Xuhui (Nick) Pan

University of Oklahoma

307 W Brooks

Norman, OK 73019

United States

  • University of Oklahoma

SCHOLARLY PAPERS

9

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2,952

SSRN CITATIONS
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SSRN RANKINGS

Top 36,838

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12

CROSSREF CITATIONS

9

Scholarly Papers (9)

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1.

Oil Volatility Risk and Expected Stock Returns

Rotman School of Management Working Paper No. 2399677
Number of pages: 54 Posted: 23 Feb 2014 Last Revised: 04 Dec 2014
Peter Christoffersen and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management and University of Oklahoma
Downloads 759 (37,403)
Citation 4

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option-implied volatility; oil prices; volatility risk; cross-section; factor-mimicking portfolios; financial intermediaries

2.

The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

Number of pages: 45 Posted: 17 Dec 2010 Last Revised: 12 Mar 2011
Redouane Elkamhi, Kris Jacobs and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Oklahoma
Downloads 501 (64,278)
Citation 6

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CDS, recovery rate, quadratic model, credit risk, default, tangible assets

3.

Equity Portfolio Management Using Option Price Information

Rotman School of Management Working Paper No. 2419587
Number of pages: 29 Posted: 04 Apr 2014
Peter Christoffersen and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management and University of Oklahoma
Downloads 472 (69,142)
Citation 1

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option-implied volatility; commodity futures; cross-section of stocks; option-implied beta; mean-variance optimization.

4.

Commodity Variance Risk Premia and Expected Futures Returns: Evidence from the Crude Oil Market

Number of pages: 58 Posted: 24 Jul 2013 Last Revised: 13 Aug 2015
Sang Baum Kang and Xuhui (Nick) Pan
Illinois Institute of Technology - Stuart School of Business and University of Oklahoma
Downloads 426 (78,332)
Citation 2

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Mean-Variance; Variance Risk Premia; Futures Return; Predictability; Crude Oil

5.

The Cross Section of Monetary Policy Announcement Premium

Number of pages: 66 Posted: 01 Mar 2019 Last Revised: 03 Aug 2020
Hengjie Ai, Leyla Jianyu Han, Xuhui (Nick) Pan and Lai Xu
University of Minnesota - Twin Cities - Carlson School of Management, University of Hong Kong, University of Oklahoma and Syracuse University
Downloads 249 (141,349)
Citation 4

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FOMC Announcement, Implied Variance, Cross Section, Equity Returns

6.

Does Institutional Ownership Predict Mutual Fund Performance? An Examination of Undiscovered Holdings within 13(f) Reports

Downloads 201 (173,393)

Does Institutional Ownership Predict Mutual Fund Performance? An Examination of Undiscovered Holdings within 13(f) Reports

Forthcoming in the European Financial Management
Number of pages: 90 Posted: 17 Aug 2014 Last Revised: 26 Oct 2018
Xuhui (Nick) Pan, Kainan Wang and Blerina Bela Zykaj
University of Oklahoma, University of Toledo and Clemson University
Downloads 201 (173,218)

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institutional investor holdings; 13(f) filings; mutual funds; mutual-fund performance

Does Institutional Ownership Predict Mutual Fund Performance? An Examination of Undiscovered Holdings within 13(F) Reports

European Financial Management, Vol. 25, Issue 5, pp. 1249-1285, 2019
Number of pages: 37 Posted: 19 May 2020
Xuhui (Nick) Pan, Kainan Wang and Blerina Bela Zykaj
University of Oklahoma, University of Toledo and Clemson University
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13(f) filings, institutional investors, mutual‐fund performance, mutual funds

7.

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Downloads 183 (188,718)

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 61 Posted: 06 Jun 2017 Last Revised: 03 Jul 2017
David A. Lesmond, Xuhui (Nick) Pan and Yihua Zhao
Tulane University - A.B. Freeman School of Business, University of Oklahoma and Tulane University - A.B. Freeman School of Business
Downloads 99 (306,075)

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Number of pages: 55 Posted: 27 Jun 2016 Last Revised: 13 May 2018
David A. Lesmond, Xuhui (Nick) Pan, Roberto Stein and Yihua Zhao
Tulane University - A.B. Freeman School of Business, University of Oklahoma, University of Nebraska at Lincoln - Department of Finance and Tulane University - A.B. Freeman School of Business
Downloads 84 (340,208)

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

8.

The State Price Density Implied by Crude Oil Futures and Option Prices

AFA 2016 Meetings Paper Forthcoming, Review of Financial Studies
Number of pages: 57 Posted: 20 Jan 2012 Last Revised: 30 Oct 2020
Peter Christoffersen, Kris Jacobs and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Oklahoma
Downloads 122 (262,823)
Citation 6

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State price density; macroeconomic indicators; crude oil; stock index.

9.

The Idiosyncratic Volatility Puzzle with Learning and Asymmetric Signal Precision

Number of pages: 66 Posted: 07 May 2020 Last Revised: 04 Jan 2021
Xuhui (Nick) Pan, Bharat Raj Parajuli and Petra Sinagl
University of Oklahoma, University of Utah - David Eccles School of Business and University of Iowa - Department of Finance
Downloads 39 (486,035)

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Idiosyncratic volatility puzzle, Bayesian updating, asymmetric signal precision, firm underperformance