Yuhang Xing

Rice University

6100 South Main Street

Houston, TX 7705-1892

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 733

SSRN RANKINGS

Top 733

in Total Papers Downloads

24,611

CITATIONS
Rank 235

SSRN RANKINGS

Top 235

in Total Papers Citations

1,526

Scholarly Papers (24)

1.
Downloads 4,030 ( 1,509)
Citation 442

The Cross-Section of Volatility and Expected Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 05 Apr 2005
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 2,468 (3,533)
Citation 442

Abstract:

Systematic risk, stochastic volatility, idiosyncratic volatility

The Cross-Section of Volatility and Expected Returns

NBER Working Paper No. w10852
Number of pages: 57 Posted: 27 Oct 2004
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 1,562 (7,798)
Citation 442

Abstract:

2.

What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?

AFA 2009 San Francisco Meetings Paper
Number of pages: 38 Posted: 26 Mar 2008 Last Revised: 15 Aug 2008
Xiaoyan Zhang, Rui Zhao and Yuhang Xing
Purdue University - Krannert School of Management, BlackRock, Inc. and Rice University
Downloads 3,367 (1,540)
Citation 63

Abstract:

stock return predictability, option-implied volatility smirks, cross-sectional asset pricing

3.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 2,738 (2,773)
Citation 14

Abstract:

asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect

4.
Downloads 1,802 ( 6,214)
Citation 297

Default Risk in Equity Returns

Number of pages: 59 Posted: 21 Jan 2002
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University
Downloads 1,802 (6,081)
Citation 297

Abstract:

default risk, equities, Merton's (1974) model, size and book-to-market effects

Default Risk in Equity Returns

Journal of Finance, Forthcoming
Posted: 20 Jul 2003
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University

Abstract:

default risk, equities, Merton's (1974) model, size and book-to-market effects

5.
Downloads 1,730 ( 6,696)
Citation 105

Downside Risk

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 30 Dec 2004
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 1,266 (11,001)
Citation 105

Abstract:

asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments

Downside Risk

NBER Working Paper No. w11824
Number of pages: 53 Posted: 20 Feb 2006
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University
Downloads 464 (46,474)
Citation 105

Abstract:

Downside Risk

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1191-1239, 2006
Posted: 29 Feb 2008
Joseph Chen, Andrew Ang and Yuhang Xing
University of California, Davis - Graduate School of Management, BlackRock, Inc and Rice University

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

NBER Working Paper No. w13739
Number of pages: 52 Posted: 24 Jan 2008
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 666 (28,839)
Citation 149

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008
Number of pages: 52 Posted: 21 Oct 2011
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 577 (34,991)
Citation 149

Abstract:

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Number of pages: 52 Posted: 19 Mar 2008
Purdue University - Krannert School of Management, BlackRock, Inc, Columbia Business School - Finance and Economics and Rice University
Downloads 423 (52,166)
Citation 149

Abstract:

idiosyncratic volatility, Fama-MacBeth regression

7.

Value Versus Growth: Movements in Economic Fundamentals

Simon School Working Paper No. FR 05-10, AFA 2006 Boston Meetings Paper
Number of pages: 35 Posted: 13 Nov 2005
Yuhang Xing and Lu Zhang
Rice University and Ohio State University - Fisher College of Business
Downloads 1,119 (13,223)
Citation 5

Abstract:

Value, growth, economic fundamentals, business cycles, VAR

8.
Downloads 898 ( 19,101)
Citation 10

An Investment-Growth Asset Pricing Model

AFA 2002 Atlanta Meetings
Number of pages: 58 Posted: 21 Jul 2001
Qing Li, Maria Vassalou and Yuhang Xing
Columbia University - Columbia Business School, Centre for Economic Policy Research (CEPR) and Rice University
Downloads 870 (19,630)
Citation 10

Abstract:

Asset pricing, Investment growth

An Investment-Growth Asset Pricing Model

CEPR Discussion Paper No. 3058
Number of pages: 61 Posted: 11 Dec 2001
Qing Li, Maria Vassalou and Yuhang Xing
Columbia University - Columbia Business School, Centre for Economic Policy Research (CEPR) and Rice University
Downloads 28 (397,093)
Citation 10

Abstract:

GMM

Value Versus Growth: Time-Varying Expected Stock Returns

Ross School of Business Paper No. 1115
Number of pages: 44 Posted: 23 Sep 2008 Last Revised: 16 Sep 2009
Huseyin Gulen, Yuhang Xing and Lu Zhang
Purdue University - Krannert School of Management, Rice University and Ohio State University - Fisher College of Business
Downloads 645 (30,109)
Citation 13

Abstract:

Value stocks, growth stocks, regime switching, time-varying expected returns, real flexibility

Value Versus Growth: Time-Varying Expected Stock Returns

NBER Working Paper No. w15993
Number of pages: 36 Posted: 17 May 2010
Huseyin Gulen, Yuhang Xing and Lu Zhang
Purdue University - Krannert School of Management, Rice University and Ohio State University - Fisher College of Business
Downloads 38 (356,219)
Citation 13

Abstract:

10.

Equity Returns Following Changes in Default Risk: New Insights into the Informational Content of Credit Ratings

EFA 2003 Annual Conference Paper No. 326
Number of pages: 50 Posted: 22 Jul 2003
Maria Vassalou and Yuhang Xing
Centre for Economic Policy Research (CEPR) and Rice University
Downloads 660 (27,752)
Citation 86

Abstract:

default risk, Merton's (1974) model, abnormal equity returns, credit rating downgrades/upgrades, size, book-to-market

11.

Anticipating Uncertainty: Straddles Around Earnings Announcements

Number of pages: 41 Posted: 21 Jan 2013
Yuhang Xing and Xiaoyan Zhang
Rice University and Purdue University - Krannert School of Management
Downloads 573 (27,595)

Abstract:

option returns, straddle, earnings announcement, transaction costs

12.
Downloads 522 ( 40,478)
Citation 35

Uncovered Interest Rate Parity and the Term Structure

Columbia Business School Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 57 Posted: 06 Feb 2002
Geert Bekaert, Min Wei and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads 477 (44,843)
Citation 35

Abstract:

Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test

Uncovered Interest Rate Parity and the Term Structure

NBER Working Paper No. w8795
Number of pages: 57 Posted: 21 Feb 2002
Geert Bekaert, Min Wei and Yuhang Xing
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University
Downloads 45 (332,747)
Citation 35

Abstract:

13.
Downloads 508 ( 41,906)
Citation 53

Risk, Uncertainty and Asset Prices

Journal of Financial Economics (JFE), Forthcoming, Finance and Economics Discussion Series 2005-40
Number of pages: 56 Posted: 08 Aug 2005
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 442 (49,390)
Citation 53

Abstract:

Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity

Risk, Uncertainty and Asset Prices

CEPR Discussion Paper No. 5947
Number of pages: 57 Posted: 03 Jan 2007
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 35 (367,434)
Citation 53

Abstract:

Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure

Risk, Uncertainty and Asset Prices

NBER Working Paper No. w12248
Number of pages: 55 Posted: 25 May 2006
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University
Downloads 31 (383,466)
Citation 53

Abstract:

Risk, Uncertainty, and Asset Prices

Journal of Financial Economics, Vol. 91, No. 1, 59-82, 2009
Posted: 21 Oct 2011
Geert Bekaert, Eric Engstrom and Yuhang Xing
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Rice University

Abstract:

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

Number of pages: 37 Posted: 05 Oct 2006
Chris Downing, Shane Underwood and Yuhang Xing
BlackRock, Baylor University and Rice University
Downloads 464 (46,474)
Citation 15

Abstract:

Stock-bond relationship, Lead-lag relationship, Firm-specific information, Market efficiency

The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 06 Feb 2008
Chris Downing, Shane Underwood and Yuhang Xing
BlackRock, Baylor University and Rice University

Abstract:

Stock-bond relationship, Lead-lag relationship, Firm-specific information, Market efficiency

15.

The Information Content of the Sentiment Index

Number of pages: 65 Posted: 17 Nov 2012 Last Revised: 02 Oct 2015
Kelley School of Business, School of Finance - Shanghai University of Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 408 (46,636)
Citation 3

Abstract:

investor sentiment index, return predictability, business cycle

16.

The Muni Bond Spread: Credit, Liquidity, and Tax

Columbia Business School Research Paper No. 14-37
Number of pages: 49 Posted: 30 Aug 2014
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 398 (26,212)

Abstract:

municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes

17.
Downloads 374 ( 61,102)
Citation 1

Advance Refundings of Municipal Bonds

Columbia Business School Research Paper No. 13-65
Number of pages: 63 Posted: 05 Aug 2013 Last Revised: 14 Aug 2014
Andrew Ang, Richard C. Green and Yuhang Xing
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
Downloads 361 (63,067)
Citation 1

Abstract:

municipal bonds, advance refunding, public finance

Advance Refundings of Municipal Bonds

NBER Working Paper No. w19459
Number of pages: 59 Posted: 20 Sep 2013
Andrew Ang, Richard C. Green and Yuhang Xing
BlackRock, Inc, Carnegie Mellon University - David A. Tepper School of Business and Rice University
Downloads 13 (479,677)
Citation 1

Abstract:

18.
Downloads 374 ( 61,102)
Citation 9

Taxes on Tax-Exempt Bonds

Number of pages: 64 Posted: 25 Mar 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 196 (122,089)
Citation 9

Abstract:

municipal bonds, income and capital gains tax, de minimis boundary, public finance

Taxes on Tax-Exempt Bonds

Journal of Finance, Forthcoming
Number of pages: 65 Posted: 26 Nov 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 97 (217,692)
Citation 9

Abstract:

municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate

Taxes on Tax-Exempt Bonds

NBER Working Paper No. w14496
Number of pages: 48 Posted: 25 Nov 2008
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 41 (345,706)
Citation 9

Abstract:

Taxes on Tax-Exempt Bonds

Journal of Finance, Vol. 65, No. 2, pp. 565-601, 2008
Number of pages: 48 Posted: 21 Oct 2011
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 40 (349,165)
Citation 9

Abstract:

19.

What Explains the Distress Risk Puzzle: Death or Glory?

Number of pages: 49 Posted: 18 Mar 2012
University of North Carolina Kenan-Flagler Business School, Tulane University - A.B. Freeman School of Business and Rice University
Downloads 270 (76,656)
Citation 2

Abstract:

distress risk, bankruptcy, skewness, stock returns

20.

Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle

Rock Center for Corporate Governance at Stanford University Working Paper No. 182
Number of pages: 56 Posted: 31 Mar 2014 Last Revised: 21 Mar 2015
The Chinese University of Hong Kong (CUHK) - Department of Finance, Stanford University - Graduate School of Business, Rice University and Purdue University - Krannert School of Management
Downloads 218 (75,824)

Abstract:

risk-shifting, idiosyncratic volatility puzzle, profitability, agency conflict

21.

Downside Risk and the Momentum Effect

NBER Working Paper No. w8643
Number of pages: 48 Posted: 14 Dec 2001
Andrew Ang, Joseph Chen and Yuhang Xing
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 178 (133,743)
Citation 9

Abstract:

22.
Downloads 106 (203,406)

Build America Bonds

NBER Working Paper No. w16008
Number of pages: 17 Posted: 04 Jun 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University
Downloads 106 (204,460)
Citation 3

Abstract:

Build America Bonds

Posted: 02 May 2010
Andrew Ang, Vineer Bhansali and Yuhang Xing
BlackRock, Inc, Pacific Investment Management Company (PIMCO) and Rice University

Abstract:

Municipal debt, tax-exempt bonds, public finance, tax subsidy

23.

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

Journal of Financial Economics, Vol. 91, pp. 1-23, 2009
Number of pages: 52 Posted: 22 Oct 2011 Last Revised: 03 Oct 2015
BlackRock, Inc, Columbia Business School - Finance and Economics, Rice University and Purdue University - Krannert School of Management
Downloads 62 (235,451)
Citation 146

Abstract:

24.

Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1767-1795, 2008
Posted: 08 Aug 2008
Yuhang Xing
Rice University

Abstract:

G12