Xiao Xiao

City University London - Bayes Business School

United Kingdom

  • City University London - Bayes Business School

SCHOLARLY PAPERS

10

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5,171

SSRN CITATIONS
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Top 23,629

in Total Papers Citations

41

CROSSREF CITATIONS

7

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  • City University London - Bayes Business School

Scholarly Papers (10)

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1.

Implied Volatility Changes and Corporate Bond Returns

Management Science accepted, Swiss Finance Institute Research Paper No. 19-75
Number of pages: 70 Posted: 18 Jun 2019 Last Revised: 03 Jun 2021
Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, University of Lausanne, City University London - Bayes Business School and Department of Finance, School of Management, Fudan University
Downloads 1,117 (33,998)
Citation 18

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Corporate bonds, implied volatility changes, default risk, information diffusion

2.

Common Factors in Equity Option Returns

Number of pages: 55 Posted: 07 Dec 2018 Last Revised: 30 Aug 2022
Alex R. Horenstein, Aurelio Vasquez and Xiao Xiao
University of Miami - School of Business Administration - Department of Economics, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and City University London - Bayes Business School
Downloads 891 (46,870)

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Cross-Section of Option Returns, PCA, Factor Model

3.

Why Does Volatility Uncertainty Predict Equity Option Returns?

Number of pages: 58 Posted: 25 May 2018 Last Revised: 28 Aug 2022
Jie Cao, Aurelio Vasquez, Xiao Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, City University London - Bayes Business School and Department of Finance, School of Management, Fudan University
Downloads 809 (53,373)
Citation 9

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Delta-hedged option returns, volatility uncertainty, volatility-of-volatility, model risk, gambling preference

4.

Moment Risk Premia and Stock Return Predictability

Number of pages: 54 Posted: 12 Feb 2018 Last Revised: 12 Aug 2020
Zhenzhen Fan, Xiao Xiao and Hao Zhou
University of Manitoba - Department of Accounting and Finance, City University London - Bayes Business School and Tsinghua University - PBC School of Finance
Downloads 706 (64,019)
Citation 8

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Moment risk premia; Variance risk premium; Option-implied moments; Stock return predictability; Predictive regression

5.

Default Risk and Option Returns

Number of pages: 76 Posted: 01 Oct 2015 Last Revised: 15 Feb 2022
Aurelio Vasquez and Xiao Xiao
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and City University London - Bayes Business School
Downloads 656 (70,463)

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Delta-Hedged Option Returns, Default Risk, Variance Risk Premium, Volatility, Capital Structure Model

6.

Equity Tail Risk and Currency Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69 Posted: 17 Jun 2019 Last Revised: 11 May 2021
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and City University London - Bayes Business School
Downloads 518 (94,429)
Citation 10

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Global tail risk; Option-implied equity tail risk; Currency returns; Carry trade; Currency momentum

7.

Signed Option Trading and Stock Market Anomalies

Number of pages: 58 Posted: 24 Oct 2022
Yufeng Han, Dayong Huang and Xiao Xiao
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and City University London - Bayes Business School
Downloads 250 (210,734)

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Stock mispricing, signed volume, option trading

8.

Us Equity Tail Risk and Currency Risk Premia

FRB International Finance Discussion Paper No. 1253
Number of pages: 51 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Zhenzhen Fan, Juan M. Londono and Xiao Xiao
University of Manitoba - Department of Accounting and Finance, Board of Governors of the Federal Reserve System and City University London - Bayes Business School
Downloads 128 (377,724)

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9.

Entropy-Based Implied Moments

De Nederlandsche Bank Working Paper No. 581
Number of pages: 54 Posted: 29 Dec 2017
Xiao Xiao and Chen Zhou
City University London - Bayes Business School and De Nederlandsche Bank
Downloads 96 (464,287)

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Option Pricing, Risk Neutral Distribution, Higher Order Moments

10.

The Decomposition of Jump Risks in Individual Stock Returns

Journal of Empirical Finance, Vol. 47, No. 207--228, 2018
Posted: 02 Feb 2017 Last Revised: 19 Dec 2018
Xiao Xiao and Chen Zhou
City University London - Bayes Business School and Erasmus University Rotterdam (EUR)

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jump-diffusion model, GARCH filtering, asset pricing

Other Papers (1)

Total Downloads: 55
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1.

Option Implied Risk Measures: A Maximum Entropy Approach

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 37 Posted: 22 Aug 2014
Xiao Xiao and Chen Zhou
City University London - Bayes Business School and De Nederlandsche Bank
Downloads 55

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volatility, skewness, kurtosis, nonparametric estimation, risk neutral distribution