Information about:
Xinzhong Xu

Other registered authors

Email:
Homepage:
Postal Address:
Phone:

Affiliation

• Guanghua School of Management
  Peking University

  Location: Beijing, China
  Homepage: http://www.gsm.pku.edu.cn/
  Email:
  Phone:
  Fax:
  Postal:
  Handle: RePEc:edi:gspkucn (registered authors at this institution)

Working papers

1. Michael Brennan & H. Cao & Norman Strong & Xinzhong Xu, 2003. "The Dynamics of International Equity Market Expectations," University of California at Los Angeles, Anderson Graduate School of Management 1135, Anderson Graduate School of Management, UCLA. [Downloadable!]
   Published as:
   • Brennan, Michael J. & Henry Cao, H. & Strong, Norman & Xu, Xinzhong, 2005. "The dynamics of international equity market expectations," Journal of Financial Economics, Elsevier, vol. 77(2), pages 257-288, August. [Downloadable!] (restricted)

1. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May. [Downloadable!] (restricted)

2. Brennan, Michael J. & Henry Cao, H. & Strong, Norman & Xu, Xinzhong, 2005. "The dynamics of international equity market expectations," Journal of Financial Economics, Elsevier, vol. 77(2), pages 257-288, August. [Downloadable!] (restricted)
   Other versions:
   • Michael Brennan & H. Cao & Norman Strong & Xinzhong Xu, 2003. "The Dynamics of International Equity Market Expectations," University of California at Los Angeles, Anderson Graduate School of Management 1135, Anderson Graduate School of Management, UCLA. [Downloadable!]

3. Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October. [Downloadable!] (restricted)

4. Daniel Chi-Hsiou Hung & Mark Shackleton & Xinzhong Xu, 2004. "CAPM, Higher Co-moment and Factor Models of UK Stock Returns," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 31(1-2), pages 87-112. [Downloadable!] (restricted)

5. Weimin Liu & Norman Strong & Xinzhong Xu, 2003. "Post-earnings-announcement Drift in the UK," European Financial Management, Blackwell Publishing Ltd, vol. 9(1), pages 89-116. [Downloadable!] (restricted)

6. Norman Strong & Xinzhong Xu, 2003. "Understanding the Equity Home Bias: Evidence from Survey Data," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 307-312, 03. [Downloadable!] (restricted)

7. Weimin Lui & Norman Strong & Xinzhong Xu, 1999. "The Profitability of Momentum Investing," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 26(9-10), pages 1043-1091. [Downloadable!] (restricted)

8. Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 317-340, December. [Downloadable!] (restricted)

9. Xu, Xinzhong & Taylor, Stephen J., 1995. "Conditional volatility and the informational efficiency of the PHLX currency options market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 803-821, August. [Downloadable!] (restricted)

10. Xu, Xinzhong & Taylor, Stephen J., 1994. "The Term Structure of Volatility Implied by Foreign Exchange Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 57-74, March. [Downloadable!]

1. NEP-FIN: Finance (1) 2004-05-09 Author is listed
2. NEP-FMK: Financial Markets (1) 2004-05-09 Author is listed

This page was last updated on 2009-10-26.