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)
- Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (Journal article - 2021)
- Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective (Journal article - 2020)
2025
Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?
Hasselgren, A., Hou, A. J., Suardi, S., Xu, C., & Ye, X. (2025). Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?. International Journal of Forecasting, 41(1), 141-152. doi:10.1016/j.ijforecast.2024.04.005
2024
On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
Han, W., Newton, D., Platanakis, E., Sutcliffe, C., & Ye, X. (2023). On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing. EUROPEAN FINANCIAL MANAGEMENT. doi:10.1111/eufm.12431
2023
Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns
Ahmed, S., Bu, Z., & Ye, X. (2023). Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns. REVIEW OF ASSET PRICING STUDIES, 13(3), 440-480. doi:10.1093/rapstu/raad001
Illiquidity, R&D investment, and stock returns
Ahmed, S., Bu, Z., & Ye, X. (2023). Illiquidity, R&D investment, and stock returns. Journal of Money, Credit and Banking. doi:10.1111/jmcb.13053
2022
Credit Derivatives and Corporate Default Prediction
Ye, X., Yu, F., & Zhao, R. (2022). Credit Derivatives and Corporate Default Prediction. Journal of Banking & Finance, 106418. doi:10.1016/j.jbankfin.2022.106418
2021
Hedge Fund Strategies, Performance Diversification: A Portfolio Theory & Stochastic Discount Factor Approach
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
Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection
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
2020
How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?
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
How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?
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
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
Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective
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
2019
Modeling Municipal Yields With (and Without) Bond Insurance
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
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?
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
Luo, J., & Ye, X. (2018). Term Structure, Market Expectations of the Short Rate, and Expected Inflation. In Contributions to Management Science (pp. 3-34). Springer International Publishing. doi:10.1007/978-3-319-95285-7_1
Term structure, market expectations of the short rate, and expected inflation
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
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
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
2015
A New Approach to Measuring Market Expectations and Term Premia
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