Xiaoxia Ye

University of Liverpool Management School

Chatham Street

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

17

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Top 13,003

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4,448

SSRN CITATIONS
Rank 44,809

SSRN RANKINGS

Top 44,809

in Total Papers Citations

9

CROSSREF CITATIONS

6

Scholarly Papers (17)

1.

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

European Journal of Operational Research, Forthcoming
Number of pages: 45 Posted: 14 May 2019 Last Revised: 26 May 2020
University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 1,758 (11,209)
Citation 1

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Investment analysis, asset allocation, stock selection, mean-variance, naive diversification, portfolio theory

2.

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

Number of pages: 59 Posted: 03 Jun 2019 Last Revised: 12 Mar 2021
University of Bath - School of Management, University of Bath - School of Management, University of York - The York Management School, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 1,122 (22,449)

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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors; regimes

3.

Exploring Mispricing in the Term Structure of CDS Spreads

Forthcoming, Review of Finance
Number of pages: 104 Posted: 06 Nov 2015 Last Revised: 01 Aug 2019
Robert A. Jarrow, Haitao Li, Xiaoxia Ye and May Hu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Liverpool Management School and Deakin University
Downloads 650 (48,069)
Citation 9

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Credit default swaps, mispricing, statistical arbitrage, affine models, market-neutral strategy, hedge funds

4.

How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?

Forthcoming, Journal of Money, Credit and Banking
Number of pages: 74 Posted: 10 Dec 2014 Last Revised: 03 Aug 2019
Van Son Lai and Xiaoxia Ye
Université Laval and University of Liverpool Management School
Downloads 223 (162,987)

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Bank regulatory closure rules or policy parameter, bank insolvency, regulatory forbearance, market-based closure rules, financial crises

5.

Modeling Municipal Yields with (and without) Bond Insurance

Forthcoming, Management Science, Claremont McKenna College Robert Day School of Economics and Finance Research Paper
Number of pages: 61 Posted: 12 Oct 2015 Last Revised: 30 Oct 2018
University of Queensland - Business School, University of California, Berkeley - Haas School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 167 (211,537)
Citation 3

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Municipal bonds; bond insurance; monoline; default risk; liquidity risk; term structure modeling

6.

Counter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market

Forthcoming in International Review of Finance
Number of pages: 72 Posted: 17 Jan 2014 Last Revised: 16 Jan 2016
Jian Luo, Xiaoxia Ye and May Hu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), University of Liverpool Management School and Deakin University
Downloads 114 (285,488)

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China’s Corporate Bond Market, Credit Risk, Term Structure of Yields

7.

Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns

Number of pages: 62 Posted: 27 May 2020 Last Revised: 28 Mar 2021
Shamim Ahmed, Ziwen Bu and Xiaoxia Ye
University of Liverpool Management School, University of Birmingham - Birmingham Business School and University of Liverpool Management School
Downloads 94 (324,985)

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Labor mobility; Product market competition; Risk premium; Stock returns

8.

Illiquidity, R&D Investment, and Stock Returns

Number of pages: 90 Posted: 02 Oct 2020
Shamim Ahmed, Ziwen Bu and Xiaoxia Ye
University of Liverpool Management School, University of Birmingham - Birmingham Business School and University of Liverpool Management School
Downloads 84 (348,472)

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Illiquidity; Research and Development Investment; Risk Premium; Stock Returns

9.

Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective

Forthcoming, European Journal of Operational Research
Number of pages: 43 Posted: 04 Aug 2016 Last Revised: 13 Apr 2020
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 75 (372,213)
Citation 1

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Gaussian Dynamic Term Structure Models, HJM, Finite Dimensional Realizations, Interest Rate Derivatives

10.

Credit Derivatives and Corporate Default Prediction

Number of pages: 41 Posted: 12 May 2020
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Liverpool Management School, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 60 (418,659)

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Credit default swap, corporate default prediction, default risk, CDS liquidity

11.

Applying Linear Realization Theory to HJM Markovian Representation

Posted: 16 Sep 2009
Xiaoxia Ye
University of Liverpool Management School
Downloads 54 (439,929)

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HJM, Finite Dimensional Realization, Markovian Representation, Hump shape volatility, Linear Realization Theory, State Space framework, Kalman Filter

12.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 58 Posted: 19 Feb 2021
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 29 (552,553)

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uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta

13.

Are Market Views on Banking Industry Useful for Forecasting Economic Growth?

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 33 Posted: 18 Nov 2018
Van Son Lai, Xiaoxia Ye and Lu Zhao
Université Laval, University of Liverpool Management School and Stockholm University - Stockholm Business School
Downloads 18 (622,975)

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Bank regulation, Regulatory forbearance, Forecasting, Economic growth

14.

Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market

International Review of Finance, Vol. 16, Issue 2, pp. 203-241, 2016
Number of pages: 39 Posted: 03 Jun 2016
Jian Luo, Xiaoxia Ye and May Hu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), University of Liverpool Management School and Deakin University
Downloads 0 (774,326)
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15.

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

Posted: 02 Oct 2012 Last Revised: 24 Feb 2019
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance

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Non-Markov; Gaussian Dynamic Term Structure Models; Excess Returns; International Bond Markets; Moving Averages; Forecasting

16.

A New Approach to Measuring Market Expectations and Term Premia

Journal of Fixed Income, Spring 2015, Vol. 24, No. 4: pp. 22-46
Posted: 27 Aug 2012 Last Revised: 21 Feb 2017
Xiaoxia Ye
University of Liverpool Management School

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term structure of interest rates, market expectations, short rate, LSAP, MEP, QE3

17.

Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets

Number of pages: 54
Charlie X. Cai, May Hu and Xiaoxia Ye
University of Liverpool Management School, RMIT University and University of Liverpool Management School
Downloads 0

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CDS, cross-autocorrelation, VAR, global credit network, risk transmission, contagion risk, network centrality