Xiaoxia Lou

University of Delaware - Alfred Lerner College of Business and Economics

419 Purnell Hall

Newark, DE 19716

United States

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 8,304

in Total Papers Downloads

10,278

SSRN CITATIONS
Rank 5,529

SSRN RANKINGS

Top 5,529

in Total Papers Citations

253

CROSSREF CITATIONS

74

Scholarly Papers (14)

1.

Short Sellers and Financial Misconduct

Journal of Finance, Vol. 65, No. 5 (October 2010), pp. 1879-1913, AFA 2008 San Francisco Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 72 Posted: 06 Mar 2008 Last Revised: 21 Jun 2017
Jonathan M. Karpoff and Xiaoxia Lou
University of Washington - Michael G. Foster School of Business and University of Delaware - Alfred Lerner College of Business and Economics
Downloads 2,511 (10,688)
Citation 58

Abstract:

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Short sales, financial misrepresentation, market efficiency, information

2.

Price Impact or Trading Volume: Why is the Amihud (2002) Measure Priced?

Number of pages: 73 Posted: 10 Jul 2013 Last Revised: 14 Mar 2017
Xiaoxia Lou and Tao Shu
University of Delaware - Alfred Lerner College of Business and Economics and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 2,104 (14,204)
Citation 22

Abstract:

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Amihud illiquidity measure, trading volume, price impact, liquidity premium

Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

Number of pages: 19 Posted: 09 Jun 2010 Last Revised: 01 Feb 2013
Xiaoxia Lou and Ronnie Sadka
University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 2,006 (14,988)
Citation 8

Abstract:

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Liquidity risk, Liquidity Level, Asset pricing, Risk Management, Financial Crisis

Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Xiaoxia Lou and Ronnie Sadka
University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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equity investments, portfolio management, equity portfolio management strategies, risk management, portfolio risk management, risk management strategies

4.
Downloads 1,109 (37,228)

Horizon Pricing

Journal of Financial and Quantitative Analysis (JFQA), 51 (December 2016), 1769-1793.
Number of pages: 59 Posted: 22 Jul 2012 Last Revised: 21 Jun 2018
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 1,109 (36,682)
Citation 19

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asset pricing model, investment horizon, factors, characteristics

Horizon Pricing

Posted: 14 Jul 2012 Last Revised: 06 Mar 2013
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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asset pricing model, investment horizon, factors, characteristics

5.

The Divergence of Liquidity Commonality in the Cross-Section of Stocks

Number of pages: 52 Posted: 09 Nov 2006 Last Revised: 19 May 2018
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 820 (56,765)
Citation 35

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systematic liquidity, systematic risk, institutional investors, diversification

6.

Can Liquidity Events Explain the Low-Short-Interest Puzzle? Implications from the Options Market

EFA 2006 Zurich Meetings
Number of pages: 43 Posted: 07 Dec 2005
Jefferson Duarte, Ronnie Sadka and Xiaoxia Lou
Rice University - Jesse H. Jones Graduate School of Business, Boston College - Carroll School of Management and University of Delaware - Alfred Lerner College of Business and Economics
Downloads 444 (122,854)
Citation 10

Abstract:

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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies

7.

Flow-Induced Trading Pressure and Corporate Investment

Number of pages: 51 Posted: 02 Nov 2012 Last Revised: 23 May 2016
Xiaoxia Lou and Albert Y. Wang
University of Delaware - Alfred Lerner College of Business and Economics and Auburn University - Department of Finance
Downloads 430 (127,600)
Citation 11

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Real Effects of Financial Markets; Corporate Investment; Mutual Fund Flow-Induced Trading Pressure

8.

Enforcement Waves and Spillovers

Management Science - Forthcoming, European Corporate Governance Institute – Finance Working Paper No. 835/2022
Number of pages: 59 Posted: 24 Feb 2020 Last Revised: 17 Mar 2023
Loyola University Chicago, University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and American University - Kogod School of Business
Downloads 361 (155,441)
Citation 2

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SEC, misrepresentation, fraud, enforcement, market efficiency

9.

Can Liquidity Events Explain the Low-Short-Interest Puzzle? Implications from the Options Market*

8th Annual Texas Finance Festival
Number of pages: 43 Posted: 07 Apr 2006
Jefferson Duarte, Xiaoxia Lou and Ronnie Sadka
Rice University - Jesse H. Jones Graduate School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 340 (165,870)
Citation 6

Abstract:

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Short-sale constraints, Liquidity, Limits to arbitrage, Asset-pricing anomalies

10.

Has the US Stock Market Become More Vulnerable Over Time?

Number of pages: 24 Posted: 02 Nov 2012
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management
Downloads 114 (446,327)
Citation 3

Abstract:

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Systematic risk, Systematic liquidity, Diversi

11.

Innocuous Noise? Social Media and Asset Prices

Number of pages: 42 Posted: 05 Apr 2024
Bentley University - Department of Finance, University of Delaware - Alfred Lerner College of Business and Economics, EDHEC Business School, Boston College - Carroll School of Management and The Chinese University of Hong Kong, Shenzhen - School of Management and Economics
Downloads 39 (790,234)

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Reddit, Social Media, Retail trading, Price informativeness, Liquidity, Anomalies

12.

Quantifying Narratives and their Impact on Financial Markets

Journal of Portfolio Management, April 2023, 49 (5) 82 - 95 DOI: 10.3905/jpm.2023.1.472
Posted: 08 Aug 2022 Last Revised: 09 Apr 2024
State Street Associates, University of Delaware - Alfred Lerner College of Business and Economics, EDHEC Business School, Boston College - Carroll School of Management and State Street Associates

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Media Sentiment, Investor Behavior, Economic Themes, Narratives, Market Drivers

13.

Short-Horizon Beta or Long-Horizon Alpha?

Journal of Portfolio Management, Vol. 45, No. 1, (Fall 2018): 96-105.
Posted: 29 Dec 2016 Last Revised: 02 Nov 2018
University of Washington - Michael G. Foster School of Business, Northwestern University - Kellogg School of Management, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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Investor Horizon, Investor Clientele, Asset Pricing Model, Risk Factors

14.

Has the U.S. Stock Market Become More Vulnerable Over Time?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Avraham Kamara, Xiaoxia Lou and Ronnie Sadka
University of Washington - Michael G. Foster School of Business, University of Delaware - Alfred Lerner College of Business and Economics and Boston College - Carroll School of Management

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Equity Investments, Investment Industry, Historical Trends, Portfolio Management, Portfolio Construction, Rebalancing, and Implementation, Risk Measurement and Management, Equity Portfolios