Xuhui (Nick) Pan

University of Oklahoma

307 W Brooks

Norman, OK 73019

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 20,830

SSRN RANKINGS

Top 20,830

in Total Papers Downloads

4,586

SSRN CITATIONS
Rank 17,896

SSRN RANKINGS

Top 17,896

in Total Papers Citations

66

CROSSREF CITATIONS

11

Scholarly Papers (10)

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 837 (55,112)
Citation 4

Abstract:

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

2.

The Cross Section of Monetary Policy Announcement Premium

Journal of Financial Economics (forthcoming)
Number of pages: 88 Posted: 01 Mar 2019 Last Revised: 21 Jan 2022
Hengjie Ai, Leyla Jianyu Han, Xuhui (Nick) Pan and Lai Xu
University of Wisconsin-Madison, Boston University - Questrom School of Business, University of Oklahoma and Syracuse University
Downloads 595 (85,715)
Citation 6

Abstract:

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FOMC Announcement, Implied Variance, Cross Section, Equity Returns

3.

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 591 (86,437)
Citation 16

Abstract:

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

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 575 (89,476)
Citation 3

Abstract:

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

5.

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 547 (95,294)
Citation 1

Abstract:

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

6.

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 348 (161,477)
Citation 6

Abstract:

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

7.

Tail Risk around FOMC Announcements

Number of pages: 65 Posted: 27 Dec 2022 Last Revised: 16 May 2024
Kris Jacobs, Sai Ke and Xuhui (Nick) Pan
University of Houston - C.T. Bauer College of Business, California State University, Long Beach - Department of Finance, Real Estate & Law and University of Oklahoma
Downloads 334 (168,709)
Citation 1

Abstract:

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FOMC Announcements, Tail Risk, Options, Market Risk Premium

8.

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 - College of Business
Downloads 279 (203,697)

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

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 139 (383,849)

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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 113 (450,779)

Abstract:

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

Uncertain firm profits and (indirectly) priced idiosyncratic volatility

Number of pages: 60 Posted: 07 May 2020 Last Revised: 03 Jul 2022
Xuhui (Nick) Pan, Bharat Raj Parajuli and Petra Sinagl
University of Oklahoma, Monash University and University of Iowa - Department of Finance
Downloads 171 (322,618)

Abstract:

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

Uncertain Firm Profits and (Indirectly) Priced Idiosyncratic Volatility

Number of pages: 79 Posted: 09 Mar 2024
Bharat Raj Parajuli, Xuhui (Nick) Pan and Petra Sinagl
Monash University, University of Oklahoma and University of Iowa - Department of Finance
Downloads 30 (885,990)

Abstract:

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Idiosyncratic volatility, Bayesian updating, incomplete information, uncertainty, firm profitability

Uncertain Firm Profits and (Indirectly) Priced Idiosyncratic Volatility

Number of pages: 61 Posted: 05 Feb 2023
Bharat Raj Parajuli, Xuhui (Nick) Pan and Petra Sinagl
Monash University, University of Oklahoma and University of Iowa - Department of Finance
Downloads 27 (914,028)

Abstract:

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Idiosyncratic volatility, Bayesian updating, incomplete information, uncertainty, firm profitability.