Yan Xu

HKU, Faculty of Business and Economics

Pok Fu Lam Road

Hong Kong

Hong Kong

  • HKU, Faculty of Business and Economics

SCHOLARLY PAPERS

14

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324

CROSSREF CITATIONS

11

Scholarly Papers (14)

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1.

Financial Development and Innovation: Cross-Country Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 23 Jan 2011 Last Revised: 26 Oct 2021
Po-Hsuan Hsu, Xuan Tian and Yan Xu
National Tsing Hua University - Department of Quantitative Finance, Tsinghua University - PBC School of Finance and HKU, Faculty of Business and Economics
Downloads 2,154 (14,071)
Citation 50

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financial development; innovation; external finance dependence; high-tech intensiveness

2.

What Affects Innovation More: Policy or Policy Uncertainty?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 58 Posted: 18 Dec 2013 Last Revised: 13 Aug 2017
Utpal Bhattacharya, Po-Hsuan Hsu, Xuan Tian and Yan Xu
HKUST Business School, National Tsing Hua University - Department of Quantitative Finance, Tsinghua University - PBC School of Finance and HKU, Faculty of Business and Economics
Downloads 1,585 (22,755)
Citation 24

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Innovation, Policy uncertainty, Policy, Political party

3.

The Asset Growth Effect: Insights from International Equity Markets

Downloads 1,094 (39,180)
Citation 51

The Asset Growth Effect: Insights from International Equity Markets

Number of pages: 58 Posted: 16 Mar 2011 Last Revised: 27 Jan 2013
Akiko Watanabe, Yan Xu, Tong Yao and Tong Yu
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,094 (38,572)
Citation 51

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asset growth effect, investment-based asset pricing, international capital market

The Asset Growth Effect: Insights from International Equity Markets

Journal of Financial Economics (JFE), Volume 108, Issue 2, May 2013, Pages 529-563, University of Alberta School of Business Research Paper No. 2013-913
Posted: 21 Feb 2013 Last Revised: 14 Jun 2013
Akiko Watanabe, Yan Xu, Tong Yao and Tong Yu
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

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asset growth effect, international stock markets

4.

Improving Mean Variance Optimization Through Sparse Hedging Restrictions

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 10 Nov 2013
Shingo Goto and Yan Xu
University of Rhode Island - College of Business Administration and HKU, Faculty of Business and Economics
Downloads 782 (62,347)
Citation 16

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sparse inverse covariance matrix, hedging relationships, mean variance optimizer

5.

Strategic Disclosure and Stock Returns: Theory and Evidence from U.S. Cross-Listing

Review of Financial Studies, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 50 Posted: 06 Jun 2006 Last Revised: 27 Jan 2013
Shingo Goto, Masahiro Watanabe and Yan Xu
University of Rhode Island - College of Business Administration, University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 745 (66,449)

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Strategic disclosure, international financial markets, ADR cross-listing, return-news decomposition, panel VAR

6.

Corporate R&D and Stock Returns: International Evidence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 89 Posted: 12 Nov 2020 Last Revised: 26 Oct 2021
Kewei Hou, Po-Hsuan Hsu, Shiheng Wang, Akiko Watanabe and Yan Xu
Ohio State University (OSU) - Department of Finance, National Tsing Hua University - Department of Quantitative Finance, Hong Kong University of Science & Technology (HKUST), University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 530 (102,217)
Citation 6

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R&D; Cross-section of stock returns; Innovation

7.

Predicting Currency Returns and Exchange Rate Fluctuations

Number of pages: 67 Posted: 20 Jun 2018 Last Revised: 01 Oct 2019
Doron Avramov and Yan Xu
Reichman University - Interdisciplinary Center (IDC) Herzliyah and HKU, Faculty of Business and Economics
Downloads 503 (108,995)
Citation 1

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Loglinearization, Currency Market Return, Forward Premium Puzzle, Trading Strategy

8.

Beyond Carry: The Prospective Interest Rate Differential and Currency Excess Returns

Fisher College of Business Working Paper No. 2024-03-003, Charles A. Dice Center Working Paper No. 2024-03
Number of pages: 48 Posted: 09 Feb 2024
Mike Dong, Shingo Goto, Kewei Hou, Yan Xu and Yuzhao Zhang
UC Riverside, University of Rhode Island - College of Business Administration, Ohio State University (OSU) - Department of Finance, HKU, Faculty of Business and Economics and Alliance Bernstein
Downloads 479 (115,507)

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Prospective interest rate differential, Carry, Currency return predictability, Factor models

9.

Attention on Volatility and Options

Number of pages: 62 Posted: 17 Sep 2013 Last Revised: 05 Apr 2017
Yan Xu, Shu Yan and Yuzhao Zhang
HKU, Faculty of Business and Economics, Oklahoma State University - Stillwater - Department of Finance and Rutgers, The State University of New Jersey - Department of Finance
Downloads 432 (130,531)

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Google search volume, investor attention, volatility, option trading, option pricing

10.

Mispricing and Risk Premia in Currency Markets

Journal of Financial and Quantitative Analysis 2023, WBS Finance Group Research Paper
Number of pages: 76 Posted: 19 Dec 2023 Last Revised: 12 Apr 2024
Söhnke M. Bartram, Leslie Djuranovik, Anthony Garratt and Yan Xu
University of Warwick, Bank Indonesia - Department of Economic and Monetary Policy, University of Warwick and HKU, Faculty of Business and Economics
Downloads 401 (142,224)

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Predictors, anomalies, mispricing, analysts, market efficiency, real-time, point-in-time, arbitrage costs, IPCA, instrumented principal components analysis

11.

Free (Almost) Variance Insurance

Number of pages: 45 Posted: 15 Jul 2013 Last Revised: 23 Feb 2014
Yan Xu and Yuzhao Zhang
HKU, Faculty of Business and Economics and Rutgers, The State University of New Jersey - Department of Finance
Downloads 214 (272,114)

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variance risk premium, option returns

12.

Finance, Growth and Volatility

Number of pages: 61 Posted: 04 Mar 2007 Last Revised: 12 Sep 2012
Yan Xu
HKU, Faculty of Business and Economics
Downloads 196 (294,913)

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Financial development, Economic growth volatility, Granger causality

13.

Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

Journal of Econometrics, Forthcoming
Number of pages: 44 Posted: 18 Nov 2021
Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang and Haipeng Shen
University of Washington, The University of Hong Kong, HKU, Faculty of Business and Economics, Fudan University - School of Management, Rutgers, The State University of New Jersey and The University of Hong Kong - Faculty of Business and Economics
Downloads 43 (781,874)

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Kronecker product; Matrix sub-Gaussian distribution; Portfolio construction; Testing of non-correlation; One-sample and two-sample

14.

Strategic Disclosure and Stock Returns: Theory and Evidence from Us Cross-Listing

The Review of Financial Studies, Vol. 22, Issue 4, pp. 1585-1620, 2009
Posted: 23 Mar 2009
Shingo Goto, Masahiro Watanabe and Yan Xu
University of Rhode Island - College of Business Administration, University of Alberta - School of Business and HKU, Faculty of Business and Economics

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G14, G15, F30