Dr. Xiaoxia Ye 叶晓夏 博士

Associate Professor (Senior Lecturer) of Finance

Accepting Ph.D. students

Full Ph.D. scholarship is available. Get in contact if you are technically strong, detail-oriented, and interested in the following areas:

  1. Textual analysis and machine learning applications in asset pricing

  2. Fixed income markets

  3. Derivative pricing

Updates:

  • My paper with David Newton, Emmanouil Platanakis, Dimitrios Stafylas and Charles Sutcliffe 'Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach' is now accepted to the British Accounting Review. The forthcoming version can be read here (Mar 22, 2021)

  • My paper with Emmanouil Platanakis and Charles Sutcliffe "Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection" is now accepted to European Journal of Operational Research. The forthcoming version can be read here (May 22, 2020)

  • My paper with Haitao Li and Fan Yu "Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective" is now accepted to European Journal of Operational Research. The forthcoming version can be read here (Apr 08, 2020)

  • My paper with Van Son Lai "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?" is now accepted to Journal of Money, Credit and Banking. The forthcoming version can be read here (Aug 01, 2019)

  • My paper with Robert Jarrow, Haitao Li and May Hu "Exploring Mispricing in the Term Structure of CDS Spreads" is now accepted to Review of Finance. The forthcoming version can be read here (Mar 14, 2018)

  • My paper with Albert Lee Chun, Ethan Namvar, and Fan Yu "Modeling Municipal Yields with (and without) Bond Insurance" is now accepted to Management Science. The forthcoming version can be read here (Nov 07, 2017)

  • Data of term premium term structure for the US, UK, and Japan are now available here. (Mar 18, 2017)

  • Data page for Ye (2015) is now available here. The term premium estimates based on Ye (2015) will be updated quarterly on the page. (Oct 6, 2016)