Lai Xu

Syracuse University

Assistant Professor

900 S. Crouse Avenue

Syracuse, NY 13244-2130

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 47,055

SSRN RANKINGS

Top 47,055

in Total Papers Downloads

1,434

SSRN CITATIONS
Rank 35,584

SSRN RANKINGS

Top 35,584

in Total Papers Citations

7

CROSSREF CITATIONS

15

Scholarly Papers (5)

1.

The Cross Section of Monetary Policy Announcement Premium

Journal of Financial Economics (forthcoming)
Number of pages: 88 Posted: 01 Mar 2019 Last Revised: 21 Jan 2022
University of Wisconsin-Madison, Boston University - Questrom School of Business, University of Oklahoma and Syracuse University
Downloads 480 (85,753)
Citation 6

Abstract:

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FOMC Announcement, Implied Variance, Cross Section, Equity Returns

2.

Variance Risk Premiums in Emerging Markets

Number of pages: 93 Posted: 25 Jun 2018 Last Revised: 02 Aug 2021
University of International Business and Economics (UIBE) - School of Banking and Finance, Syracuse University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 374 (114,499)
Citation 4

Abstract:

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Variance risk premium, emerging markets, stock return predictability, currency return predictability, market integration, economic uncertainty

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 04 Nov 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 282 (153,947)

Abstract:

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Cross-section of stocks, out-of-the-money options, variance risk premium

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 04 Jun 2018 Last Revised: 28 Oct 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 69 (464,414)
Citation 10

Abstract:

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Cross-section of stocks, out-of-the-money options, variance risk premium

4.

Information-Driven Volatility

Number of pages: 68 Posted: 14 Nov 2021 Last Revised: 30 Sep 2022
University of Wisconsin-Madison, Boston University - Questrom School of Business and Syracuse University
Downloads 178 (239,576)

Abstract:

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Information, Return Volatility, Macroeconomic Announcements, Generalized Risk Sensitivity

5.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 76 Posted: 30 Aug 2019 Last Revised: 24 Mar 2020
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 51 (529,515)

Abstract:

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Quadratic payoff, quadratic loss, quadratic gain, quadratic risk premium, options