Xiao Qiao

City University of Hong Kong (CityU)

Hong Kong

  • City University of Hong Kong (CityU)

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 2,093

SSRN RANKINGS

Top 2,093

in Total Papers Downloads

28,591

SSRN CITATIONS

12

CROSSREF CITATIONS

5

Scholarly Papers (19)

Actions:
Email selected abstracts
1.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 22 May 2019
Blair Hull and Xiao Qiao
HTAA, LLC and City University of Hong Kong (CityU)
Downloads 15,419 (517)
Citation 5

Abstract:

Loading...

equity premium, forecasting, predictability, correlation screening, market timing, asset returns, tactical asset allocation

2.

Return Predictability and Market-Timing: A One-Month Model

Journal Of Investment Management, 17.3 (2019):47-64.
Number of pages: 30 Posted: 10 Oct 2017 Last Revised: 07 Oct 2019
Blair Hull, Xiao Qiao and Petra Bakosova
HTAA, LLC, City University of Hong Kong (CityU) and Hull Tactical
Downloads 6,360 (2,359)
Citation 4

Abstract:

Loading...

equity premium, forecasting, predictability, market timing, asset returns, tactical asset allocation

3.

Option Pricing Via Breakeven Volatility

Financial Analysts Journal, Forthcoming
Number of pages: 56 Posted: 11 Oct 2021 Last Revised: 10 Jul 2022
Blair Hull, Anlong Li and Xiao Qiao
HTAA, LLC, Hull Tactical Funds and City University of Hong Kong (CityU)
Downloads 1,845 (18,038)

Abstract:

Loading...

options, volatility, prediction, trading strategy

4.

Cross-Sectional Evidence in Consumption Mismeasurement

Downloads 1,674 (20,949)
Citation 1

Cross-Sectional Evidence in Consumption Mismeasurement

Number of pages: 34 Posted: 30 Aug 2013
Xiao Qiao
City University of Hong Kong (CityU)
Downloads 898 (50,919)
Citation 1

Abstract:

Loading...

consumption, asset pricing, dimension reduction, cross section

Cross-Sectional Evidence in Consumption Mismeasurement

Number of pages: 34 Posted: 10 Aug 2014
Xiao Qiao
City University of Hong Kong (CityU)
Downloads 776 (62,128)
Citation 1

Abstract:

Loading...

5.

Industry Style Premiums

Number of pages: 43 Posted: 03 Dec 2012
Xiao Qiao
City University of Hong Kong (CityU)
Downloads 563 (94,959)

Abstract:

Loading...

Industry, Size, Value, Momentum, Fama-French, Forecasting

6.

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising

Number of pages: 32 Posted: 06 Nov 2019 Last Revised: 22 Feb 2021
Xiangyu Cui, Duan Li, Duan Li, Xiao Qiao and Moris Simon Strub
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong KongCity University of Hong Kong, City University of Hong Kong (CityU) and University of Warwick - Warwick Business School
Downloads 528 (102,868)

Abstract:

Loading...

mean-risk optimization; mean-variance; expected utility maximization; portfolio choice; risk; potential; asset allocation; robo-advising; FinTech

7.

On Commodity Price Limits

Journal of Futures Markets, Forthcoming
Number of pages: 30 Posted: 27 Nov 2017 Last Revised: 12 Jul 2019
Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst
SummerHaven Investment Management, City University of Hong Kong (CityU) and Yale School of Management - International Center for Finance
Downloads 359 (161,139)

Abstract:

Loading...

Commodity Futures, Price Limits, Speculation, Commodity Options, Circuit Breakers, Speculative Trading

8.

Volatility and Returns: Evidence from China

Number of pages: 36 Posted: 05 Aug 2019
Yeguang Chi, Xiao Qiao, Sibo Yan and Binbin Deng
University of Auckland, Business School, Department of Accounting and Finance, City University of Hong Kong (CityU), Independent and Wenzhou Medical University - Department of Neurology
Downloads 341 (170,307)
Citation 1

Abstract:

Loading...

volatility, returns, portfolio management, forecasting

9.

The New Macroeconomics of Consumer Surplus

Number of pages: 13 Posted: 27 Sep 2017
Ilya Talman, Xiao Qiao, Steve Rubinow, Michael Lippitz and Peter Evangelakis
Roy Talman & Associates, City University of Hong Kong (CityU), DePaul University - College of Computing and Digital Media, Clareo LLC and Regional Economic Models, Inc. (REMI)
Downloads 316 (184,660)
Citation 1

Abstract:

Loading...

GDP, Digitalization, Consumer Surplus

10.

Commodity Momentum: A Tale of Countries and Sectors

Journal of Commodity Markets, Forthcoming
Number of pages: 65 Posted: 21 Feb 2023
John Hua Fan and Xiao Qiao
Griffith University - Department of Accounting, Finance and Economics and City University of Hong Kong (CityU)
Downloads 301 (194,547)

Abstract:

Loading...

Commodity Futures; Momentum; Sectors; Inflation; China

11.

Follow the Smart Money: Factor Forecasting in China

Number of pages: 43 Posted: 20 Jul 2020
Qinhua Chen, Yeguang Chi and Xiao Qiao
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Auckland, Business School, Department of Accounting and Finance and City University of Hong Kong (CityU)
Downloads 278 (211,165)

Abstract:

Loading...

factor timing, return forecasting, mutual funds, emerging markets

12.

Impact of the Sarbanes-Oxley Act on Special Items

Number of pages: 28 Posted: 20 Sep 2016
Glenn Growe, Xiao Qiao and Tom Johansen
Fort Hays State University, City University of Hong Kong (CityU) and Oklahoma State University - Stillwater
Downloads 253 (232,122)

Abstract:

Loading...

Sarbanes-Oxley, special items, panel regression, difference-in-differences

13.

ESG and Derivatives

Financial Analysts Journal, 2024, 80(3): 5-16. DOI: 10.1080/0015198X.2024.2359902, Financial Analysts Journal, 2024, 80(3): 5-16. DOI: 10.1080/0015198X.2024.2359902
Number of pages: 26 Posted: 08 Feb 2024 Last Revised: 02 Aug 2024
Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst
SummerHaven Investment Management, City University of Hong Kong (CityU) and Yale School of Management - International Center for Finance
Downloads 217 (269,002)

Abstract:

Loading...

derivatives, futures, ESG, sustainable investing, hedging, governance

14.

The Flipside of Financial Innovation: Why Contracts Fail*

Number of pages: 66 Posted: 16 Mar 2024
Rajkumar Janardanan, Xiao Qiao and K. Geert Rouwenhorst
SummerHaven Investment Management, City University of Hong Kong (CityU) and Yale School of Management - International Center for Finance
Downloads 137 (400,524)

Abstract:

Loading...

Financial Innovation, Futures Markets, Hazard Models, Survival, Commodities, Competition, Risk Premium

15.

Mutual fund investing in the Chinese A-share market

Handbook of Banking and Finance in Emerging Markets, 32-50.DOI: 10.4337/9781800880900.00008.
Posted: 07 Dec 2023
Yeguang Chi and Xiao Qiao
University of Auckland, Business School, Department of Accounting and Finance and City University of Hong Kong (CityU)

Abstract:

Loading...

Emerging market, Chinese A-share market, mutual funds, performance evaluation, performance persistence, manager skill, passive investing, active investing, portfolio management, risk-return tradeoff

16.

Deep Learning Credit Risk Modeling

Forthcoming Journal of Fixed Income
Posted: 04 Aug 2020 Last Revised: 11 Jun 2021
Gerardo Manzo and Xiao Qiao
Independent and City University of Hong Kong (CityU)

Abstract:

Loading...

Deep Learning, Machine Learning, Credit Risk Modeling, Default Risk, Sovereign Risk, Neural Networks

17.

Machine Learning for Recession Prediction and Dynamic Asset Allocation

The Journal of Financial Data Science, Forthcoming
Posted: 28 Jan 2019 Last Revised: 26 Jun 2019
Alex James, Yaser Abu-Mostafa and Xiao Qiao
Paraconic Technologies US Inc., California Institute of Technology (Caltech) and City University of Hong Kong (CityU)

Abstract:

Loading...

Asset Allocation, Forecasting, Macroeconomics, Recessions, Machine Learning, Business Cycle, SVM

18.

Downside Volatility-Managed Portfolios

Journal of Portfolio Management, Forthcoming
Posted: 01 Sep 2018 Last Revised: 18 May 2020
Xiao Qiao, Sibo Yan and Binbin Deng
City University of Hong Kong (CityU), Independent and Wenzhou Medical University - Department of Neurology

Abstract:

Loading...

volatility, portfolio management, downside volatility, asymmetry, mean variance

19.

Correlated Idiosyncratic Volatility Shocks

29th Australasian Finance and Banking Conference 2016
Posted: 24 Aug 2016 Last Revised: 05 Aug 2021
Xiao Qiao and Yongning Wang
City University of Hong Kong (CityU) and University of Chicago - Booth School of Business

Abstract:

Loading...

volatility, GARCH, cross section, stock returns, idiosyncratic risk