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

5

DOWNLOADS
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SSRN RANKINGS

Top 39,177

in Total Papers Downloads

1,140

SSRN CITATIONS
Rank 38,612

SSRN RANKINGS

Top 38,612

in Total Papers Citations

12

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.
Downloads 720 ( 35,582)
Citation 5

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: 74 Posted: 14 Nov 2017 Last Revised: 11 Dec 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 706 (35,934)
Citation 3

Abstract:

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Risk aversion, Economic uncertainty, Dynamic asset pricing model, Asymmetric state variables, VIX, Variance risk premium.

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 (597,104)
Citation 4
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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 162 (189,856)
Citation 3

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

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 118 (243,312)
Citation 3

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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: 08 Dec 2019
Juan M. Londono and Nancy R. Xu
Government of the United States of America - Division of International Finance (IFDP) and Boston College, Carroll School of Management
Downloads 106 (262,539)

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

5.

Variance Risk Premium Components and International Stock Return Predictability

FRB International Finance Discussion Paper No. 1247
Number of pages: 75 Posted: 22 Oct 2019
Juan M. Londono and Nancy R. Xu
Government of the United States of America - Division of International Finance (IFDP) and Boston College, Carroll School of Management
Downloads 34 (462,874)

Abstract:

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