Jing Xu

Renmin University of China - School of Finance

Assistant Professor

59 Zhongguancun Street

Beijing, 100872

China

SCHOLARLY PAPERS

17

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2,675

SSRN CITATIONS
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SSRN RANKINGS

Top 47,635

in Total Papers Citations

16

CROSSREF CITATIONS

2

Scholarly Papers (17)

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
The Hong Kong Polytechnic University, University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 638 (78,710)
Citation 1

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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 425 (129,300)
Citation 4

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

3.

Incomplete Information and the Liquidity Premium Puzzle

Management Science, forthcoming
Number of pages: 63 Posted: 14 Dec 2018 Last Revised: 27 May 2020
South China University of Technology, The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 257 (221,677)
Citation 4

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

4.

Predictable Stock Returns, Transaction Costs, and the (Un)Informativeness of Option Prices

29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 68 Posted: 09 Aug 2016 Last Revised: 06 Feb 2021
Luis Goncalves-Pinto and Jing Xu
University of New South Wales (UNSW) and Renmin University of China - School of Finance
Downloads 239 (238,057)
Citation 1

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Put-Call Parity, Predictable Stock Returns, Trading Costs, Informed Trading

5.

Convex Incentives and Liquidity Premia

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 57 Posted: 21 Dec 2018 Last Revised: 26 Oct 2022
The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 219 (258,730)

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Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia

6.

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, Hong Kong Metropolitan University and Renmin University of China - School of Finance
Downloads 141 (379,510)

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Portfolio Choice, Return Predictability, Capital Gains Tax

7.

Picking a Thorny Rose: Optimal Trading with Spread-Based Return Predictability

European Financial Management
Number of pages: 63 Posted: 25 Jul 2022 Last Revised: 22 Dec 2023
LinJun Feng, Ya Li and Jing Xu
Renmin University of China - School of Finance, Hong Kong Metropolitan University and Renmin University of China - School of Finance
Downloads 129 (406,862)

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portfolio choice, transaction cost, bid-ask spread, liquidity premium

8.

A Rational Theory for Disposition Effects

Review of Economic Dynamics, Forthcoming
Number of pages: 59 Posted: 08 Nov 2021 Last Revised: 09 May 2022
Min Dai, Yipeng Jiang, Hong Liu and Jing Xu
The Hong Kong Polytechnic University, National University of Singapore (NUS), Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 126 (414,110)
Citation 2

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disposition effect, portfolio rebalancing, learning, transaction costs

9.

Pairs Trading with Costly Short-Selling

Number of pages: 63 Posted: 16 Jun 2023 Last Revised: 26 Feb 2024
Jing Xu and Peiquan Yang
Renmin University of China - School of Finance and Renmin University of China - School of Finance
Downloads 112 (452,230)

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portfolio choice, pairs trading, risky arbitrage, short selling cost

10.

Optimal Trading with Speed-Dependent Transaction Cost Rates: A Nonparametric Model

Number of pages: 42 Posted: 18 Aug 2018 Last Revised: 25 Mar 2024
Hong Liu, Shuaijie Qian and Jing Xu
Washington University in St. Louis - Olin Business School, Department of Mathematics, HKUST and Renmin University of China - School of Finance
Downloads 109 (461,357)

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Portfolio Choice, Transaction Cost, Liquidation, Acquisition

Life-time Portfolio and Consumption Choice with Defined Contribution Plans

Number of pages: 58 Posted: 31 May 2023 Last Revised: 18 Jan 2024
The Hong Kong Polytechnic University, Department of Mathematics, HKUST, The Chinese University of Hong Kong (CUHK) and Renmin University of China - School of Finance
Downloads 64 (647,671)

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Defined contribution plans, Capital gains tax, Portfolio and consumption choice, Indifference valuation, Singular stochastic control

12.

An Empirical Analysis of Factor Seasonalities

2017 Southern Finance Association Annual Meeting
Number of pages: 42 Posted: 31 Jan 2017 Last Revised: 30 Mar 2023
Hong Kong Metropolitan University, Independent Researcher, Hong Kong Baptist University and Renmin University of China - School of Finance
Downloads 69 (612,239)
Citation 1

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

13.

A Status-Demand Theory for Consumption Humps

Number of pages: 65 Posted: 11 May 2022 Last Revised: 23 May 2023
Yue Liu, Jing Xu and Peiquan Yang
Renmin University of China - School of Finance, Renmin University of China - School of Finance and Renmin University of China - School of Finance
Downloads 64 (636,742)

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Consumption; Social Status; Relative Status Concern; Nash Equilibrium

14.

Inflation and Tax Timing

Number of pages: 60 Posted: 10 May 2023
Yaoting Lei, Hong Liu and Jing Xu
Nanchang University - School of Economics and Management, Washington University in St. Louis - Olin Business School and Renmin University of China - School of Finance
Downloads 61 (652,207)

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portfolio choice, inflation risk, capital gains tax, capital gains indexation

15.

Competition and Equilibrium Effort Choice

Journal of Economic Dynamics and Control, Vol. 137, 2022
Number of pages: 66 Posted: 11 May 2022
Jing Xu
Renmin University of China - School of Finance
Downloads 13 (1,028,630)
Citation 3

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costly effort, competition, relative status concern, Nash equilibrium

16.

Continuous Exercise of Executive Stock Options with Heterogeneous Characteristics

Number of pages: 37 Posted: 04 Apr 2024
Jing Xu and Peiquan Yang
Renmin University of China - School of Finance and Renmin University of China - School of Finance
Downloads 7 (1,085,905)

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executive stock option, free boundary, singular stochastic control, variational inequality

17.

Managing Model Uncertainty and Investment Under Relative Performance Concerns

Number of pages: 43 Posted: 14 May 2024
Yanjie Wang and Jing Xu
Southwestern University of Finance and Economics and Renmin University of China - School of Finance
Downloads 2 (1,125,753)

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portfolio choice; relative performance concern; ambiguity; information acquisition; investor welfare