Xiao Xiao

University of Cambridge - Cambridge Judge Business School

Trumpington St.

Cambridge, CB21AG

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 16,193

SSRN RANKINGS

Top 16,193

in Total Papers Downloads

6,321

TOTAL CITATIONS
Rank 19,485

SSRN RANKINGS

Top 19,485

in Total Papers Citations

58

Ideas:
“  https://sites.google.com/site/shawnyxiaoxiao  ”

Scholarly Papers (10)

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, University of Cambridge - Cambridge Judge Business School and Department of Finance, School of Management, Fudan University
Downloads 1,334 (31,366)
Citation 22

Abstract:

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

2.

Common Factors in Equity Option Returns

Number of pages: 91 Posted: 07 Dec 2018 Last Revised: 10 Dec 2024
University of Miami - School of Business Administration - Department of Economics, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration and University of Cambridge - Cambridge Judge Business School
Downloads 1,257 (34,159)

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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
The Hong Kong Polytechnic University - School of Accounting and Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Cambridge - Cambridge Judge Business School and Department of Finance, School of Management, Fudan University
Downloads 907 (54,353)
Citation 17

Abstract:

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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
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, University of Cambridge - Cambridge Judge Business School and Tsinghua University - PBC School of Finance
Downloads 807 (63,776)
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 University of Cambridge - Cambridge Judge Business School
Downloads 769 (67,930)

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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
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, Board of Governors of the Federal Reserve System and University of Cambridge - Cambridge Judge Business School
Downloads 609 (91,705)
Citation 11

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

7.

Options Traders, Reversals, and Stock Returns

Number of pages: 51 Posted: 24 Oct 2022 Last Revised: 01 Jan 2025
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 University of Cambridge - Cambridge Judge Business School
Downloads 391 (156,471)

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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
Gordon S Lang School of Business and Economics, University of Guelph, Guelph, Canada - Department of Economics and Finance, Board of Governors of the Federal Reserve System and University of Cambridge - Cambridge Judge Business School
Downloads 145 (411,867)

Abstract:

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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
University of Cambridge - Cambridge Judge Business School and De Nederlandsche Bank
Downloads 102 (538,330)

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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
University of Cambridge - Cambridge Judge Business School and Erasmus University Rotterdam (EUR)

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jump-diffusion model, GARCH filtering, asset pricing

Other Papers (1)

Total Downloads: 69
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
University of Cambridge - Cambridge Judge Business School and De Nederlandsche Bank
Downloads 69

Abstract:

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