Xiaoxia Ye

University of Liverpool Management School

Chatham Street

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

19

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5,245

SSRN CITATIONS
Rank 39,909

SSRN RANKINGS

Top 39,909

in Total Papers Citations

12

CROSSREF CITATIONS

7

Scholarly Papers (19)

1.

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

European Journal of Operational Research, Forthcoming
Number of pages: 45 Posted: 14 May 2019 Last Revised: 29 Jul 2021
University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 2,075 (9,117)
Citation 2

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Investment analysis, asset allocation, stock selection, mean-variance, naive diversification, portfolio theory

2.

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

Number of pages: 59 Posted: 03 Jun 2019 Last Revised: 12 Mar 2021
University of Bath - School of Management, University of Bath - School of Management, University of York - The York Management School, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 1,145 (23,092)

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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors; regimes

3.

Exploring Mispricing in the Term Structure of CDS Spreads

Forthcoming, Review of Finance
Number of pages: 104 Posted: 06 Nov 2015 Last Revised: 01 Aug 2019
Robert A. Jarrow, Haitao Li, Xiaoxia Ye and May Hu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Liverpool Management School and Deakin University
Downloads 663 (49,454)
Citation 10

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Credit default swaps, mispricing, statistical arbitrage, affine models, market-neutral strategy, hedge funds

4.

Cryptocurrency Factor Portfolios: Performance, Decomposition and Pricing Models

Number of pages: 104 Posted: 01 Jun 2021
University of Bath - School of Management, University of Bath - School of Management, University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 291 (131,069)

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Cryptocurrencies, Asset Pricing, Almost Stochastic Dominance, Mispricing

5.

How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?

Forthcoming, Journal of Money, Credit and Banking
Number of pages: 74 Posted: 10 Dec 2014 Last Revised: 03 Aug 2019
Van Son Lai and Xiaoxia Ye
Université Laval and University of Liverpool Management School
Downloads 225 (169,313)

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Bank regulatory closure rules or policy parameter, bank insolvency, regulatory forbearance, market-based closure rules, financial crises

6.

Modeling Municipal Yields with (and without) Bond Insurance

Forthcoming, Management Science, Claremont McKenna College Robert Day School of Economics and Finance Research Paper
Number of pages: 61 Posted: 12 Oct 2015 Last Revised: 30 Oct 2018
University of Queensland - Business School, University of California, Berkeley - Haas School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 174 (213,809)
Citation 4

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Municipal bonds; bond insurance; monoline; default risk; liquidity risk; term structure modeling

7.

Counter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market

Forthcoming in International Review of Finance
Number of pages: 72 Posted: 17 Jan 2014 Last Revised: 16 Jan 2016
Jian Luo, Xiaoxia Ye and May Hu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), University of Liverpool Management School and Deakin University
Downloads 115 (296,400)

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China’s Corporate Bond Market, Credit Risk, Term Structure of Yields

8.

Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns

Number of pages: 63 Posted: 27 May 2020 Last Revised: 06 Jul 2021
Shamim Ahmed, Ziwen Bu and Xiaoxia Ye
University of Liverpool Management School, University of Birmingham - Birmingham Business School and University of Liverpool Management School
Downloads 105 (315,778)

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Labor mobility; Product market competition; Risk premium; Stock returns

9.

Illiquidity, R&D Investment, and Stock Returns

Number of pages: 96 Posted: 02 Oct 2020 Last Revised: 17 Apr 2021
Shamim Ahmed, Ziwen Bu and Xiaoxia Ye
University of Liverpool Management School, University of Birmingham - Birmingham Business School and University of Liverpool Management School
Downloads 100 (326,219)

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Illiquidity; Research and Development Investment; Risk Premium; Stock Returns

10.

Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective

Forthcoming, European Journal of Operational Research
Number of pages: 43 Posted: 04 Aug 2016 Last Revised: 13 Apr 2020
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 80 (374,623)
Citation 1

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Gaussian Dynamic Term Structure Models, HJM, Finite Dimensional Realizations, Interest Rate Derivatives

11.

Credit Derivatives and Corporate Default Prediction

Number of pages: 43 Posted: 12 May 2020 Last Revised: 07 Sep 2021
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Liverpool Management School, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 70 (403,696)

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Credit default swap spread, corporate default prediction, physical default, default risk premium, CDS liquidity

12.

Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk

Number of pages: 60 Posted: 12 Oct 2020 Last Revised: 01 Jun 2021
Michael B. Imerman, Xiaoxia Ye and Ran Zhao
Claremont Colleges - Peter F. Drucker Graduate School of Management, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 60 (437,066)

Abstract:

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Pandemic risk, informational friction, economic shock, credit default swap spread, default risk

13.

Applying Linear Realization Theory to HJM Markovian Representation

Posted: 16 Sep 2009
Xiaoxia Ye
University of Liverpool Management School
Downloads 55 (455,338)

Abstract:

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HJM, Finite Dimensional Realization, Markovian Representation, Hump shape volatility, Linear Realization Theory, State Space framework, Kalman Filter

14.

Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets

Number of pages: 54 Posted: 19 Apr 2021
Charlie X. Cai, May Hu and Xiaoxia Ye
University of Liverpool Management School, RMIT University and University of Liverpool Management School
Downloads 22 (622,538)

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CDS, cross-autocorrelation, VAR, global credit network, risk transmission, contagion risk, network centrality

15.

Are Market Views on Banking Industry Useful for Forecasting Economic Growth?

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 33 Posted: 18 Nov 2018
Van Son Lai, Xiaoxia Ye and Lu Zhao
Université Laval, University of Liverpool Management School and Stockholm University - Stockholm Business School
Downloads 20 (636,484)

Abstract:

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Bank regulation, Regulatory forbearance, Forecasting, Economic growth

16.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 63 Posted: 19 Feb 2021
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 45

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uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta

17.

Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market

International Review of Finance, Vol. 16, Issue 2, pp. 203-241, 2016
Number of pages: 39 Posted: 03 Jun 2016
Jian Luo, Xiaoxia Ye and May Hu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), University of Liverpool Management School and Deakin University
Downloads 0 (804,439)
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18.

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

Posted: 02 Oct 2012 Last Revised: 24 Feb 2019
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance

Abstract:

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Non-Markov; Gaussian Dynamic Term Structure Models; Excess Returns; International Bond Markets; Moving Averages; Forecasting

19.

A New Approach to Measuring Market Expectations and Term Premia

Journal of Fixed Income, Spring 2015, Vol. 24, No. 4: pp. 22-46
Posted: 27 Aug 2012 Last Revised: 21 Feb 2017
Xiaoxia Ye
University of Liverpool Management School

Abstract:

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term structure of interest rates, market expectations, short rate, LSAP, MEP, QE3