Author Page for Xuhui (Nick) Pan

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 781 (41,690)

Citation 4

Abstract:

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 527 (69,410)

Citation 7

Abstract:

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 485 (76,815)

Citation 1

Abstract:

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 460 (81,951)

Citation 3

Abstract:

5.

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 Minnesota - Carlson School of Managementaffiliation not provided to SSRN, Boston University - Questrom School of Business, University of Oklahoma and Syracuse University

Downloads 423 (90,319)

Citation 6

Abstract:

6.

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

Downloads 222 (178,852)

2

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 222 (178,455)

Abstract:

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 - College of Business

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7.

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 213 (185,946)

Citation 6

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8.

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

Downloads 197 (199,812)

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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 107 (326,542)

Abstract:

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 90 (366,012)

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9.

Explaining the idiosyncratic volatility puzzle with an incomplete information model

Number of pages: 54 Posted: 07 May 2020 Last Revised: 24 Nov 2021

Xuhui (Nick) Pan, Bharat Raj Parajuli and Petra Sinagl

University of Oklahoma, Monash University and University of Iowa - Department of Finance

Downloads 78 (395,350)

Xuhui (Nick) Pan

University of Oklahoma

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Scholarly Papers (9)

Oil Volatility Risk and Expected Stock Returns

Abstract:

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

Abstract:

Equity Portfolio Management Using Option Price Information

Abstract:

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

Abstract:

The Cross Section of Monetary Policy Announcement Premium

Abstract:

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

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

Abstract:

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

Abstract:

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

Abstract:

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

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

Abstract:

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

Abstract:

Explaining the idiosyncratic volatility puzzle with an incomplete information model

Abstract: