Nancy R. Xu

Boston College, Carroll School of Management

Assistant Professor

Carroll School of Management

140 Commonwealth Avenue

Chestnut Hill, MA 02467-3808

United States

http://www.nancyxu.net

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 22,603

SSRN RANKINGS

Top 22,603

in Total Papers Downloads

3,158

SSRN CITATIONS
Rank 15,657

SSRN RANKINGS

Top 15,657

in Total Papers Citations

58

CROSSREF CITATIONS

13

Scholarly Papers (8)

1.
Downloads 1,402 ( 19,382)
Citation 17

The Time Variation in Risk Appetite and Uncertainty

Columbia Business School Research Paper No. 17-108, 31st Australasian Finance and Banking Conference 2018, American Finance Association Annual Meeting 2019
Number of pages: 47 Posted: 14 Nov 2017 Last Revised: 11 Feb 2021
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 1,354 (20,039)
Citation 5

Abstract:

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Risk aversion, Economic uncertainty, Dynamic asset pricing model, VIX, Variance risk premium, Sentiment, Covid crisis.

The Time Variation in Risk Appetite and Uncertainty

NBER Working Paper No. w25673
Number of pages: 78 Posted: 26 Mar 2019 Last Revised: 24 Jun 2022
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 48 (537,907)
Citation 10

Abstract:

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2.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 80 Posted: 15 May 2020 Last Revised: 19 Aug 2021
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 577 (66,297)
Citation 24

Abstract:

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Interest rate

The Global Determinants of International Equity Risk Premiums

Number of pages: 61 Posted: 20 Apr 2019 Last Revised: 15 Jul 2021
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 192 (216,878)
Citation 1

Abstract:

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Downside variance risk premium, Upside variance risk premium, International stock markets, Asymmetric state variables, Stock return predictability

The Global Determinants of International Equity Risk Premiums

International Finance Discussion Paper No. 1318
Number of pages: 67 Posted: 14 Jun 2021
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 105 (349,723)

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4.

Global Risk Aversion and International Return Comovements

Number of pages: 61 Posted: 23 May 2018 Last Revised: 11 Sep 2019
Nancy R. Xu
Boston College, Carroll School of Management
Downloads 273 (155,296)
Citation 11

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risk aversion, international return comovements, dynamic correlation models, asset pricing, dynamic factor model

5.

Procyclicality of the Comovement between Dividend Growth and Consumption Growth

Journal of Financial Economics (Forthcoming), 2017 American Economic Association Annual Meeting, 28th Australasian Finance and Banking Conference, 10th Annual SoFiE Conference
Number of pages: 43 Posted: 09 Sep 2015 Last Revised: 13 Jan 2020
Nancy R. Xu
Boston College, Carroll School of Management
Downloads 209 (200,933)
Citation 4

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procyclical amount of risk, amount of risk decomposition, dividend-consumption comovement, habit formation, equity premium, price of comovement risk, value premium

6.

Risk Aversion Spillover: Evidence from Financial Markets and Controlled Experiments

Number of pages: 73 Posted: 25 May 2021 Last Revised: 28 Jun 2022
Xing Huang and Nancy R. Xu
Washington University in St. Louis - Olin Business School and Boston College, Carroll School of Management
Downloads 199 (210,198)

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risk aversion, propagation, emotions, animal spirits, controlled experiment, VIX, variance risk premium, uncertainty, international comovement

7.

Main Street's Pain, Wall Street's Gain

Number of pages: 88 Posted: 27 Dec 2021
Nancy R. Xu and Yang You
Boston College, Carroll School of Management and The University of Hong Kong
Downloads 132 (295,140)

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return dynamics, macroeconomic news announcement, fiscal policy expectation, Covid-19, textual analysis, cross section

8.

Variance Risk Premium Components and International Stock Return Predictability

FRB International Finance Discussion Paper No. 1247
Number of pages: 75 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 69 (445,971)
Citation 2

Abstract:

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Variance risk premium, downside variance risk premium, international stock markets, asymmetric state variables, stock return predictability