Yan Xu

HKU, Faculty of Business and Economics

Pok Fu Lam Road

Hong Kong

Hong Kong

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 8,777

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6,919

SSRN CITATIONS
Rank 9,692

SSRN RANKINGS

Top 9,692

in Total Papers Citations

118

CROSSREF CITATIONS

13

Scholarly Papers (13)

1.

Financial Development and Innovation: Cross-Country Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 23 Jan 2011 Last Revised: 26 Oct 2021
Po-Hsuan Hsu, Xuan Tian and Yan Xu
National Tsing Hua University - Department of Quantitative Finance, Tsinghua University - PBC School of Finance and HKU, Faculty of Business and Economics
Downloads 1,828 (11,595)
Citation 50

Abstract:

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financial development; innovation; external finance dependence; high-tech intensiveness

2.

What Affects Innovation More: Policy or Policy Uncertainty?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 58 Posted: 18 Dec 2013 Last Revised: 13 Aug 2017
HKUST Business School, National Tsing Hua University - Department of Quantitative Finance, Tsinghua University - PBC School of Finance and HKU, Faculty of Business and Economics
Downloads 1,444 (16,827)
Citation 24

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Innovation, Policy uncertainty, Policy, Political party

The Asset Growth Effect: Insights from International Equity Markets

Number of pages: 58 Posted: 16 Mar 2011 Last Revised: 27 Jan 2013
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 889 (33,615)
Citation 34

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asset growth effect, investment-based asset pricing, international capital market

The Asset Growth Effect: Insights from International Equity Markets

Journal of Financial Economics (JFE), Volume 108, Issue 2, May 2013, Pages 529-563, University of Alberta School of Business Research Paper No. 2013-913
Posted: 21 Feb 2013 Last Revised: 14 Jun 2013
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

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asset growth effect, international stock markets

4.

Strategic Disclosure and Stock Returns: Theory and Evidence from U.S. Cross-Listing

Review of Financial Studies, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 50 Posted: 06 Jun 2006 Last Revised: 27 Jan 2013
University of Rhode Island - College of Business Administration, University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 698 (47,446)

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Strategic disclosure, international financial markets, ADR cross-listing, return-news decomposition, panel VAR

5.

Improving Mean Variance Optimization Through Sparse Hedging Restrictions

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 10 Nov 2013
Shingo Goto and Yan Xu
University of Rhode Island - College of Business Administration and HKU, Faculty of Business and Economics
Downloads 575 (60,903)
Citation 6

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sparse inverse covariance matrix, hedging relationships, mean variance optimizer

6.

Predicting Currency Returns and Exchange Rate Fluctuations

Number of pages: 67 Posted: 20 Jun 2018 Last Revised: 01 Oct 2019
Doron Avramov and Yan Xu
Interdisciplinary Center (IDC) Herzliyah and HKU, Faculty of Business and Economics
Downloads 377 (101,230)

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Loglinearization, Currency Market Return, Forward Premium Puzzle, Trading Strategy

7.

Attention on Volatility and Options

Number of pages: 62 Posted: 17 Sep 2013 Last Revised: 05 Apr 2017
Yan Xu, Shu Yan and Yuzhao Zhang
HKU, Faculty of Business and Economics, Oklahoma State University - Stillwater - Department of Finance and Rutgers, The State University of New Jersey - Department of Finance
Downloads 353 (108,919)

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Google search volume, investor attention, volatility, option trading, option pricing

8.

Corporate R&D and Stock Returns: International Evidence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 89 Posted: 12 Nov 2020 Last Revised: 26 Oct 2021
Ohio State University (OSU) - Department of Finance, National Tsing Hua University - Department of Quantitative Finance, Hong Kong University of Science & Technology (HKUST), University of Alberta - School of Business and HKU, Faculty of Business and Economics
Downloads 219 (178,004)
Citation 1

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R&D; Cross-section of stock returns; Innovation

9.

Enhanced Carry: Prospective Interest Rate Differential and Currency Excess Returns

Number of pages: 48 Posted: 23 Feb 2014 Last Revised: 26 Oct 2021
University of Rhode Island - College of Business Administration, Ohio State University (OSU) - Department of Finance, HKU, Faculty of Business and Economics and Rutgers, The State University of New Jersey - Department of Finance
Downloads 219 (178,768)

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prospective interest rate differential, currency risk premium, Beveridge-Nelson decomposition

10.

Free (Almost) Variance Insurance

Number of pages: 45 Posted: 15 Jul 2013 Last Revised: 23 Feb 2014
Yan Xu and Yuzhao Zhang
HKU, Faculty of Business and Economics and Rutgers, The State University of New Jersey - Department of Finance
Downloads 165 (229,089)

Abstract:

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variance risk premium, option returns

11.

Finance, Growth and Volatility

Number of pages: 61 Posted: 04 Mar 2007 Last Revised: 12 Sep 2012
Yan Xu
HKU, Faculty of Business and Economics
Downloads 144 (256,309)

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Financial development, Economic growth volatility, Granger causality

12.

Testing and Support Recovery of Correlation Structures for Matrix-Valued Observations with an Application to Stock Market Data

Journal of Econometrics, Forthcoming
Number of pages: 44 Posted: 18 Nov 2021
University of Washington, The University of Hong Kong, HKU, Faculty of Business and Economics, Fudan University - School of Management, Rutgers, The State University of New Jersey - Rutgers University and The University of Hong Kong - Faculty of Business and Economics
Downloads 8 (741,194)

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Kronecker product; Matrix sub-Gaussian distribution; Portfolio construction; Testing of non-correlation; One-sample and two-sample

13.

Strategic Disclosure and Stock Returns: Theory and Evidence from Us Cross-Listing

The Review of Financial Studies, Vol. 22, Issue 4, pp. 1585-1620, 2009
Posted: 23 Mar 2009
University of Rhode Island - College of Business Administration, University of Alberta - School of Business and HKU, Faculty of Business and Economics

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G14, G15, F30