Lai Xu

Syracuse University

Assistant Professor

900 S. Crouse Avenue

Syracuse, NY 13244-2130

United States

  • Syracuse University

SCHOLARLY PAPERS

6

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2,079

SSRN CITATIONS
Rank 25,783

SSRN RANKINGS

Top 25,783

in Total Papers Citations

27

CROSSREF CITATIONS

15

Scholarly Papers (6)

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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
Hengjie Ai, Leyla Jianyu Han, Xuhui (Nick) Pan and Lai Xu
University of Wisconsin-Madison, Boston University - Questrom School of Business, University of Oklahoma and Syracuse University
Downloads 568 (83,749)
Citation 6

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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
Fang Qiao, Lai Xu, Xiaoyan Zhang and Hao Zhou
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 460 (108,445)
Citation 4

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

3.

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Downloads 424 (119,263)
Citation 7

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 04 Nov 2019
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 325 (159,186)

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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
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 99 (455,565)
Citation 10

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

4.

Information-Driven Volatility

Number of pages: 81 Posted: 14 Nov 2021 Last Revised: 18 Oct 2023
Hengjie Ai, Leyla Jianyu Han and Lai Xu
University of Wisconsin-Madison, Boston University - Questrom School of Business and Syracuse University
Downloads 346 (150,767)

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Information, Risk-return Trade-off, Return Volatility, FOMC Announcements, Generalized Risk Sensitivity

5.

A Market Maker of Two Markets: The Role of Options in ETF Arbitrage

Number of pages: 67 Posted: 13 Sep 2023 Last Revised: 24 Sep 2023
Rabih Moussawi, Lai Xu and Zhaoque (Chosen) Zhou
Villanova University - Department of Finance, Syracuse University and Washington University in St. Louis - John M. Olin Business School
Downloads 204 (255,472)

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ETFs, Options, Intraday Arbitrage, Market Makers, Liquidity, Multi-Leg Options, Complex Order Book (COB)

6.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 76 Posted: 30 Aug 2019 Last Revised: 24 Mar 2020
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 77 (528,188)

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