Yihong Xia

University of California, Los Angeles (Deceased)

N/A

SCHOLARLY PAPERS

14

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CITATIONS
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Top 1,765

in Total Papers Citations

317

Scholarly Papers (14)

1.

Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model

University of Pennsylvania Working Paper
Number of pages: 55 Posted: 17 Aug 2001
University of California, Los Angeles (UCLA) - Finance Area, Federal Reserve Board and University of California, Los Angeles (Deceased)
Downloads 1,704 (6,726)
Citation 12

Abstract:

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Intertemporal capital asset pricing model, Fama-French three factor model, stochastic investment opportunity set, time-varying Sharpe ratio, time-varying risk premia

2.
Downloads 1,441 ( 10,128)
Citation 80

Dynamic Asset Allocation Under Inflation

AFA 2002 Atlanta Meetings
Number of pages: 69 Posted: 13 Dec 2000
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 1,441 (9,929)
Citation 80

Abstract:

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Dynamic asset allocation, portfolio theory

Dynamic Asset Allocation Under Inflation

Journal of Finance, Vol. 57, pp. 1201-1238, 2002
Posted: 29 Nov 2003
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

Abstract:

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3.
Downloads 924 ( 20,234)
Citation 32

Assessing Asset Pricing Anomalies

AFA 2001 New Orleans
Number of pages: 66 Posted: 17 Oct 2000
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 924 (19,867)
Citation 32

Abstract:

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Assessing Asset Pricing Anomalies

Review of Financial Studies, Vol. 14, Iss. 4, Winter 2001
Posted: 19 Sep 2001
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

Abstract:

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4.

Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing

AFA 2003 Washington, DC Meetings; 5th Annual Texas Finance Festival
Number of pages: 62 Posted: 13 Oct 2002
University of California, Los Angeles (UCLA) - Finance Area, Federal Reserve Board and University of California, Los Angeles (Deceased)
Downloads 609 (33,202)
Citation 88

Abstract:

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5.

Risk and Valuation Under an Intertemporal Capital Asset Pricing Model

Rodney L. White Center for Financial Research Working Paper No. 09-03
Number of pages: 46 Posted: 21 Jul 2003
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 445 (51,067)
Citation 13

Abstract:

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6.

Option Pricing Kernels and the Icapm

EFA 2006 Zurich Meetings
Number of pages: 28 Posted: 19 Jul 2006
Essex Business School, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 351 (67,721)
Citation 5

Abstract:

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pricing kernel, state variables, intertemporal CAPM

7.

International Capital Markets and Foreign Exchange Risk

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 30 Dec 2004
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)
Downloads 317 (75,506)
Citation 28

Abstract:

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8.

Extracting Inflation from Stock Returns to Test Purchasing Power Parity

Number of pages: 48 Posted: 31 Jul 2003
Yihong Xia, Bhagwan Chowdhry and Richard Roll
University of California, Los Angeles (Deceased), University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 309 (78,986)
Citation 3

Abstract:

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purchasing power parity, foreign exchange rate volatility

9.

Illiquidity and Closed-End Country Fund Discounts

AFA 2005 Philadelphia Meetings, Rodney L. White Center for Financial Research Working Paper No. 14-04
Number of pages: 46 Posted: 08 Jul 2004
Ravi Jain, Yihong Xia and Matthew Qianli Wu
National University of Singapore, University of California, Los Angeles (Deceased) and Rydex Global Advisors
Downloads 285 (85,778)
Citation 2

Abstract:

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Stochastic Interest Rates and the Bond-Stock Mix

Number of pages: 14 Posted: 02 Jun 2001
Yihong Xia and Michael J. Brennan
University of California, Los Angeles (Deceased) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 284 (91,042)
Citation 44

Abstract:

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dynamic portfolio policy, hedging, asset allocation puzzle

Stochastic Interest Rates and the Bond-Stock Mix

European Finance Review, Vol. 4, No. 2
Posted: 11 Sep 2001
Michael J. Brennan and Yihong Xia
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

Abstract:

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Dynamic portfolio policy, hedging, asset allocation puzzle

11.

Market Segmentation, Liquidity Spillover, and Closed-End Country Fund Discounts

Number of pages: 35 Posted: 23 Nov 2005
Justin S. P. Chan, Ravi Jain and Yihong Xia
Singapore Management University - Lee Kong Chian School of Business, National University of Singapore and University of California, Los Angeles (Deceased)
Downloads 187 (132,538)
Citation 7

Abstract:

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Closed-end funds, Fund premium, Liquidity, Asset pricing

12.

Long Term Bond Markets and Investor Welfare

University of Pennsylvania Finance Working Paper
Number of pages: 45 Posted: 24 May 2001
Yihong Xia
University of California, Los Angeles (Deceased)
Downloads 169 (138,359)
Citation 3

Abstract:

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Long term nominal bonds, long horizon investor portfolio choice, certainty equivalent wealth

13.

Assessing Asset Pricing Anomalies

Review of Financial Studies, Vol. 14, Issue 4, pp. 905-942, 2001
Posted: 29 Feb 2008
l J. Brennan and Yihong Xia
affiliation not provided to SSRN and University of California, Los Angeles (Deceased)

Abstract:

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14.

International Capital Markets and Foreign Exchange Risk

The Review of Financial Studies, Vol. 19, Issue 3, pp. 753-795, 2006
Posted: 29 Feb 2008
Yihong Xia
University of California, Los Angeles (Deceased)

Abstract:

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