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

25

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SSRN CITATIONS
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Top 745

in Total Papers Citations

243

CROSSREF CITATIONS

1,191

Scholarly Papers (25)

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 2,351 (9,088)
Citation 23

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

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 2,119 (10,577)

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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
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 204 (216,182)
Citation 83

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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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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 994 (33,428)
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 866 (41,154)
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 754 (49,507)
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.
Downloads 709 ( 53,762)
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 709 (53,036)
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

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 260 (171,232)
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 163 (263,216)

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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 162 (264,567)

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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 344 (128,544)
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 284 (157,099)
Citation 1

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10.
Downloads 276 (161,782)
Citation 6

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 276 (161,035)
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
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

11.

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 271 (164,867)
Citation 1

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

12.

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 261 (171,223)
Citation 1

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

13.

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 244 (182,816)

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

Idiosyncratic Equity Risk Two Decades Later

Number of pages: 21 Posted: 21 Apr 2022
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 168 (256,385)

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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: 29 Sep 2022
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 52 (547,222)

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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 177 (244,887)
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 166 (258,628)

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

17.

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 126 (321,554)

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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 123 (328,890)
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

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 119 (335,092)
Citation 1

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

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
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 65 (490,877)

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Idiosyncratic Risk and the Creative Destruction in Japan

EFA 2003 Annual Conference Paper No. 173
Posted: 24 Jul 2003
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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21.

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 55 (524,323)

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Dual predictors, expected return, idiosyncratic risk, predictability

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 53 (533,007)

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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 49 (551,263)

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24.

Idiosyncratic Risk and Creative Destruction in Japan

NYU Working Paper No. FIN-02-053
Number of pages: 52 Posted: 03 Nov 2008
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 49 (551,263)

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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 22 (717,155)

Abstract:

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