Jinming Xue

Cox School of Business, Southern Methodist University

Assistant Professor of Finance

United States

http://sites.google.com/view/jinming-xue

SCHOLARLY PAPERS

6

DOWNLOADS

796

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Oil and Equity Return Predictability: The Importance of Dissecting Oil Price Changes

Robert H. Smith School Research Paper No. RHS 2822061, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 79 Posted: 15 Aug 2016 Last Revised: 08 Nov 2018
Tulane University - A.B. Freeman School of BusinessESG UQAM, University of British Columbia (UBC) - Division of Finance and Cox School of Business, Southern Methodist University
Downloads 233 (170,781)
Citation 4

Abstract:

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Equity Return Predictability; Structural VAR Model; Oil Price Change Decomposition; Oil Supply Shock; Global Demand Shock; Oil-Speci

2.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming
Number of pages: 46 Posted: 16 Dec 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Cox School of Business, Southern Methodist University
Downloads 191 (206,447)

Abstract:

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VIX futures curve, stochastic orders, hedging instruments, contango

3.

Measuring Liquidity Provision by Customers in Corporate Bond Markets: Evidence from 54 Million Transactions

Paris December 2019 Finance Meeting EUROFIDAI
Number of pages: 73 Posted: 29 Oct 2019 Last Revised: 26 Dec 2019
Jinming Xue
Cox School of Business, Southern Methodist University
Downloads 143 (262,335)

Abstract:

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corporate bond; customer liquidity provision; structural vector autoregression; sign restrictions

4.

Recovery

Fox School of Business Research Paper Forthcoming
Number of pages: 44 Posted: 23 Nov 2019 Last Revised: 22 Sep 2020
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Cox School of Business, Southern Methodist University
Downloads 139 (268,210)

Abstract:

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recovery

5.

An Approach to Measure the Expectation of Generic Functions of the Market Return

Number of pages: 59 Posted: 11 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, Fox School of Business, Temple University and Cox School of Business, Southern Methodist University
Downloads 84 (378,540)

Abstract:

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Expected market return; Disaster probabilities; Girsanov theorem; Equity index options

6.

"Buy the Rumor, Sell the News": Liquidity Provision by Bond Funds Following Corporate News Events

Number of pages: 42
Alan Guoming Huang, Russ Wermers and Jinming Xue
University of Waterloo, University of Maryland - Robert H. Smith School of Business and Cox School of Business, Southern Methodist University
Downloads 6

Abstract:

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