Yexiao Xu

University of Texas at Dallas - School of Management

Associate Professor

P.O. Box 830688

Richardson, TX 75083-0688

United States

http://www.utdallas.edu/~yexiaoxu

  • University of Texas at Dallas - School of Management

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    • Tel: 972-883-6703
SCHOLARLY PAPERS

25

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in Total Papers Citations

343

Scholarly Papers (25)

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1.

Idiosyncratic Risk and Security Returns

Number of pages: 57 Posted: 24 Jan 2001
Yexiao Xu and Burton G. Malkiel
University of Texas at Dallas - School of Management and Princeton University - Bendheim Center for Finance
Downloads 2,575 (11,527)
Citation 38

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APT, CAPM, Cross-sectional Regression, Imperfect Market Portfolio, Idiosyncratic Risk, Risk Premium

2.

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Downloads 2,539 (11,774)
Citation 193

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Number of pages: 59 Posted: 25 Feb 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 2,182 (14,720)
Citation 1

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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

NBER Working Paper No. w7590
Number of pages: 59 Posted: 11 Jul 2000 Last Revised: 29 Sep 2022
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 357 (175,232)
Citation 192

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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

Journal of Finance
Posted: 24 Aug 2000
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management

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3.

What Determines Chinese Stock Returns?

Downloads 1,097 (42,639)
Citation 15

What Determines Chinese Stock Returns?

Number of pages: 32 Posted: 25 Aug 2004
Fenghua Wang and Yexiao Xu
Shanghai Stock Exchange and University of Texas at Dallas - School of Management
Downloads 1,097 (41,970)
Citation 15

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Chinese stocks, corporate governance, cross-sectional regression, floating ratio, size, three-factor model

What Determines Chinese Stock Returns?

Posted: 25 Aug 2004
Fenghua Wang and Yexiao Xu
Shanghai Stock Exchange and University of Texas at Dallas - School of Management

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Chinese Stocks, Corporate Governance, Chinese stocks, corporate governance, cross-sectional regression, floating ratio, size, three-factor model

4.

The Persistence and Predictability of Closed-End Fund Discounts

Number of pages: 40 Posted: 21 Mar 2005
Burton G. Malkiel and Yexiao Xu
Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 944 (52,587)
Citation 6

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closed-end fund, cross-correlation, discount, excess volatility, investor sentiment, large stocks, persistence, small stocks, turnover

5.

Long-Run Idiosyncratic Volatilities and Cross-Sectional Stock Returns

Number of pages: 47 Posted: 15 Mar 2010
Xuying Cao and Yexiao Xu
University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - School of Management
Downloads 859 (59,838)
Citation 13

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APT model, Cross-sectional returns, Decomposition, Error-in-variables, Idiosyncratic risk, January effect, Long-run volatility, Short-run volatility

6.

Investigating the Behavior of Idiosyncratic Volatility

Downloads 763 (70,135)
Citation 52

Investigating the Behavior of Idiosyncratic Volatility

Number of pages: 48 Posted: 20 Sep 2001
Yexiao Xu and Burton G. Malkiel
University of Texas at Dallas - School of Management and Princeton University - Bendheim Center for Finance
Downloads 763 (69,039)
Citation 52

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Earning growth; Factor model; Idiosyncratic volatility; Institutional ownership

Investigating the Behavior of Idiosyncratic Volatility

Posted: 10 Oct 2001
Yexiao Xu and Burton G. Malkiel
University of Texas at Dallas - School of Management and Princeton University - Bendheim Center for Finance

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Earning growth, Factor model, Idiosyncratic volatility, Institutional ownership

7.

On the Persistence of Capital Structure - Reinterpreting What We Know

Downloads 659 (84,710)
Citation 3

On the Persistence of Capital Structure - Reinterpreting What We Know

Second Singapore International Conference on Finance 2008
Number of pages: 51 Posted: 21 Jan 2008
Nina Baranchuk and Yexiao Xu
University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - School of Management
Downloads 284 (224,165)
Citation 3

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Capital Structure, Fixed Effect, Leverage, Persistence, Out-of-sample

On the Persistence of Capital Structure - Reinterpreting What We Know

UBC Winter Finance Conference 2008 Paper
Number of pages: 38 Posted: 04 Mar 2008
Yexiao Xu and Nina Baranchuk
University of Texas at Dallas - School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 190 (332,795)

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Capital Structure, Fixed Effect, Leverage, Persistence

On the Persistence of Capital Structure - Reinterpreting What We Know

Number of pages: 50 Posted: 18 Mar 2008 Last Revised: 30 Mar 2009
Yexiao Xu and Nina Baranchuk
University of Texas at Dallas - School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 185 (341,129)

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Capital Structure, Fixed Effect, Leverage, Mixture Distribution, Persistence

8.

Dividend Distributions and Closed-End Fund Discounts

AFA 2008 New Orleans Meetings Paper
Number of pages: 36 Posted: 21 Mar 2007 Last Revised: 26 Jul 2010
Theodore E. Day, George Li and Yexiao Xu
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, New Jersey City University and University of Texas at Dallas - School of Management
Downloads 379 (165,991)
Citation 1

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Closed-End Funds, Discounts, Dividends,Tax Capitalization, Unrealized Capital Gains

9.

When Does Idiosyncratic Risk Really Matter?

Number of pages: 52 Posted: 28 Feb 2010 Last Revised: 21 Sep 2010
Tony Ruan, Qian Sun and Yexiao Xu
Xiamen University, Fudan University and University of Texas at Dallas - School of Management
Downloads 348 (181,845)
Citation 1

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10.

Idiosyncratic Equity Risk Two Decades Later

Downloads 333 (190,725)
Citation 6

Idiosyncratic Equity Risk Two Decades Later

Number of pages: 21 Posted: 21 Apr 2022
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 237 (269,250)
Citation 1

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Market Microstructure, Idiosyncratic Volatility, Industry Volatility, Market Volatility

Idiosyncratic Equity Risk Two Decades Later

NBER Working Paper No. w29916
Number of pages: 22 Posted: 11 Apr 2022 Last Revised: 30 Mar 2023
John Y. Campbell, Martin Lettau, Burton G. Malkiel and Yexiao Xu
Harvard University - Department of Economics, University of California - Haas School of Business, Princeton University - Bendheim Center for Finance and University of Texas at Dallas - School of Management
Downloads 96 (580,164)
Citation 5

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11.

Sell-Side Analyst Research and Stock Comovement

Downloads 324 (196,308)
Citation 4

Sell-Side Analyst Research and Stock Comovement

Number of pages: 53 Posted: 02 Sep 2009 Last Revised: 22 May 2014
Volkan Muslu, Michael J. Rebello and Yexiao Xu
C.T. Bauer College of Business University of Houston, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - School of Management
Downloads 324 (194,682)
Citation 4

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Analyst coverage, Return correlation, Comovement, Spillover

Sell-Side Analyst Research and Stock Comovement

Journal of Accounting Research, Vol. 52, No. 4, 2014
Posted: 05 Oct 2014
Volkan Muslu, Michael J. Rebello and Yexiao Xu
C.T. Bauer College of Business University of Houston, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - School of Management

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Analyst coverage, Return correlation, Comovement, Spillover

12.

Beta is Still Useful

Number of pages: 48 Posted: 15 Mar 2012
Yexiao Xu and Yihua Zhao
University of Texas at Dallas - School of Management and Tulane University - A.B. Freeman School of Business
Downloads 321 (198,270)

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Expected Return, Idiosyncratic Volatility, Misspricing, Time-varying Beta

13.

Beta Reversal and Expected Returns

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 59 Posted: 15 Mar 2014
Yexiao Xu and Yihua Zhao
University of Texas at Dallas - School of Management and Tulane University - A.B. Freeman School of Business
Downloads 316 (201,626)
Citation 1

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Beta Instability, Beta Reversal, Expected Return, and Idiosyncratic Volatility

14.

Understanding the Information Content of Short Interests

Number of pages: 45 Posted: 23 Jan 2009
Yexiao Xu, Harold H. Zhang and Xin Zhou
University of Texas at Dallas - School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 302 (211,719)
Citation 1

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Short interests, Binding ratio, Return predictability, Market efficiency, Earning announcement

15.

Idiosyncratic Risk Matters to Large Stocks!

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 48 Posted: 16 Jan 2016 Last Revised: 26 Jan 2016
Yangqiulu Luo, Guojun Wu and Yexiao Xu
University of Houston - C.T. Bauer College of Business, University of Houston and University of Texas at Dallas - School of Management
Downloads 208 (306,872)
Citation 1

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Expected Return, Institutional Concentration, Idiosyncratic Volatility, Large Stocks

16.

Unique Factors

AFA 2009 San Francisco Meetings Paper
Number of pages: 53 Posted: 20 Mar 2007 Last Revised: 24 Mar 2008
Yiyu Shen and Yexiao Xu
affiliation not provided to SSRN and University of Texas at Dallas - School of Management
Downloads 200 (318,306)

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Explanatory Power, Fama and French Factor, Heterogeneity, Idiosyncratic Volatility, Industry factor, Multifactor Model, Principal Component, Unique Factor

17.

Is Air-Quality a Risk Factor that Affects Stock Returns？

Number of pages: 53 Posted: 16 Jan 2018
Bo Liu and Yexiao Xu
Zhejiang University - School of Management and University of Texas at Dallas - School of Management
Downloads 169 (370,507)
Citation 1

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AQI, Air Quality Beta, CSR, Pollution Risk, Cross-Sectional Returns

18.

Capturing Return Comovement Using Partial Factors

Number of pages: 45 Posted: 17 Mar 2009 Last Revised: 25 Jul 2010
Yiyu Shen and Yexiao Xu
University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - School of Management
Downloads 154 (401,231)

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Common Factor, Explanatory Power, Heterogeneity, Idiosyncratic Risk, Industry Factor, Multifactor Model, Partial Factor

19.

Small Levels of Predictability and Large Economic Gains

Downloads 148 (414,510)
Citation 7

Small Levels of Predictability and Large Economic Gains

Number of pages: 41 Posted: 12 May 2003
Yexiao Xu
University of Texas at Dallas - School of Management
Downloads 148 (414,943)
Citation 7

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Small Levels of Predictability and Large Economic Gains

Posted: 25 May 2003
Yexiao Xu
University of Texas at Dallas - School of Management

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Conditional expectation, Economic significance, Predictability, Student-t distribution, Trading strategy

20.

A New Test for the Detection of the Pricing Role of Aggregate Idiosyncratic Risk in the Predictive Regression

Number of pages: 70 Posted: 05 Oct 2013
Tony Ruan, Qian Sun and Yexiao Xu
Xiamen University, Fudan University and University of Texas at Dallas - School of Management
Downloads 98 (566,763)

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Dual predictors, expected return, idiosyncratic risk, predictability

21.

Size Still Matters!

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 45 Posted: 25 Aug 2014
Wenyun Shi and Yexiao Xu
Shanghai Jiao Tong University and University of Texas at Dallas - School of Management
Downloads 95 (578,177)

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22.

Idiosyncratic Risk and the Creative Destruction in Japan

Downloads 87 (610,543)

Idiosyncratic Risk and the Creative Destruction in Japan

NBER Working Paper No. w9642
Number of pages: 54 Posted: 25 Apr 2003 Last Revised: 08 May 2022
Yasushi Hamao, Yasushi Hamao, Jianping Mei and Yexiao Xu
University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business, Cheung Kong Graduate School of Business and University of Texas at Dallas - School of Management
Downloads 87 (618,036)

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Idiosyncratic Risk and the Creative Destruction in Japan

EFA 2003 Annual Conference Paper No. 173
Posted: 24 Jul 2003
Yasushi Hamao, Yasushi Hamao, Jianping Mei and Yexiao Xu
University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business, Cheung Kong Graduate School of Business and University of Texas at Dallas - School of Management

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23.

Is Beta Still Useful over a Longer-Horizon?: An Implied Cost of Capital Approach

Number of pages: 35 Posted: 03 Aug 2016
Wenyun Shi and Yexiao Xu
Shanghai Jiao Tong University and University of Texas at Dallas - School of Management
Downloads 85 (619,193)

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Analyst Forecast Dispersion, Cross-Sectional Stock Returns, Expected Return, Implied Cost of Capital, Longer Horizon, Market Beta

24.

Idiosyncratic Risk and Creative Destruction in Japan

NYU Working Paper No. FIN-02-053
Number of pages: 52 Posted: 03 Nov 2008
Yasushi Hamao, Yasushi Hamao, Jianping Mei and Yexiao Xu
University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business, Cheung Kong Graduate School of Business and University of Texas at Dallas - School of Management
Downloads 63 (728,406)

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25.

Is Beta Still Useful Over a Longer-Horizon?

Number of pages: 46 Posted: 25 Aug 2014
Wenyun Shi and Yexiao Xu
Shanghai Jiao Tong University and University of Texas at Dallas - School of Management
Downloads 53 (791,543)

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analyst forecast dispersion, cross-sectional stock returns, expected return, implied cost of capital, longer horizon, market beta