Photo of Dr Xiaoxia Ye

Dr Xiaoxia Ye PhD

Senior Lecturer in Finance Finance and Accounting

Publications

2021

Hedge Fund Strategies, Performance Diversification: A Portfolio Theory & Stochastic Discount Factor Approach (Journal article)

Newton, D., Platanakis, E., Stafylas, D., Sutcliffe, C., & Ye, X. (2021). Hedge Fund Strategies, Performance Diversification: A Portfolio Theory & Stochastic Discount Factor Approach. The British Accounting Review, 101000. doi:10.1016/j.bar.2021.101000

DOI: 10.1016/j.bar.2021.101000

2020

How Does the Stock Market View Bank Regulatory Capital Forbearance Policies? (Journal article)

Lai, V. S., & Ye, X. (2020). How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?. Journal of Money, Credit and Banking, 52(8), 1873-1907. doi:10.1111/jmcb.12692

DOI: 10.1111/jmcb.12692

Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective (Journal article)

Li, H., Ye, X., & Yu, F. (2020). Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective. European Journal of Operational Research, 286(3), 1153-1167. doi:10.1016/j.ejor.2020.04.015

DOI: 10.1016/j.ejor.2020.04.015

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (Journal article)

Platanakis, E., Sutcliffe, C., & Ye, X. (2021). Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. European Journal of Operational Research, 288(1), 302-317. doi:10.1016/j.ejor.2020.05.043

DOI: 10.1016/j.ejor.2020.05.043

2019

Modeling Municipal Yields With (and Without) Bond Insurance (Journal article)

Chun, A. L., Namvar, E., Ye, X., & Yu, F. (2019). Modeling Municipal Yields With (and Without) Bond Insurance. Management Science, 65(8), 3449-3947. doi:10.1287/mnsc.2017.3007

DOI: 10.1287/mnsc.2017.3007

Exploring Mispricing in the Term Structure of CDS Spreads (Journal article)

Jarrow, R., Li, H., Ye, X., & Hu, M. (2019). Exploring Mispricing in the Term Structure of CDS Spreads. Review of Finance, 23(1), 161-198. doi:10.1093/rof/rfy014

DOI: 10.1093/rof/rfy014

2018

Are Market Views on Banking Industry Useful for Forecasting Economic Growth? (Journal article)

Lai, V. S., Ye, X., & Zhao, L. (2018). Are Market Views on Banking Industry Useful for Forecasting Economic Growth?. Pacific-Basin Finance Journal. doi:10.1016/j.pacfin.2018.10.011

DOI: 10.1016/j.pacfin.2018.10.011

Term structure, market expectations of the short rate, and expected inflation (Chapter)

Luo, J., & Ye, X. (2018). Term structure, market expectations of the short rate, and expected inflation. In Contributions to Management Science (pp. 3-34). doi:10.1007/978-3-319-95285-7_1

DOI: 10.1007/978-3-319-95285-7_1

2016

Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market (Journal article)

Luo, J., Ye, X., & Hu, M. (2016). Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market. INTERNATIONAL REVIEW OF FINANCE, 16(2), 203-241. doi:10.1111/irfi.12079

DOI: 10.1111/irfi.12079

Optimizing enterprise risk management: a literature review and critical analysis of the work of Wu and Olson (Journal article)

Choi, Y., Ye, X., Zhao, L., & Luo, A. C. (2016). Optimizing enterprise risk management: a literature review and critical analysis of the work of Wu and Olson. ANNALS OF OPERATIONS RESEARCH, 237(1-2), 281-300. doi:10.1007/s10479-015-1789-5

DOI: 10.1007/s10479-015-1789-5

2015

A New Approach to Measuring Market Expectations and Term Premia (Journal article)

Ye, X. (2015). A New Approach to Measuring Market Expectations and Term Premia. The Journal of Fixed Income, 24(4), 22-46. doi:10.3905/jfi.2015.24.4.022

DOI: 10.3905/jfi.2015.24.4.022