Jinming Xue

Southern Methodist University (SMU) - Finance Department

Assistant Professor of Finance

United States

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

  • Southern Methodist University (SMU) - Finance Department

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    • Tel: (214)-768-4181
SCHOLARLY PAPERS

10

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Top 31,702

in Total Papers Downloads

3,390

TOTAL CITATIONS

7

Scholarly Papers (10)

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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
Gurdip Bakshi, John Crosby, Xiaohui Gao and Jinming Xue
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 663 (83,668)
Citation 2

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VIX futures curve, stochastic orders, hedging instruments, contango

2.

Mutual Fund Flows at Long Horizons

SMU Cox School of Business Research Paper No. 23-06
Number of pages: 75 Posted: 28 Apr 2023 Last Revised: 25 Oct 2024
Hendrik Bessembinder, Shuaiyu Chen, Michael J. Cooper, Jinming Xue and Feng Zhang
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 647 (86,496)

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Fund flow, Fund Return, Disappointment

3.

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

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023, SMU Cox School of Business Research Paper No. 22-06
Number of pages: 59 Posted: 14 Feb 2022 Last Revised: 07 Mar 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 545 (107,310)

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4.

Bond Valuation Dispersion and ETF Creation

SMU Cox School of Business Research Paper No. 24-17
Number of pages: 47 Posted: 16 Dec 2024 Last Revised: 26 Feb 2025
Alan Guoming Huang, Russ Wermers, Jinming Xue and Xing (Alex) Zhou
University of Waterloo, University of Maryland - Robert H. Smith School of Business, Southern Methodist University (SMU) - Finance Department and Southern Methodist University (SMU) - Finance Department
Downloads 320 (200,136)

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corporate bond, creation basket, authorized participant, liquidity, valuation dispersion, ETF

5.

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: 03 Mar 2024
Haibo Jiang, Georgios Skoulakis and Jinming Xue
ESG UQAM, University of Piraeus - Department of Banking and Financial Management and Southern Methodist University (SMU) - Finance Department
Downloads 320 (198,172)
Citation 4

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

6.

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
Gurdip Bakshi, Xiaohui Gao and Jinming Xue
Temple University-Fox School of Business, Temple University-Fox School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 302 (210,904)

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recovery

7.

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 237 (270,746)

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

8.

Dealer Specialization and Market Segmentation

Number of pages: 74 Posted: 30 Nov 2023
Chotibhak Jotikasthira, Christian T. Lundblad and Jinming Xue
Southern Methodist University (SMU) - Finance Department, University of North Carolina Kenan-Flagler Business School and Southern Methodist University (SMU) - Finance Department
Downloads 175 (357,786)

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JEL classification: G12, G14, G24 Municipal bonds, Over-the-counter market, Segmentation, Clientele effects, Dealer network, Geographical specialization, Liquidity

9.

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

Number of pages: 59 Posted: 11 Sep 2017
Gurdip Bakshi, Xiaohui Gao and Jinming Xue
Temple University-Fox School of Business, Temple University-Fox School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 120 (486,977)

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

10.

The Options-Inferred Equity Premium and the Slippery Slope of The Negative Correlation Condition

Journal Of Investment Management, 2024 3Q (forthcoming), SMU Cox School of Business Research Paper No. 24-16
Number of pages: 35 Posted: 16 Dec 2024
Gurdip Bakshi, John Crosby, Xiaohui Gao, Jinming Xue and Wei Zhou
Temple University-Fox School of Business, University of Maryland - Robert H. Smith School of Business, Temple University-Fox School of Business, Southern Methodist University (SMU) - Finance Department and Tulane University
Downloads 61 (761,182)
Citation 1

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Hypothesis and generality of the negative correlation condition, dark matter property, conditional equity premium, options on S&P 500 equity index and STOXX 50 equity index