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

6

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Top 33,683

in Total Papers Downloads

1,529

SSRN CITATIONS
Rank 17,251

SSRN RANKINGS

Top 17,251

in Total Papers Citations

50

CROSSREF CITATIONS

8

Scholarly Papers (6)

1.
Downloads 892 ( 29,054)
Citation 8

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: 76 Posted: 14 Nov 2017 Last Revised: 28 Aug 2020
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Boston College, Carroll School of Management
Downloads 878 (29,238)
Citation 3

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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
Geert Bekaert, Eric Engstrom and Nancy R. Xu
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Boston College, Carroll School of Management
Downloads 14 (640,973)
Citation 7
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2.

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 187 (180,114)
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

3.

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 149 (218,811)
Citation 7

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

4.

Variance Risk Premium Components and International Stock Return Predictability

Number of pages: 60 Posted: 20 Apr 2019 Last Revised: 23 Mar 2020
Juan M. Londono and Nancy R. Xu
Board of Governors of the Federal Reserve System and Boston College, Carroll School of Management
Downloads 132 (240,998)

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

5.

Risk, Uncertainty and Monetary Policy in a Global World

Number of pages: 63 Posted: 15 May 2020 Last Revised: 18 May 2020
Geert Bekaert, Marie Hoerova and Nancy R. Xu
Columbia Business School - Finance and Economics, European Central Bank (ECB) and Boston College, Carroll School of Management
Downloads 122 (255,868)
Citation 31

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Risk, Uncertainty, Monetary policy, International spillovers, Global Financial Cycle, Stock returns, Bond returns, Exchange rates, Commodity prices

6.

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 47 (441,027)
Citation 1

Abstract:

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