Xiao Zhang

I will join Peking University HSBC Business School as an Assistant Professor of Finance in Fall 2027. I am now a Postdoctoral Scholar at the Briger Family Digital Finance Lab at Columbia Business School.

My research interests are asset pricing, market microstructure, and cryptocurrency markets. I received my PhD in Finance at the University of Maryland. My dissertation advisors are Zhi Da (Notre Dame), Brandon Han, Steve Heston, Albert "Pete" Kyle (chair), and Russ Wermers. Before my PhD, I worked as a quantitative equity analyst at a hedge fund.

Email: xz66@umd.edu Links: CV (PDF), SSRN

Working Papers

1. The Costs of Synthetic Leverage in Single-Stock Leveraged ETFs: Theory and Evidence (with Hendrik Bessembinder and Jinming Xue) (SSRN)

2. When Buys Move Markets More Than Sells: How Institutions Boost Prices without Net Buying (download PDF, SSRN)

Present: SoFiE 2026, MFA 2026, Maryland Brownbag

Award: SoFiE 2026 Best Paper Award Pre-Conference

3. Can Daily Closing Prices Predict Future Movements? The Role of Limit Order Clustering (download PDF, SSRN)

Present: SoFiE 2026, CICF 2025, Transatlantic Doctoral Conference LBS 2025, EasternFA 2025, SWFA 2025, AFA 2025 PhD Poster, SFA 2024, University of Maryland

Invited Industry Presentation: TwinBeech Capital, Wolfe Research 8th Annual Global Quantitative and Macro Investment Conference

Media Coverage: Money Stuff / Bloomberg

4. Same-Weekday Momentum (with Zhi Da) (download PDF, SSRN)

Present: SoFiE 2026, AFA 2026, CICF 2025, SFS Cavalcade Asia-Pacific 2024, EUROFIDAI-ESSEC Paris December 2024, University of Maryland, CUHK-Shenzhen*, George Washington University*, HKUST*, University of Florida*, University of Macau*, University of Notre Dame* (*by coauthor)