
Dr Xiaoxia Ye PhD
Senior Lecturer in Finance Finance and Accounting
- +44 (0)151 795 7638
- Work email Xiaoxia.Ye@liverpool.ac.uk
- Personal WebsitePersonal website
- About
- Research
- Publications
- Teaching
- Professional Activities
Publications
Selected Publications
- Modeling Municipal Yields With (and Without) Bond Insurance (Journal article - 2019)
- Exploring Mispricing in the Term Structure of CDS Spreads (Journal article - 2019)
- How Does the Stock Market View Bank Regulatory Capital Forbearance Policies? (Journal article - 2020)
- Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective (Journal article - 2020)
- Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (Journal article - 2020)
- A New Approach to Measuring Market Expectations and Term Premia (Journal article - 2015)
- Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market (Journal article - 2016)
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
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
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
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
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
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
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
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
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
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
- About
- Research
- Publications
- Teaching
- Professional Activities