrelation of actual fund portfolio return and that of the return on a portfolio that invests in the previously disclosed fund holdings. We test our measure using the US mutual fund industry between October, 1998 and December, 2010. The results show that funds with high excess autocorrelation persistently display a net-of-risk performance that ranges between 2 and 3 percent per year. Such performance is predictable up to 12 months ahead. This suggests that the excess autocorrelation predicts fund performance.
 Can Liquidity Beta Predict Mutual Fund Alpha? with Shu Feng (Boston University) and Ronnie Sadka (Boston College), 2013 This paper advances that fund managerial ability to outperform are likely to manifest in the liquidity beta of the fund, based on theories, for example, that suggests that the profitability of informed investors increases with the ratio of noise-to-informed trading (liquidity). Consistently, we document that high-liquidity-beta funds subsequently outperform low-liquidity-beta funds by about 4% annually over the period 1984--2010. Out-of-sample results show that high-liquiditybeta fund managers tend to outperform on average, and in particular during periods of improved market liquidity, while the risk premium of fund holdings explains only a small portion of the outperformance. The liquidity beta of a fund is also correlated with various measures of activeness and enhanced investment opportunities, especially during periods of improved market liquidity. The results of this paper offer additional insight into the understanding of the liquidityrisk exposure of a fund.  Volume-Return Relationships and Home Bias, 2013 The comparison of volume-return relationships of stocks traded in the U.S. indicates that there is a home bias in trading. Average U.S. investors' trading volume of foreign stocks is more driven by rebalancing or risk-sharing trades, which induce return reversal, while their trading volume of comparable U.S. domestic stocks is more driven by speculating trades on private information, which result in return continuation. Using a large proprietary database of institutional trading volume and prices, I also find that U.S. institutional investors' trading volume-return relation exhibits a similar pattern. I establish that there is a linkage between the holdings of equities and the trading volumereturn relationships so that the findings support the explanation of the home-bias puzzle that is based on the idea that investors invest in foreign stocks based on noninformational reasons such as risksharing or even behavioral while they focus on domestic stocks to speculate on private information.
 Media Coverage, Liquidity Risk, and Corporate Bond Returns, with Joel Peress (INSEAD), Daniel Schmidt (INSEAD), and Junbo Wang (CUHK), 2013 5
Media coverage facilitates information dissemination, which tends to lower expected returns. But media coverage also increases price sensitivity to aggregate liquidity shocks, which increases the liquidity risk that investors have to bear, resulting in a higher required liquidity risk premium. The two counter-balance each other and jointly affect expected corporate bond returns.
 Idiosyncratic Return Volatility of New Ventures: Theory and Evidence, 2013, with Shu Feng (Boston University) This paper studies idiosyncratic risk of new ventures. A model of a new venture with multistage investments and jumps is developed. Our model explains (1) why new ventures' idiosyncratic volatility eventually decreases as they clear R&D investment stages and become mature firms; (2) the negative relation between jumps in value and subsequent idiosyncratic volatility; (3) the dynamics of idiosyncratic volatility under different schedules of staged venture capital investments; and (4) the effect of different schedules of staged investments on firm valuation with the presence of jumps. Empirically, we develop a generalized Markov-Switching EARCH model to simultaneously capture structural changes in firms' idiosyncratic volatility and the relation between jumps and idiosyncratic volatility. Using a hand-collected dataset of early-stage biotech firms, we find evidence supporting our model.
 Developed Market Crises and International Stock Market Return Comovements, 2013 This paper examines how international stock market return comovements vary with developed market uncertainty during 2001-2006 when major crises, such as 9/11 and a series of accounting scandals, originated in developed markets. I find a significantly negative relation between developed market uncertainty and future developed-emerging return comovements. The developed-to-emerging return linkage, beta, decreases by around 62% when the average developed market uncertainty increases from one standard deviation below its mean to two standard deviations above its mean. The developed-emerging return correlation also decreases in a similar way. In contrast, the comovements among developed markets rise with developed market uncertainty. The findings support a few idiosyncratic-risk based or trading-based contagion theories which suggest that, during crises, stock market comovements can either increase or decrease excessively.
 Sentiment Risk and Hedge Fund Returns, with Bernard Dumas (INSEAD) and Emilio Osambela (Carnegie Mellon), 2013 We test an equilibrium model on the optimal strategy of rational investors in the face of sentimental investors. Smart rational investors are assumed to process information more correctly than other investors. The other investors are sentiment prone in the sense that they overreact to a public signal, thereby creating excess volatility or sentiment risk in the financial market. The model provides an optimal strategy on how rational investors should expose to sentiment risk on average as well as time sentiment risk over time. We construct a sentiment risk measure that is consistent with the excess-volatility-based sentiment risk concept in our model. Using hedge funds as a proxy for rational investors, we determine whether hedge funds that follow the optimal strategy in our model indeed outperform other hedge funds in the long run.