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

4

DOWNLOADS
Rank 47,131

SSRN RANKINGS

Top 47,131

in Total Papers Downloads

835

CITATIONS

0

Scholarly Papers (4)

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: 86 Posted: 14 Nov 2017 Last Revised: 14 May 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 557 (46,524)

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 12 (578,449)
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2.

Procyclicality of the Comovement between Dividend Growth and Consumption Growth

28th Australasian Finance and Banking Conference, 2017 American Economic Association Annual Meeting, 10th Annual SoFiE Conference
Number of pages: 62 Posted: 09 Sep 2015 Last Revised: 26 Jan 2018
Nancy R. Xu
Boston College, Carroll School of Management
Downloads 142 (199,823)

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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: 76 Posted: 23 May 2018 Last Revised: 11 Apr 2019
Nancy R. Xu
Boston College, Carroll School of Management
Downloads 75 (309,800)

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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: 74 Posted: 20 Apr 2019
Juan M. Londono and Nancy R. Xu
Federal Reserve Board of Governors and Boston College, Carroll School of Management
Downloads 49 (382,812)

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