Xiaohui Gao

Fox School of Business, Temple University

Philadelphia, PA 19122

United States

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 9,705

in Total Papers Downloads

6,812

SSRN CITATIONS
Rank 7,122

SSRN RANKINGS

Top 7,122

in Total Papers Citations

146

CROSSREF CITATIONS

37

Scholarly Papers (21)

1.

Where Have All the IPOs Gone?

Number of pages: 56 Posted: 05 Nov 2011 Last Revised: 26 Sep 2013
Jay R. Ritter, Xiaohui Gao and John Chu
University of Florida - Department of Finance, Insurance and Real Estate, Fox School of Business, Temple University and Monash University
Downloads 2,346 (8,410)
Citation 67

Abstract:

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IPO volume, trade sales, economies of scope, effects of Sarbanes-Oxley, VC exits

2.

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Forthcoming, Management Science
Number of pages: 63 Posted: 04 Apr 2015 Last Revised: 13 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Georgetown University
Downloads 942 (34,000)
Citation 32

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Commodity asset pricing models, carry, momentum, innovations in equity volatility, speculative activity

3.

The Marketing of Seasoned Equity Offerings

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 48 Posted: 20 Mar 2007 Last Revised: 15 Mar 2010
Xiaohui Gao and Jay R. Ritter
Fox School of Business, Temple University and University of Florida - Department of Finance, Insurance and Real Estate
Downloads 854 (39,010)
Citation 30

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Marketing of securities, Follow-on offerings, Seasoned equity offerings, Bookbuilding

4.

Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments

Forthcoming, Review of Financial Studies
Number of pages: 59 Posted: 09 Jun 2010 Last Revised: 23 Sep 2014
Xiaohui Gao and Tse-Chun Lin
Fox School of Business, Temple University and The University of Hong Kong - Faculty of Business and Economics
Downloads 790 (43,389)
Citation 24

Abstract:

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Natural experiments, lottery, stock trading, substitution effect, fun and excitement

5.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming, SMU Cox School of Business Research Paper No. 21-19
Number of pages: 46 Posted: 16 Dec 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 347 (119,096)

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VIX futures curve, stochastic orders, hedging instruments, contango

6.

A New Formula for the Expected Excess Return of the Market

Fox School of Business Research Paper
Number of pages: 54 Posted: 15 Oct 2019 Last Revised: 20 Dec 2020
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and University of Maryland - Robert H. Smith School of Business
Downloads 234 (178,391)
Citation 3

Abstract:

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expected excess return of the market, negative correlation condition, lower bound, market risk premium

7.

A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem

Forthcoming, Review of Financial Studies
Number of pages: 47 Posted: 20 Nov 2016 Last Revised: 13 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University
Downloads 211 (196,591)
Citation 23

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recovery theorem

8.

Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 60 Posted: 23 Nov 2019 Last Revised: 28 Jan 2022
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 158 (252,992)

Abstract:

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recovery

9.

A Theory of Dissimilarity between Stochastic Discount Factors

Management Science, forthcoming
Number of pages: 57 Posted: 11 Sep 2017 Last Revised: 13 Jul 2020
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Hong Kong University of Science & Technology (HKUST)
Downloads 157 (254,290)
Citation 2

Abstract:

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Dissimilarity between SDFs

10.

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Number of pages: 51 Posted: 29 Apr 2015
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University
Downloads 132 (291,489)
Citation 2

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Long-term Treasury bond, expected excess return, lower bound, options on bond futures

11.

Dark Matter in (Volatility and) Equity Option Risk Premiums

Fox School of Business Research Paper Forthcoming
Number of pages: 43 Posted: 23 Nov 2019 Last Revised: 09 Mar 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 116 (320,435)
Citation 2

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Unspanned equity volatility and jump risks, unspanned risks in the pricing kernel, semi-martingales, dark matter, option risk premiums

12.

Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods

Annual Review of Financial Economics
Number of pages: 39 Posted: 08 Apr 2022
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 96 (363,747)

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default, recovery in default, structural models, default intensity-based credit risk models, model estimation, empirical facts in credit markets

13.

An Approach to Measure the Expectation of Generic Functions of the Market Return

Number of pages: 59 Posted: 11 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 89 (381,330)

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Expected market return; Disaster probabilities; Girsanov theorem; Equity index options

14.

The Puzzle of Treasury Option Returns and the Consistent Pricing of Options and the Yield Curve

Number of pages: 79 Posted: 28 Jun 2019 Last Revised: 15 Feb 2022
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 74 (424,436)

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Options on futures of Treasury bonds, interest-rate models, option risk premiums, unspanned risks in the pricing kernel

15.

Crossing a Rubicon into Active Money Management Realities: Performance Measurement When Funds Follow Opaque Strategies

Number of pages: 78 Posted: 03 Nov 2017 Last Revised: 22 Feb 2018
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 69 (440,813)

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16.

Caution under Ambiguity and Blowups

Fox School of Business Research Paper Forthcoming
Number of pages: 37 Posted: 08 Jul 2021 Last Revised: 01 Oct 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 55 (492,252)

Abstract:

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ambiguity, tail risk

17.

Fund Performance Measurement Respecting an Industry Benchmark

Fox School of Business Research Paper Forthcoming
Number of pages: 70 Posted: 23 Nov 2019 Last Revised: 29 May 2020
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 52 (504,710)

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mutual fund, benchmark, ambiguity aversion

18.

The Geography of Exchange Rate Disconnect

Number of pages: 48 Posted: 18 Feb 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 39 (565,230)

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Exchange rate disconnect, geography, international bond, equity, and currency markets

19.

Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims

Fox School of Business Research Paper Forthcoming
Number of pages: 34 Posted: 27 Dec 2019 Last Revised: 17 Dec 2020
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 32 (603,393)
Citation 1

Abstract:

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Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums

20.

Technical Note on 'Fund Performance Measurement Respecting an Industry Benchmark'

Number of pages: 16 Posted: 08 Mar 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 15 (723,528)

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Fund management, Fund performance

21.

The Components of Mutual Fund Fees

Financial Markets, Institutions & Instruments, Vol. 17, Issue 3, pp. 197-223, August 2008
Number of pages: 27 Posted: 18 Jul 2008
Xiaohui Gao and Miles Livingston
Fox School of Business, Temple University and University of Florida - Department of Finance, Insurance and Real Estate
Downloads 4 (822,430)

Abstract:

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