Xuhui (Nick) Pan

University of Oklahoma

307 W Brooks

Norman, OK 73019

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 18,346

SSRN RANKINGS

Top 18,346

in Total Papers Downloads

2,627

SSRN CITATIONS
Rank 37,377

SSRN RANKINGS

Top 37,377

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (8)

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 734 (33,806)
Citation 2

Abstract:

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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 485 (58,173)
Citation 6

Abstract:

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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 462 (61,779)
Citation 1

Abstract:

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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 398 (73,920)
Citation 2

Abstract:

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

5.

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 183 (166,167)

Abstract:

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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 91 (286,514)

Abstract:

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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 71 (333,402)

Abstract:

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

7.

The Cross-Section of Monetary Policy Announcement Premium

Number of pages: 36 Posted: 01 Mar 2019 Last Revised: 25 May 2019
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 113 (245,613)
Citation 2

Abstract:

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FOMC announcement, implied volatility, cross-section of equity returns

8.

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

AFA 2016 Meetings Paper
Number of pages: 46 Posted: 20 Jan 2012 Last Revised: 05 Oct 2017
Peter Christoffersen and Xuhui (Nick) Pan
University of Toronto - Rotman School of Management and University of Oklahoma
Downloads 90 (286,296)
Citation 5

Abstract:

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State price density; macroeconomic condition; crude oil; risk aversion