Travis (Xiaoyu) Zhao

Research

Hedge funds · Institutional investors · Geopolitical risk · Options · Cybersecurity · Fintech

Job Market Paper

Who Signs Matters? Compliance Titles and Hedge Fund 13F Disclosures

Solo-authored · PDF

Hedge funds have incentives to conceal portfolio positions and may strategically misreport their holdings in mandatory public disclosures. We use Form 13F signature blocks to identify the personnel assigned formal reporting responsibility, distinguishing dedicated compliance titles from titles that include investment management or other functions. Filings signed by dedicated compliance personnel are less likely to be amended subsequently than those signed by executive or investment-leadership personnel, with the association concentrated in delayed restatements rather than prompt corrections or amendments adding previously undisclosed holdings. The delayed-restatement association persists after accounting for original-filing discrepancies and reported verification arrangements. Following a restatement’s public release, abnormal stock returns are more closely aligned with the direction of reported position revisions when dedicated compliance personnel signed the original filing than under other signing roles. These findings highlight the allocation of formal reporting responsibility as an observable dimension of hedge fund governance, associated with both subsequent amendments and the market response to restatements.

Working Paper

Hedge Fund Performance and the U.S.–China Tension

with Bing Liang · PDF

This paper investigates whether hedge funds are systematically rewarded for their exposure to U.S.–China tensions. We construct a return-based measure of fund-level exposure (“tension beta”) using a novel news-based index of U.S.–China tension orthogonalized to macroeconomic and policy uncertainty. We find that funds with higher tension betas earn significantly higher out-of-sample excess returns and risk-adjusted alphas. This positive relation cannot be explained by conventional risk factors or fund characteristics. Form 13F holdings show that manager families with more hedge-like fund-return exposure also hold long-equity portfolios with more favorable sensitivity to rising tension. We further show that a subset of directional and semi-directional funds actively time U.S.–China tension: they maintain higher exposure in normal periods but strategically reduce exposure during high-tension episodes. In contrast, non-directional funds show no evidence of tension timing.

Presentations
  • SoFiE Annual Conference, 2026
  • EFA Annual Conference, 2026
  • SWFA Annual Conference, 2026
  • 5th Frontiers of Factor Investing Conference, Lancaster University, 2026
  • 10th Annual Volatility Institute Conference, NYU Shanghai, 2025
  • 2nd Annual Boca Finance and Real Estate Conference, Florida Atlantic University, 2025
Working Paper

Informed Option Trading: Evidence from Data Breaches

Solo-authored · PDF

This paper investigates the information content of options trading before data breach announcements. I document abnormal implied volatility skew in the days leading up to the announcements. This measure captures the relative expensiveness of put options and predicts the post-announcement returns of the stocks. The finding is robust to a placebo test and a propensity score matched sample. Moreover, the predictive power of the implied volatility skew is stronger when the option market is more liquid relative to the stock market, and when the underlying stock underperforms prior to the announcements. Overall, the results confirm the information content of data breach announcements and suggest the presence of informed option trading before such events.

Presentations
  • 14th World Finance & Banking Symposium, 2025
  • INFORMS Annual Conference, 2025
  • UMass Amherst Isenberg Brownbag, 2024

Work in Progress