Xinzhong Xu

Peking University - Guanghua School of Management

Professor of Finance

Peking University

Beijing, Beijing 100871

China

SCHOLARLY PAPERS

8

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Top 10,976

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8,157

SSRN CITATIONS
Rank 12,442

SSRN RANKINGS

Top 12,442

in Total Papers Citations

76

CROSSREF CITATIONS

48

Scholarly Papers (8)

1.

Closed-Form Transformations from Risk-Neutral to Real-World Distributions

Number of pages: 48 Posted: 03 Jun 2004
Essex Business School, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,617 (21,292)
Citation 32

Abstract:

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2.

Post-Earnings-Announcement Drift in the UK

LUMS Working Paper No. 2000/010
Number of pages: 48 Posted: 25 Jan 2001
Weimin Liu, Norman C. Strong and Xinzhong Xu
Nottingham University Business School, University of Manchester - Alliance Manchester Business School and Peking University - Guanghua School of Management
Downloads 1,514 (23,584)
Citation 1

Abstract:

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Post-earnings-announcement drift, market efficiency, earnings surprises

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Number of pages: 40 Posted: 16 Mar 2002
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,424 (25,402)
Citation 15

Abstract:

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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Posted: 10 Dec 2003
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

Abstract:

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Realized volatility, Fractional integration, Forecasting, Implied volatilities, Exchange rates

4.

CAPM, Higher Co-Moment and Factor Models of UK Stock Returns

Number of pages: 31 Posted: 23 Jun 2003
University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,104 (37,327)
Citation 6

Abstract:

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Fama French Factors, CAPM, comoment, coskewness, cokurtosis, cross section, UK stock returns.

5.

Understanding the Equity Home Bias: Evidence from Survey Data

Lancaster University Management School, Department of Accounting and Finance Working Paper No. 99/017
Number of pages: 18 Posted: 09 Dec 1999
Norman C. Strong and Xinzhong Xu
University of Manchester - Alliance Manchester Business School and Peking University - Guanghua School of Management
Downloads 1,089 (38,123)
Citation 16

Abstract:

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6.

Pricing Ftse 100 Index Options Under Stochastic Volatility

Lancaster University Management School, Department of Accounting and Finance Working Paper No. 99/018
Number of pages: 30 Posted: 09 Dec 1999
Yueh-Neng Lin, Norman C. Strong and Xinzhong Xu
University of Dong Hwa, Taiwan, University of Manchester - Alliance Manchester Business School and Peking University - Guanghua School of Management
Downloads 975 (44,611)
Citation 1

Abstract:

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7.

The Pricing of Block Shares: Trading Off Liquidity Against Control

Number of pages: 27 Posted: 25 Feb 2005
Zhangkai Huang and Xinzhong Xu
Tsinghua University - School of Economics & Management and Peking University - Guanghua School of Management
Downloads 434 (125,886)
Citation 1

Abstract:

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Block shares, liquidity constraints, control benefit

The Incremental Volatility Information in One Million Foreign Exchange Quotations

WP 95/008
Posted: 25 Aug 1998
Stephen J. Taylor and Xinzhong Xu
Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

Abstract:

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The Incremental Volatility Information in One Million Foreign Exchange Quotations

Posted: 05 Sep 2001
Stephen J. Taylor and Xinzhong Xu
Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

Abstract:

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