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

11

DOWNLOADS
Rank 18,152

SSRN RANKINGS

Top 18,152

in Total Papers Downloads

5,212

SSRN CITATIONS
Rank 7,105

SSRN RANKINGS

Top 7,105

in Total Papers Citations

235

CROSSREF CITATIONS

11

Scholarly Papers (11)

1.
Downloads 1,887 (16,748)
Citation 100

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 1,804 (17,680)
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 Feb 2023
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 83 (556,499)
Citation 10

Abstract:

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2.

Risk, Monetary Policy and Asset Prices in a Global World

Number of pages: 61 Posted: 15 May 2020 Last Revised: 11 Apr 2024
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 1,107 (37,256)
Citation 23

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

3.

Main Street's Pain, Wall Street's Gain

Number of pages: 79 Posted: 27 Dec 2021 Last Revised: 26 Jan 2024
Nancy R. Xu and Yang You
Boston College, Carroll School of Management and The University of Hong Kong
Downloads 507 (104,643)

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

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 443 (122,882)
Citation 11

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

The Global Determinants of International Equity Risk Premiums

Number of pages: 61 Posted: 20 Apr 2019 Last Revised: 17 Feb 2023
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 253 (223,527)
Citation 2

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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 171 (322,555)
Citation 2

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6.

Risk Aversion Spillover: Evidence from Financial Markets and Controlled Experiments

Number of pages: 75 Posted: 25 May 2021 Last Revised: 04 Jan 2023
Xing Huang and Nancy R. Xu
Washington University in St. Louis - Olin Business School and Boston College, Carroll School of Management
Downloads 350 (160,410)
Citation 1

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

7.

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 239 (237,562)
Citation 4

Abstract:

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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

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 106 (469,752)
Citation 4

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

9.

Risk, Monetary Policy and Asset Prices in a Global World

ECB Working Paper No. 2023/2879
Number of pages: 65 Posted: 28 Nov 2023
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia University - Columbia Business School, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 87 (534,700)
Citation 2

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central bank communications, global financial cycle, interest rate, international spillovers, monetary policy, risk, stock returns, trilemma

10.

Local Monetary Policy

Number of pages: 49 Posted: 29 Mar 2024 Last Revised: 03 Apr 2024
Boston College - Department of Finance, Boston College - Carroll School of Management and Boston College, Carroll School of Management
Downloads 50 (713,894)

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Federal Reserve System, monetary policy, local economic conditions, voting rights, discount window loans

11.

Forecasting International Stock Market Variances

Number of pages: 75 Posted: 17 May 2024
Geert Bekaert, Nancy R. Xu and Tiange Ye
Columbia University - Columbia Business School, Finance, Boston College, Carroll School of Management and University of Southern California - Marshall School of Business
Downloads 12 (1,035,343)

Abstract:

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Realized variance, implied volatility, international stock market, volatility forecasting