Outputs (4)

Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility? (2024)
Journal Article
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. https://doi.org/10.1016/j.ijforecast.2024.04.005

This paper explores whether the dispersion in forecasted crude oil prices from the European Central Bank Survey of Professional Forecasters can provide insights for predicting crude oil return volatility. It is well-documented that higher disagreemen... Read More about Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?.

On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing (2023)
Journal Article
Han, W., Newton, D., Platanakis, E., Sutcliffe, C., & Ye, X. (2024). On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing. European Financial Management, 30(3), 1125-1164. https://doi.org/10.1111/eufm.12431

Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about the return distribution or degree of risk aversion. From 29 long–short c... Read More about On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing.

Illiquidity, R&D Investment, and Stock Returns (2023)
Journal Article
Ahmed, S., Bu, Z., & Ye, X. (2023). Illiquidity, R&D Investment, and Stock Returns. Journal of Money, Credit and Banking, https://doi.org/10.1111/jmcb.13053

We propose a dynamic model of research and development (R&D) venture, which predicts that the positive relation between the firm's R&D investment and the expected stock returns strengthens with illiquidity. Consistent with the model's prediction, emp... Read More about Illiquidity, R&D Investment, and Stock Returns.

Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns (2023)
Journal Article
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. https://doi.org/10.1093/rapstu/raad001

This paper explores the impact of product market competition on the positive relation between labor mobility (LM) and future returns.We develop a production-based model and formalize the intuition that low exposure to systematic risk in a concentrate... Read More about Product Market Competition, Labor Mobility, and the Cross-Section of Stock Returns.