Xiaoxia Ye

University of Exeter Business School - Department of Finance

Streatham Court

Exeter, EX4 4PU

United Kingdom

http://www.xiaoxiaye.me/

SCHOLARLY PAPERS

22

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8,250

SSRN CITATIONS
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Top 26,959

in Total Papers Citations

36

CROSSREF CITATIONS

6

Scholarly Papers (22)

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 Exeter Business School - Department of Finance
Downloads 2,176 (13,134)
Citation 10

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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

The British Accounting Review, Forthcoming
Number of pages: 59 Posted: 03 Jun 2019 Last Revised: 18 Jan 2022
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 Exeter Business School - Department of Finance
Downloads 1,507 (23,357)
Citation 2

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

3.

Commodity Inflation Risk Premium and Stock Market Returns

2022 University of Rochester Conference in Econometrics, Paris December Finance Meeting 2022, 2023 Annual Meeting of the Swiss Society for Financial Market Research (SGF), FMA Annual Meeting 2022, FMA-Europe 2022, CFE Berlin 2023, EFMA 2022, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 106 Posted: 21 Sep 2022 Last Revised: 27 Mar 2024
Stockholm University, University of Bath - School of Management, University of Exeter Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 1,161 (34,191)
Citation 1

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Commodities, Term structure models, Predictability, Inflation risk premium, Cross-sectional asset pricing

4.

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 Exeter Business School - Department of Finance and Deakin University
Downloads 713 (67,020)
Citation 13

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

5.

On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing

European Financial Management, Forthcoming - SWFA 2021, EFMA 2021, World Finance Conference 2021, ENTFIN Annual Meeting 2022.
Number of pages: 100 Posted: 01 Jun 2021 Last Revised: 01 Mar 2024
University of Aberdeen - Business School, University of Bath - School of Management, University of Bath - School of Management, University of Reading - ICMA Centre and University of Exeter Business School - Department of Finance
Downloads 551 (92,851)
Citation 2

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Cryptocurrencies, Asset Pricing, Almost Stochastic Dominance, Mispricing

6.

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 Exeter Business School - Department of Finance
Downloads 263 (212,895)

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

7.

Generalized Black-Litterman with Decision Fusion

EFMA 2023
Number of pages: 59 Posted: 30 Mar 2023 Last Revised: 17 Apr 2023
University of Bath - School of Management, Bocconi University, Dept. of Finance, University of Bath - School of Management, University of Bath - School of Management and University of Exeter Business School - Department of Finance
Downloads 250 (224,798)

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Finance, Investment Analysis, Black-Litterman, Parameter Uncertainty, Decision Fusion

8.

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 Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 231 (241,756)
Citation 12

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

9.

The Trade Imbalance Network and Currency Returns

Number of pages: 57 Posted: 09 Aug 2023 Last Revised: 25 Oct 2023
Ai Jun Hou, Lucio Sarno and Xiaoxia Ye
Stockholm University, University of Cambridge - Judge Business School and University of Exeter Business School - Department of Finance
Downloads 193 (285,533)

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Trade imbalance network, Currency premia, Carry trade, Network centrality

10.

Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums

Number of pages: 52 Posted: 25 Jul 2022 Last Revised: 06 Mar 2023
Michael B. Imerman, Xiaoxia Ye and Ran Zhao
University of California, Irvine - Paul Merage School of Business, University of Exeter Business School - Department of Finance and San Diego State University
Downloads 183 (299,485)

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Climate change, voluntary disclosure, climate risk, CDS premium, informational uncertainty

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 Exeter Business School - Department of Finance, Claremont McKenna College - Robert Day School of Economics and Finance and San Diego State University
Downloads 170 (319,593)
Citation 1

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

12.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 69 Posted: 19 Feb 2021 Last Revised: 13 Jan 2022
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Exeter Business School - Department of Finance and San Diego State University
Downloads 140 (375,272)
Citation 1

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

13.

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 Exeter Business School - Department of Finance and Deakin University
Downloads 137 (381,470)

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

14.

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

Forthcoming in Review of Asset Pricing Studies
Number of pages: 74 Posted: 27 May 2020 Last Revised: 04 Jan 2023
Shamim Ahmed, Ziwen Bu and Xiaoxia Ye
University of Liverpool - Management School (ULMS), University of Birmingham - Birmingham Business School and University of Exeter Business School - Department of Finance
Downloads 128 (402,370)

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

15.

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: 11 Jul 2022
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 128 (402,370)
Citation 1

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

16.

Illiquidity, R&D Investment, and Stock Returns

Forthcoming, Journal of Money, Credit and Banking
Number of pages: 84 Posted: 02 Oct 2020 Last Revised: 11 Jul 2022
Shamim Ahmed, Ziwen Bu and Xiaoxia Ye
University of Liverpool - Management School (ULMS), University of Birmingham - Birmingham Business School and University of Exeter Business School - Department of Finance
Downloads 115 (435,941)

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

17.

Global Trade Network and Term Premia Dynamics

Number of pages: 58 Posted: 12 Aug 2022 Last Revised: 11 Feb 2024
Ai Jun Hou, Caihong Xu and Xiaoxia Ye
Stockholm University, Stockholm University - Stockholm Business School and University of Exeter Business School - Department of Finance
Downloads 94 (502,077)

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Term structure of interest rates, Term premium, Global trade network

18.

Generalized Black-Litterman Portfolio Optimization with Decision Fusion

Number of pages: 84 Posted: 22 Jun 2023
University of Bath - School of Management, University of Bath, University of Bath and University of Exeter Business School - Department of Finance
Downloads 50 (703,925)
Citation 1

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Black-Litterman, Parameter Uncertainty, Decision Fusion

19.

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 Exeter Business School - Department of Finance and Stockholm University - Stockholm Business School
Downloads 41 (763,320)

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Bank regulation, Regulatory forbearance, Forecasting, Economic growth

20.

Do Oil Price Forecast Disagreement of Survey of Professional Forecasters Predict Crude Oil Return Volatility?

Number of pages: 32 Posted: 17 Jan 2024
Jönköping International Business School - Jönköping University, Stockholm University, University of Wollongong, Stockholm University - Stockholm Business School and University of Exeter Business School - Department of Finance
Downloads 19 (949,270)

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Crude oil market, GARCH-MIDAS, Professional forecasters, Disagreement

21.

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 Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance

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

22.

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 Exeter Business School - Department of Finance

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