Jing Xu

Renmin University of China - School of Finance

Assistant Professor

59 Zhongguancun Street

Beijing, 100872

China

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 35,757

SSRN RANKINGS

Top 35,757

in Total Papers Downloads

1,313

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (10)

1.

How Does Illiquidity Affect Delegated Portfolio Choice?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, WFA 2010 Victoria Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 85 Posted: 16 Feb 2009 Last Revised: 12 Oct 2018
National University of Singapore (NUS) - Department of Mathematics, University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 524 (55,289)
Citation 1

Abstract:

Loading...

Mutual Funds, Risk Shifting, Portfolio Delegation, Stock Illiquidity

2.

The Invisible Hand of Internal Markets in Mutual Fund Families

Journal of Banking and Finance, Vol. 89, 2018
Number of pages: 65 Posted: 10 Mar 2010 Last Revised: 05 Mar 2018
University of New South Wales (UNSW), Universidad de los Andes, Chile and Renmin University of China - School of Finance
Downloads 362 (86,207)
Citation 2

Abstract:

Loading...

Mutual Fund Families, Cross-Trading, Benchmarking, Stock Illiquidity

3.

How Does Stock Illiquidity Affect the Informational Role of Option Prices?

29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 67 Posted: 09 Aug 2016 Last Revised: 04 May 2018
Luis Goncalves-Pinto and Jing Xu
University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 154 (201,063)
Citation 1

Abstract:

Loading...

Put-Call Parity, Stock Return Predictability, Option Replication, Short-Selling

4.

Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes

Management Science, Accepted
Number of pages: 56 Posted: 23 Oct 2017 Last Revised: 10 Mar 2019
Yaoting Lei, Ya LI and Jing Xu
Nanchang University - School of Economics and Management, The Open University of Hong Kong and Renmin University of China - School of Finance
Downloads 72 (340,058)

Abstract:

Loading...

Portfolio Choice, Return Predictability, Capital Gains Tax

5.

Convex Incentives and Liquidity Premia

Number of pages: 76 Posted: 21 Dec 2018 Last Revised: 24 Mar 2020
National University of Singapore (NUS) - Department of Mathematics, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 58 (380,358)
Citation 1

Abstract:

Loading...

Mutual Funds, Convex Flows, Bonuses, Transaction Costs, Liquidity Premia

6.

Incomplete Information and the Liquidity Premium Puzzle

Number of pages: 63 Posted: 14 Dec 2018 Last Revised: 24 Mar 2020
South China University of Technology, National University of Singapore (NUS) - Department of Mathematics, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 44 (429,181)

Abstract:

Loading...

Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

7.

Optimal Arbitrage under Limits to Arbitrage: The Case of Convergence Trade

Number of pages: 50 Posted: 19 Nov 2019 Last Revised: 28 Nov 2019
Jing Xu
Renmin University of China - School of Finance
Downloads 38 (453,524)

Abstract:

Loading...

Pairs trading, Funding cost, Short-selling cost, Risky arbitrage

8.

Optimal Tax-Timing with Inflation Risk and Indexed Capital Gains

Number of pages: 63 Posted: 18 Nov 2019 Last Revised: 25 Mar 2020
Yaoting Lei and Jing Xu
Nanchang University - School of Economics and Management and Renmin University of China - School of Finance
Downloads 32 (480,241)

Abstract:

Loading...

Portfolio choice, Inflation risk, Capital gains tax, Capital gains indexation

9.

Trading, Fast and Slow: Optimal Liquidation and Acquisition with Price Impact

Number of pages: 46 Posted: 18 Aug 2018 Last Revised: 21 Nov 2019
Hong Liu and Jing Xu
Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 23 (528,985)

Abstract:

Loading...

Liquidation, Acquisition, Price Impact, Trade Execution, Portfolio Choice

10.

An Empirical Analysis of Factor Seasonalities

2017 Southern Finance Association Annual Meeting
Number of pages: 42 Posted: 31 Jan 2017 Last Revised: 17 Dec 2019
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Open University of Hong Kong, Hong Kong Baptist University and Renmin University of China - School of Finance
Downloads 6 (638,586)

Abstract:

Loading...

Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect