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

SCHOLARLY PAPERS

24

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CITATIONS
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750

Scholarly Papers (24)

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

Number of pages: 59 Posted: 25 Feb 2000
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 1,987 (6,460)
Citation 482

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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: 17 Oct 2010
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 169 (164,721)
Citation 482

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

Journal of Finance
Posted: 24 Aug 2000
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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2.

Idiosyncratic Risk and Security Returns

AFA 2001 New Orleans Meetings
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 2,035 (6,341)
Citation 120

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

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 888 (23,245)
Citation 11

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

What Determines Chinese Stock Returns?

Financial Analysts Journal, Vol.60, No. 6, pp. 78-82, November/December
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 792 (27,857)
Citation 2

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

5.
Downloads 658 ( 35,878)
Citation 89

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 658 (35,356)
Citation 89

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Earning growth; Factor model; Idiosyncratic volatility; Institutional ownership

Investigating the Behavior of Idiosyncratic Volatility

Journal of Business, Forthcoming
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

6.

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 638 (37,317)
Citation 6

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

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 241 (117,441)
Citation 2

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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 159 (173,706)
Citation 2

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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 147 (185,684)
Citation 2

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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 322 (86,549)

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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 256 (110,787)
Citation 1

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10.

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 254 (111,736)
Citation 1

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

Sell-Side Analyst Research and Stock Comovement

Number of pages: 53 Posted: 02 Sep 2009 Last Revised: 22 May 2014
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 235 (120,491)

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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
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 226 (125,715)

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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 220 (129,072)

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

14.

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 152 (180,193)

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

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 149 (183,174)

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Expected Return, Institutional Concentration, Idiosyncratic Volatility, Large Stocks

16.

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 115 (224,380)

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

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 104 (242,398)
Citation 8

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Small Levels of Predictability and Large Economic Gains

Journal of Empirical Finance, Forthcoming
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

Idiosyncratic Risk and the Creative Destruction in Japan

NBER Working Paper No. w9642
Number of pages: 54 Posted: 25 Apr 2003
Yasushi Hamao, Jianping Mei and Yexiao Xu
Center on Japanese Economy and Business, New York University (NYU) - Department of Finance and University of Texas at Dallas - School of Management
Downloads 55 (353,033)
Citation 14

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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, Jianping Mei and Yexiao Xu
Center on Japanese Economy and Business, New York University (NYU) - Department of Finance and University of Texas at Dallas - School of Management

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19.

Is Air-Quality a Risk Factor that Affects Stock Returns´╝č

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 43 (386,343)

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

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 42 (389,866)

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Dual predictors, expected return, idiosyncratic risk, predictability

21.

Idiosyncratic Risk and Creative Destruction in Japan

NYU Working Paper No. FIN-02-053
Number of pages: 52 Posted: 03 Nov 2008
Yasushi Hamao, Jianping Mei and Yexiao Xu
Center on Japanese Economy and Business, New York University (NYU) - Department of Finance and University of Texas at Dallas - School of Management
Downloads 42 (389,866)
Citation 14

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22.

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 25 (461,840)

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

23.

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 20 (488,915)

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24.

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 7 (560,123)

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