Yexiao Xu

Associate Professor - Management
ixyxi@utdallas.edu
972-883-6703
SOM14509
Tags: Financial & Managerial Economics

Professional Preparation

Ph.D. - Economics
Princeton University - 1996
M.A. - Economics
Princeton University - 1994
M.S. - Electrical and Computer Engineering
Brigham Young University - 1992

Research Areas

Major Fields of Interest
  • Theoretical and Empirical Asset Pricing
  • Investment and Portfolio Theory
  • Econometrics
Teaching Experience

Associate Professor of Finance
    Graduate Courses:
                                        Ph.D. Seminar in Theoretical Asset PriCing
                                        Ph.D. Seminar in Empirical Asset Pricing
                                        Advanced Econometrics
                                        Investment Management
                                        Financial Management
                                        Econometrics

    Undergraduate Course:

                                         Business Finance

 
Professional Experience

Consultant for a private equity investment company, 2005

  • Develop volatility models

Consultant for Alfred I. duPont Trust, June - December 1993

  • Portfolio Management and Performance Evaluation

Consultant for Ford Motor Company, May - December 1993

  • Asset Evaluation

Research Assistant for Professor Burton G. Malkiel, Princeton University, September 1992,
            June - September 1993, June - September 1994, June - September 1995

Research Assistant for Professor James B. McDonald, Brigham Young University,
           December 1990 - July 1992

 

Publications

Tianbing Xia, “RNA Conformational Dynamics: Perspectives from Ultrafast Spectroscopy”, in “Ultrafast Biomolecular Dynamics at the Nanoscale”, ed. Stefan Haacke and Irene Burghardt (Coming in 2012, Pan Stanford Publishing). forthcoming - Publication
"Unique Symptoms of Japanese Stagnation: An Equity Market Perspective," (with Yasushi Hamao and Jianping Mei), Journal 0f Money, Credit, and Banking, forthcoming Forthcoming - Publication
“Predictability of Asset Prices,” in Encyclopedia of Quantitative Finance, R. Cont, ed., John Wiley & Son, Chichester, 2010 2010 - Publication
“Unique Symptoms of Japanese Stagnation: An Equity Market Perspective,” (with Yasushi Hamao and Jianping Mei), Journal of Money, Credit, and Banking, Vol. 39, No. 4 (2007), pp 901-924 (Citation: 11 (SCI), 33 (Google)) 2007 - Publication
"What Determines Chinese Stock Returns?" (with Fenghua Wang), Financial Analyst Journal, Vol. 60, No.6, pp 65-77 2005 - Publication
"Small Levels of Predictability and Large Economic Gains;' Journal 0f Empirical Finance, Vol. 11, No.2 (2004), pp 247-275 2004 - Publication
"Investigating the Behavior ofIdiosyncratic Volatility," (with Burton G. Malkiel), Journal 0f Business, Vol. 76, No.4 (2003), pp 613-644 2003 - Publication
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" (with John Campbell, Martin Lettau, and Burton G. Malkiel), Journal 0/ Finance, (lead article) Vol. 56 (2001), pp. 1-46, cited on Bloomberg Financial, Business Week, Economic Intuition, Financial Times, Fortune Magazine, Money Magazine, New York Times, and The Wall Street Journal, winner of the Smith-Breeden Prize/or 2001 for the best paper published in the Journal of Finance. 2001 - Publication
"Identifying the Factor Structure of Equity Returns" (with Larry 1. Merville and Suzanne Hayes-Yelken), Journal 0f Portfolio Management, Vol. 27, No.4 (2001), pp. 51-61 2001 - Publication
"Biases in Using Jensen's Alpha," in C. F. Lee (edt), Advances in Investment Analysis and Portfolio Management, Vol. 8 (2001), Amsterdam: Elsevier Science, pp. 161-182 2001 - Publication

Appointments

Senior Financial Economist
Shanghai Stock Exchange [2003–2018]
Associate Professor
The University of Texas at Dallas [2002–Present]
Assistant Professor
The University of Texas at Dallas [1996–2002]

Additional Information

Work in Progress
  • "Are All Index Fund Equal?" (with Ted Day and Mark LapLante), School of Management, The University of Texas at Dallas
  • "Does Information Flow Freely? -- Evidence from ADRs" (with Harold Zhang and Xin Zhou), School of Management, The University of Texas at Dallas
  • "The Role of Net Repurchasing in an Asset Pricing Model" (with Lin Zou), School of Management, The University of Texas at Dallas
  • "The Predictive Power of Expected versus Unexpected Components in Predictors" (with Nina Baranchuk), School of Management, The University of Texas at Dallas
  • "Time-varying Alpha and Asset Allocation" (with Nina Baranchuk and Yiyu Shen), School of Management, The University of Texas at Dallas
  • "Understanding Corporate Governance and Equity Prices - Cash Flows versus Risk" (with Zhonglan Dai), School of Management, The University of Texas at Dallas  
Academic Honors
  • Winner of the Best Paper Award, 2010 Asian Finance Association, July 2010) 
  • Winner of the Best Paper Award (2nd place), The 17th SFM Conference, December 2009 
  • Winner of the Smith-Breeden Prize for 2001 for the best paper published in the Journal of Finance
  • Princeton University Fellowship, September 1992 - 1996 
  • Brigham Young University Scholarship, September 1989 - July 1992 
  • High Distinguished Graduate Student, June 1991
Professional Activities and Presentations
  • Invited speech, China Finance Review International Conference, Shanghai, July 2010 
  • Session chair, China International Conference in Finance, Beijing, July 2010 
  • Paper presentation, 2010 Asian Finance Association Conference, July 2010 (Winner of the Best Paper Award) 
  • Paper presentation, The 17th SFM Conference, December 2009 (Winner of the Best Paper Award, 2nd place) 
  • Paper presentation, National Chengchi University, December 2009 
  • Invited speech, China Finance Review International Conference, Shanghai, July 2009 
  • Session chair, China International Conference in Finance, GuangZhou, July 2009 
  • Session chair, Asian Finance Association, Brisbane, July 2009 
  •  Paper presentation, Western Finance Association Conference, San Diego, June 2009 
  • Program committee member, Asia FMA, Xiamen, May 2009 
  • Session chair, FMA, Grapevine, October 2008 
  • Paper presentation, Peking University, December 2008 
  • Paper presentation, Xiamen University, December 2008 
  • Paper presentation, Asian FA-NFA, Yokohama, July 2008 
  • Paper presentation, China International Conference in Finance, Dalian, July 2008 
  • Paper presentation, Nanjing University, April 2008 
  •  Paper presentation, American Finance Association Conference, New Orleans, January 2008 
  •  Paper presentation, The University of Tokyo, December 2007 
  •  Paper presentation, Nomura Securities, Tokyo, December 2007 
  •  Paper presentation, The University of Okalahoma, September 2007 
  • Paper presentation, International Conference on Behavioral Finance and Chinese Finance, Shanghai, July 2007
  • Paper presentation, China International Conference in Finance, Chengdu, July 2007
  • Discussant, Southern Economics Association Conference, Charleston, November 2006
  • Paper presentation, China Financial Research Conference, Kunming, July 2005
  • Paper presentation, Asia Financial Management Association Conference, Taipei, July 2004
  • Paper presentation, University of Hong Kong, July 2004
  • Discussant, American Finance Association Conference, San Diego, January 2004
  • Paper presentation, City University of Hong Kong, October 2003
  • Paper presentation, Hong Kong University of Science and Technology, August 2003
  • Paper presentations, Shanghai Stock Exchange, Shanghai, July 2003
  • Paper presentations, Shanghai Stock Exchange, Shanghai, August 2003
  • Paper presentation, Financial Management Association Conference, San Antonio, October 2002
  • Paper presentation, SMU, Dallas, September 2002
  • Paper presentation, Shenzhen Stock Exchange, Shenzhen, July 2002
  • Paper presentation, Hong Kong Polytechnic University, July 2002
  • Paper presentation, the First Center for Financial Research Conference, Beijing, July 2002
  • Paper presentation, Shanghai Stock Exchange, Shanghai, July 2002
  • Paper presentation, JiaoTong University, Shanghai, July 2002
  • Paper presentation, Western Finance Association Conference, Park City, June 2002
  • Paper presentation, European Financial Management Association Conference, Copenhagen, May 2002
  • Paper presentation, Hong Kong Polytechnic University, June 2001
  • Paper presentation, Hong Kong University of Science and Technology, June 2001
  • Paper presentation, The University of Kansas, January 2001
  • Paper presentation, American Finance Association Conference, New Orleans, January 2001
  • Paper presentation, Financial Management Association Conference, Seattle, October 2000
  • Smith Chair Visitor, Brigham Young University, October 2000
  • Paper presentation, American Finance Association Conference, Boston, January 2000
  • Paper presentation, Far East Econometrics Society, Singapore, July 1999
  • Paper presentation, the Second CAFR Conference, Beijing, June 1999
  • Paper presentation, the First CAFR Conference, Hong Kong, June 1999
  • Smith Chair Visitor, Brigham Young University, October 1997

News Articles

Prof's Work on Investment Risk Wins Praise of Peers
A School of Management finance professor has won two-best paper awards for research articles that advance investors' understanding of the role that risk unique to individual firms plays in the valuation of their stocks and other securities. Associate Professor Yexiao Xu and his co-authors won the Outstanding Paper Award from the Fifth International Conference on Asia-Pacific Financial Markets, which was held in Seoul, South Korea, Dec. 4. In their work “When Does Idiosyncratic Risk Really Matter?” Xu and his colleagues from China — Tony Ruan of Xiamen University and Qian Sun of Fudan University — provide new evidence linking idiosyncratic — that is, firm-specific — risk to expected future market returns.
UTD’s Dr. Yexiao Xu Wins Smith Breeden Prize For Paper on ‘Idiosyncratic Risk’ In Stock Market
RICHARDSON, Texas (Feb. 15, 2002) - Yexiao Xu, assistant professor of finance in the School of Management at The University of Texas at Dallas (UTD), has been awarded The American Finance Association’s Smith Breeden best paper prize for “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,” written with John Campbell, Martin Lettau and Burton G. Malkiel.

The Smith Breeden prizes are awarded annually for the top three papers published in The Journal of Finance. The prizewinner for the best paper is awarded $10,000 and the two prizes for distinguished papers earn $5,000 each.
Investment Theory Talk to Open Lecture Series
School of Management faculty member Yexiao Xu will discuss “Systematic Risk and Idiosyncratic Risk in Stock Investing” on Monday, Oct. 26, as part of a series of 40 public forums to mark UT Dallas’ fourth decade as a UT System institution. 

Xu’s talk, the first in the yearlong “40@40” series, will explore how conventional notions of risk and return have given way to new ideas about the importance of firm-specific risk. The talk will be held 4 p.m. in the McDermott Suite (MC 4.404).