Xuhui (Nick) Pan

University of Oklahoma

307 W Brooks

Norman, OK 73019

United States

SCHOLARLY PAPERS

9

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Rank 18,879

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Top 18,879

in Total Papers Downloads

2,772

SSRN CITATIONS
Rank 36,916

SSRN RANKINGS

Top 36,916

in Total Papers Citations

10

CROSSREF CITATIONS

8

Scholarly Papers (9)

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 752 (35,547)
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 496 (61,123)
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 466 (66,037)
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 415 (76,035)
Citation 2

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

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 197 (166,770)

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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, mutualā€fund performance, mutual funds

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 94 (300,269)

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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 74 (348,202)

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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: 54 Posted: 01 Mar 2019 Last Revised: 15 Jan 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 163 (197,361)
Citation 5

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FOMC Announcement, Implied Variance, Cross Section, 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 102 (282,640)
Citation 5

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

9.

Explaining the Idiosyncratic Volatility Puzzle With a Bayesian-Updating Model

Number of pages: 69 Posted: 07 May 2020
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 13 (607,551)

Abstract:

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Idiosyncratic Volatility Puzzle, Bayesian Updating, Signal Precision