Jinming Xue

Southern Methodist University (SMU) - Finance Department

Assistant Professor of Finance

United States

http://sites.google.com/view/jinming-xue

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 39,050

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Top 39,050

in Total Papers Downloads

2,321

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming, SMU Cox School of Business Research Paper No. 21-19
Number of pages: 46 Posted: 16 Dec 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 576 (85,781)
Citation 2

Abstract:

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VIX futures curve, stochastic orders, hedging instruments, contango

2.

Mutual Fund Flows and Investor Disappointment

SMU Cox School of Business Research Paper No. 23-06
Number of pages: 68 Posted: 28 Apr 2023 Last Revised: 26 Oct 2023
W.P. Carey School of Business, Purdue University - Mitchell E. Daniels, Jr. School of Business, University of Utah - David Eccles School of Business, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department
Downloads 431 (123,051)

Abstract:

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Fund flow, fund returns, investor extrapolation

3.

“Buy the Rumor, Sell the News”: Liquidity Provision by Bond Funds Following Corporate News Events

SMU Cox School of Business Research Paper No. 22-06, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 59 Posted: 14 Feb 2022 Last Revised: 11 Jan 2024
Alan Guoming Huang, Russ Wermers and Jinming Xue
University of Waterloo, University of Maryland - Robert H. Smith School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 365 (147,312)

Abstract:

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Fixed income mutual funds, Corporate bonds, Institutional trading, Public news, Textual analysis

4.

Oil and Equity Return Predictability: The Importance of Dissecting Oil Price Changes

Robert H. Smith School Research Paper No. RHS 2822061, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 79 Posted: 15 Aug 2016 Last Revised: 08 Nov 2018
Haibo Jiang, Georgios Skoulakis and Jinming Xue
ESG UQAMaffiliation not provided to SSRN, University of Piraeus - Department of Banking and Financial Management and Southern Methodist University (SMU) - Finance Department
Downloads 292 (187,032)
Citation 4

Abstract:

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Equity Return Predictability; Structural VAR Model; Oil Price Change Decomposition; Oil Supply Shock; Global Demand Shock; Oil-Speci

5.

Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 60 Posted: 23 Nov 2019 Last Revised: 28 Jan 2022
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 237 (230,607)

Abstract:

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recovery

6.

Measuring Liquidity Provision by Customers in Corporate Bond Markets: Evidence from 54 Million Transactions

Paris December 2019 Finance Meeting EUROFIDAI
Number of pages: 73 Posted: 29 Oct 2019 Last Revised: 26 Dec 2019
Jinming Xue
Southern Methodist University (SMU) - Finance Department
Downloads 216 (251,776)

Abstract:

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corporate bond; customer liquidity provision; structural vector autoregression; sign restrictions

7.

An Approach to Measure the Expectation of Generic Functions of the Market Return

Number of pages: 59 Posted: 11 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 111 (436,881)

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Expected market return; Disaster probabilities; Girsanov theorem; Equity index options

8.

'Buy the Rumor, Sell the News': Liquidity Provision by Bond Funds Following Corporate News Events

SMU Cox School of Business Research Paper No. 22-06, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 51 Posted: 22 Feb 2024
Alan Guoming Huang, Russ Wermers and Jinming Xue
University of Waterloo, University of Maryland - Robert H. Smith School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 52 (699,737)

Abstract:

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9.

Dealer Specialization and Market Segmentation

Number of pages: 74 Posted: 30 Nov 2023
Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Southern Methodist University (SMU) - Finance Department
Downloads 41 (745,404)

Abstract:

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Municipal bonds, Over-the-counter market, Segmentation, Clientele effects, Dealer network, Geographical specialization, Liquidity