Xiaohui Gao

Fox School of Business, Temple University

Alter Hall 421

Philadelphia, PA 19122

United States

http://https://sites.google.com/site/xiaohuigaobakshi/

  • Fox School of Business, Temple University

SCHOLARLY PAPERS

23

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8,492

SSRN CITATIONS
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Top 5,299

in Total Papers Citations

286

CROSSREF CITATIONS

31

Scholarly Papers (23)

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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 C. Chu
University of Florida - Department of Finance, Insurance and Real Estate, Fox School of Business, Temple University and Monash University
Downloads 2,494 (9,934)
Citation 67

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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
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Alberto G. Rossi
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Georgetown University
Downloads 1,201 (30,749)
Citation 50

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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 910 (45,474)
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 893 (46,667)
Citation 24

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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
Gurdip Bakshi, Gurdip Bakshi, John Crosby, Xiaohui Gao and Jinming Xue
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 553 (87,122)
Citation 1

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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
Gurdip Bakshi, Gurdip Bakshi, John Crosby, Xiaohui Gao and Wei Zhou
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 344 (151,676)
Citation 4

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

7.

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
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Zhaodong Zhong
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 288 (183,060)
Citation 3

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

8.

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
Gurdip Bakshi, Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao
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 249 (211,777)
Citation 23

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recovery theorem

9.

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
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Jinming Xue
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 217 (241,713)

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recovery

10.

Treasury Option Returns and Models with Unspanned Risks

Accepted at Journal of Financial Economics (JFE), 2023
Number of pages: 78 Posted: 28 Jun 2019 Last Revised: 28 Sep 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby, Xiaohui Gao and Jorge Wolfgang Hansen
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 Aarhus University - Department of Economics and Business Economics
Downloads 210 (253,592)

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

11.

Dark Matter in (Volatility and) Equity Option Risk Premiums

Operations Research
Number of pages: 55 Posted: 23 Nov 2019 Last Revised: 09 Apr 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 189 (274,149)
Citation 2

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

12.

A Theory of Dissimilarity between Stochastic Discount Factors

Management Science, forthcoming
Number of pages: 57 Posted: 11 Sep 2017 Last Revised: 13 Jul 2020
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and George Panayotov
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 183 (281,990)
Citation 2

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Dissimilarity between SDFs

13.

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
Gurdip Bakshi, Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao
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 151 (332,290)
Citation 2

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

14.

Factor Glut in Asset Pricing through a Modern Optimization Lens

Number of pages: 48 Posted: 06 Jun 2023
Gurdip Bakshi, Gurdip Bakshi, Timothy Christensen, John Crosby and Xiaohui Gao
Temple University - Fox School of Business and ManagementFox School of Business, New York University (NYU) - Department of Economics, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 121 (394,528)

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Asset Pricing, Factor Models, Stochastic Discount Factor, Model Selection, Manhattan Distance, Mixed-Integer Optimization

15.

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

Number of pages: 59 Posted: 11 Sep 2017
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Jinming Xue
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 107 (431,341)

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

16.

Do Investors Gain by Selling the Tails of Return Distributions

Number of pages: 53 Posted: 08 Jul 2021 Last Revised: 08 Aug 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 87 (494,629)

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Blowups, ambiguity aversion, performance measure, selling return tails

17.

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
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 85 (501,837)

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18.

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
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 (565,404)

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mutual fund, benchmark, ambiguity aversion

19.

The Geography of Exchange Rate Disconnect

Number of pages: 48 Posted: 18 Feb 2021 Last Revised: 07 Aug 2023
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 58 (617,590)

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

20.

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
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 49 (666,597)

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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

21.

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

Number of pages: 16 Posted: 08 Mar 2021
Gurdip Bakshi, Gurdip Bakshi, John Crosby and Xiaohui Gao
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 21 (875,234)

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Fund management, Fund performance

22.

Bundled Risks, Dollar Index Options, and Quantitative Implications for Dynamic Currency Models

Number of pages: 42 Posted: 08 Dec 2023
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Yuan Hu
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Temple University - Department of Finance
Downloads 9

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Traded bundled risks, model of options on futures on the dollar index, formulation of dollar index option risk premiums, returns of options on futures on the dollar index, dynamic models of currency behavior

23.

Models of Gold Options Market and Evidence in Favor of Financialized Gold and Against Disasterization

Number of pages: 51 Posted: 08 Dec 2023
Gurdip Bakshi, Gurdip Bakshi, Xiaohui Gao and Zhaowei Zhang
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Temple University
Downloads 4

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Estimated gold models, financialized gold, safe haven, options on gold futures