Carson College of Business Faculty Directory

Carson College Directory

George Jiang

Finance and Management Science


Phone: (509) 335-4474


  • PhD (University of Western Ontario)
  • MA (University of Western Ontario Department of Economics)
  • MA (International Business School, Nanjing University)
  • Other (Department of Mathematics Nanjing University)

George Jiang

Dr. Jiang's research and expertise span the areas of capital market efficiency, empirical asset pricing, interest rate modeling, risk measurement and management, volatility forecasting, option pricing, and evaluation of mutual fund performance. He has published in academic journals such as the Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Banking and Finance, Journal of Financial Econometrics, Journal of Computational Finance, Econometric Theory, and Journal of Derivatives. Dr. Jiang also serves as an Associate Editor of the Journal of Economic Dynamics and Control. He currently teaches Asset Pricing Theory and Empirical Methods in Finance at the Ph.D. level and Investment Analysis at the undergraduate level. Dr. Jiang received his Ph.D. in Economics in 1996 from the University of Western Ontario. Dr. Jiang joined Washington State University and was appointed the Gary P. Brinson Chair of Investment Management in August 2012. Prior to joining WSU, Dr. Jiang was a faculty member of the Eller College of Management at University of Arizona.

Research Interests

asset pricing
behavioral finance
capital market efficiency
empirical asset pricing
evaluation of mutual fund performance
information shocks and price discovery
interest rate modeling
option pricing
performance of mutual funds and institutional investors
risk measurement and management
volatility forecasting and risk management

Teaching Interests

asset pricing theory
empirical methods in finance
investment analysis

Journal Articles

  • Linda Chen, Wei Huang, George Jiang, Kevin Zhu Do Mutual Funds Trade on Earnings News? The Information Content of Large Trades Journal of Accounting, Auditing, and Finance, 2023
  • George Jiang, Tong Yao, Gulnara Zaynutdinova The Effect of Investor Service Costs on Mutual Fund Performance The Financial Review, 2023
  • Linda Chen, George Jiang, Kevin Zhu Information Uncertainty of Fiscal Year End Quarter Earnings Review of Accounting and Finance, 2022
  • George Jiang, Guanzhong Pan Speculation or Hedging? — Options Trading Prior to FOMC Announcements The Journal of Futures Markets, 2022
  • Linda Chen, George Jiang, Kevin Zhu Why Do Investors Discount Earnings Announced Late? Review of Quantitative Finance and Accounting, 2022
  • George Jiang, Yoshiki Shimizu, Cuyler Strong Back to the Futures: When Short Selling is Banned Journal of Financial Markets, 2022
  • George Jiang, Yinfei Chen, Wei Huang Do short-term institutional investors exploit stock return anomalies? Financial Review, 2022
  • George Jiang, Bing Liang, Huacheng Zhang Hedge Fund Manager Skills and Style-Shifting Management Science, 2022
  • George Jiang, Chang Liu Getting on Board: The Monitoring Effect of Institutional Directors Journal of Corporate Finance, 2021
  • George Jiang, Gulnara Zaynutdinova , Huacheng Zhang Stock Selection Timing Journal of Banking & Finance, 2021
  • Jingjing Chen, George Jiang, Chaowen Yuan, Dongming Zhu Breaking VIX at Open: Evidence of Uncertainty Creation and Resolution Journal of Banking & Finance, 2021
  • Ting Zhang, George Jiang, W.X. Zhou Order imbalance and stock returns: New evidence from the Chinese stock market Accounting and Finance, 2021
  • George Jiang, Guanzhong Pan Analysis of High Frequency Data in Finance International Studies of Economics, 2020
  • Linda Chen, George Jiang, Danielle Xu, Tong Yao Dissecting the Idiosyncratic Volatility Anomaly Journal of Empirical Finance, 2020
  • Jun Hu, George Jiang, Guanzhong Pan Market Reactions to Central Bank Interest Rate Changes Evidence from the Chinese Stock Market , 2020
  • George Jiang, Yoshiki Shimizu, Cuyler Strong When Trading Options is Not the Only Option: The Effect of Single-Stock Futures Trading on Options Market Quality The Journal of Futures Markets, 2020
  • Wei Huang, George Jiang Big Fish in a Small Pond: Institutional Holding of Penny Stocks Quarterly Journal of Finance, 2020
  • Ming Gu, George Jiang, Xu Bu The Role of Analysts: An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market Journal of Empirical Finance, 2019
  • George Jiang, Zafer Yuksel Sentimental Mutual Fund Flows Financial Review, 2019
  • Linda Chen, George Jiang, Kevin Zhu Total attention: The effect of macroeconomic news on market reaction to earnings news Journal of Banking & Finance, 2018
  • Linda Chen, George Jiang, Guanzhong Pan, Kevin Zhu Biases in CAPM beta estimation Advances in Investment Analysis and Portfolio Management. New Series, 2017
  • Linda Chen, Wei Huang, George Jiang Herding on Earnings News: The Role of Institutional Investors in Post-Earnings Announcement Drift Journal of Accounting, Auditing & Finance, 2017
  • George Jiang, Kevin Zhu Information Shocks and Short-Term Market Underreaction Journal of Financial Economics, 2017
  • George Jiang, Zafer Yuksel What drives the "Smart Money"? Evidence from Investors' Money Flows to Mutual Funds and Fund Classes Journal of Empirical Finance, 2017
  • Yue-Hua Dai, Wen-Jie Xie, Zhi-Qiang Jiang, George Jiang Correlation structure and principal components in the global crude oil market Empirical Economics, 2016
  • George Jiang, Woojin Kim Evaluating analysts' value: evidence from recommendation revisions around stock price jumps The European Journal of Finance, 2016
  • Linda Chen, Edward Dyl, George Jiang, Januj Juneja Risk, illiquidity or marketability: What matters for the discounts on private equity placements? Journal of Banking & Finance, 2015
  • George Jiang, Ingrid Lo Private information flow and price discovery in the U.S. treasury market Journal of Banking & Finance, 2014
  • George Jiang, Liangliang Lu, Dongming Zhu The information content of analyst recommendation revisions - Evidence from the Chinese stock market Pacific Basin Finance Journal, 2014
  • George Jiang, Linda Chen Drift or Jump: What Drives Post-Earnings Announcement Stock Returns? Advances in Quantitative Analysis of Finance and Accounting, 2013
  • Linda Chen, George Jiang, Qin Wang Market reaction to information shocks-does the bloomberg and survey matter? Journal of Futures Markets, 2013
  • George Jiang, Tong Yao Stock price jumps and cross-sectional return predictability Journal of Financial & Quantitative Analysis, 2013
  • George Jiang, Andrew Zhang The shrinking space for anomalies Journal of Financial Research, 2013
  • George Jiang, Yisong Tian A random walk down options market Journal of Futures Markets, 2012
  • George Jiang, Linda Chen, Kevin Zhu Do style and sector indexes carry momentum? Journal of Investment Strategies, 2012
  • George Jiang, Eirini Konstantinid, George Skiadopoulos Volatility spillovers and the effect of news announcements Journal of Banking & Finance, 2012
  • George Jiang, Ingrid Lo, Adrien Verdelhan Information Shocks, Liquidity Shocks, Jumps, and Price Discovery--Evidence from the U.S. Treasury Market Journal of Financial & Quantitative Analysis, 2011
  • George Jiang, G Pan, L. Shi Option Pricing when Changes of the Underlying Asset Prices Are Restricted Journal of Mathematical Finance, 2011
  • George Jiang, John Knight ECF Estimation of Markov Models Where the Transition Density is Unknown The Econometrics Journal, 2010
  • George Jiang, Yisong Tian Forecasting Volatility Using Long Memory and Comovements: An application to option valuation under SFAS 123R Journal of Financial & Quantitative Analysis, 2010
  • George Jiang, Yisong Tian Misreaction or Misspecification? A re-examination of volatility anomalies Journal of Banking & Finance, 2010
  • Peng Chen, George Jiang, Kevin Zhu Fund of funds, portable alpha, and portfolio optimization Journal of Portfolio Management, 2009
  • George Jiang, Kevin Zhu Generalized sharpe ratios: Performance measures focusing on downside risk International Research Journal of Finance and Economics, 2009
  • George Jiang, Shu Yan Linear-quadratic term structure models - Toward the understanding of jumps in interest rates Journal of Banking & Finance, 2009
  • George Jiang, Abdoul Sam Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields Journal of Financial and Quantitative Analysis, 2009
  • George Jiang, Danielle Xu, Tong Yao The information content of idiosyncratic volatility Journal of Financial & Quantitative Analysis, 2009
  • George Jiang, Roel Oomen Testing for jumps when asset prices are observed with noise-a "swap variance" approach Journal of Econometrics, 2008
  • Edward Dyl, George Jiang Valuing illiquid common stock Financial Analyst's Journal, 2008
  • George Jiang, Tong Yao, Tong Yu Do mutual funds time the market? Evidence from portfolio holdings Journal of Financial Economics, 2007
  • George Jiang, Roel Oomen Estimating the latent variable and jump diffusion models using high-frequency data Journal of Financial Econometrics, 2007
  • George Jiang, Yisong Tian Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index Journal of Derivatives, 2007
  • George Jiang, Yisong Tian The model-free implied volatility and its information content Review of Financial Studies, 2005
  • George Jiang, D Feng, Peter Song Stochastic Conditional Duration Models with 'Leverage Effect' for Financial Transaction Data Journal of Financial Econometrics, 2004
  • George Jiang Estimating and Testing Affine Option Pricing Models with Stochastic Volatility, Random Jump and Stochastic Interest Rate International Review of Finance, 2002
  • George Jiang, John Knight Estimation of continuous-time processes via the empirical characteristic function Journal of Business & Economic Statistics : A Publication of the American Statistical Association, 2002
  • George Jiang What could also cause or aggravate the implicit 'smile' and 'asymmetry'? Applied Economics Letters, 2002
  • George Jiang VaR under Stochastic Volatility Derivatives Use, Trading and Regulation, 2001
  • George Jiang, Peter Van der Sluis Pricing of Stock Index Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation Review of Finance, 1999
  • George Jiang Stochastic Volatility and Jump-Diffusion --- Implications on Option Pricing International Journal of Theoretical and Applied Finance, 1999
  • George Jiang, John Knight Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes --- A Monte Carlo Study Journal of Computational Finance, 1999
  • George Jiang Nonparametric modeling of U.S. interest rate term structure dynamics and implications on the prices of derivative securities Journal of Financial & Quantitative Analysis, 1998
  • George Jiang, John Knight A nonparametric approach to the estimation of diffusion processes, with an application to a short-term interest rate model Econometric Theory, 1997

    Books/Book Chapters

    • Book George Jiang, G Pan Financial Econometrics
    • Book Chapter George Jiang Stochastic volatility and option pricing
    • Book Chapter George Jiang, John Knight, Stephen Satchell Implementing Option Pricing Model When Asset Returns are Predictable and Discontinuous
    • Book Chapter George Jiang, Pieter Van der Sluis, Yaser Abu-Mostafa, Blake Lebaron, Andrew Lo, Andreas Weigend Option Pricing with the Efficient Method of Moments


      • George Jiang Does Macro-News Help Interpret Micro-News? Evidence from Post-Earnings-Announcement Drift
      • George Jiang
      • George Jiang Information Shocks and Short-Term market Underreaction
      • George Jiang Sentimental Mutual Fund Flows
      • George Jiang Sentimental Mutual Fund Flows
      • George Jiang Herding on Earnings News: The Role of Institutional Investors in Post-Earnings-Announcement Drift
      • George Jiang Herding on Earnings News: The Role of Institutional Investors in Post-Earnings-Announcement Drift

        Conference Proceedings

        • George Jiang, M Milevski, D Promislow The Term Structure of Mortality-Contingent Claims: Some Canadian Evidence Penn State University, Conference on Insurance Mathematics and Economics
        • George Jiang, S Holly, S. Greenblatt Estimation of Jump-Diffusion Process based on Indirect Inference Elsevier


          • George Jiang, John Knight, Grant Wang Alternative Specifications of Stochastic Volatility Models – Theoretical and Empirical Comparison
          • George Jiang, Ingrid Lo, Giorgio Valente High Frequency Trading in the US Treasury Market: Evidence around macroeconomic news announcements
          • George Jiang, Tong Yao, Gulnara Zaynutdinova Mutual Fund Performance: The Effect of Liquidity Service Provision and Active Portfolio Management