University of Exeter Business School

Professor Xiaoxia Ye

Professor Xiaoxia Ye

Associate Professor of Finance

 X.Ye@exeter.ac.uk

 Streatham Court 

 

Streatham Court, University of Exeter, Rennes Drive, Exeter, EX4 4PU, UK

Overview

Prof. Xiaoxia Ye’s main research area is broadly within asset pricing with specific interests in fixed income markets, banking and statistical arbitrage. His research work has been published in Management Science, Review of Finance, Journal of Money, Credit and Banking, European Journal of Operational Research, among others.

Prior to joining University of Exeter Business School, he had worked at the University of Liverpool, University of Bradford, Stockholm University and the National University of Singapore. He holds a PhD in Finance from Xiamen University Wang Yanan Institute for Studies in Economics and was a visiting research scholar at University of Michigan Ross School of Business during his PhD study. More details of his research can be found on his personal website

Qualifications

PhD in Finance, Fellow of the Higher Education Academy

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Research

Research interests

  • Empirical and Theoretical Asset Pricing
  • Fixed Income Markets
  • Banking and Monetary Economics

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Publications

Journal articles

Hasselgren A, Hou AJ, Suardi S, Xu C, Ye X (In Press). Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?. International Journal of Forecasting Abstract.
AHMED S, BU Z, YE X (2023). Illiquidity, R&D Investment, and Stock Returns. Journal of money credit and banking
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 Abstract.
Ahmed S, Bu Z, Ye X (2023). Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns. The Review of Asset Pricing Studies
Ye X, Yu F, Zhao R (2022). Credit derivatives and corporate default prediction. Journal of Banking & Finance, 138
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, 53(5).
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.
LAI VS, YE X (2020). How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?. Journal of money credit and banking, 52(8), 1873-1907.
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.
Van Son Lai, Ye X, Zhao L (2019). Are market views on banking industry useful for forecasting economic growth?. Pacific-Basin Finance Journal, 57
Chun AL, Namvar E, Ye X, Yu F (2019). Modeling Municipal Yields with (and Without) Bond Insurance. Management Science, 65(8), 3694-3713.
Jarrow R, Li H, Ye X, Hu M (2018). Exploring Mispricing in the Term Structure of CDS Spreads. Review of Finance, 23(1), 161-198.
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.  Author URL.
Choi Y, Ye X, Zhao L, Luo AC (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.  Author URL.
Ye X (2015). A New Approach to Measuring Market Expectations and Term Premia. The Journal of Fixed Income, 24(4), 22-46.

Chapters

Luo J, Ye X (2018). Term Structure, Market Expectations of the Short Rate, and Expected Inflation. In  (Ed) New Methods in Fixed Income Modeling Fixed Income Modeling, Springer. Abstract.

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