All Outputs (7)

The Trade Imbalance Network and Currency Returns (2025)
Journal Article
Hou, A. J., Sarno, L., & Ye, X. (2025). The Trade Imbalance Network and Currency Returns. Journal of Financial Economics, 172, Article 104112. https://doi.org/10.1016/j.jfineco.2025.104112

We introduce in the theory of Gabaix and Maggiori (2015) a network structure to capture the complexity of the balance sheets of financial intermediaries, using the Leontief inverse-based centrality. We use this framework in a multi-country world with... Read More about The Trade Imbalance Network and Currency Returns.

Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums (2025)
Journal Article
Imerman, M. B., Ye, X., & Zhao, R. (2025). Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums. Journal of Corporate Finance, 94, Article 102831. https://doi.org/10.1016/j.jcorpfin.2025.102831

We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a structural model, in which climate-related disclosures serve as an information
source reducing climate change uncertainty. The model predi... Read More about Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums.

Corporate Diversification and Debt Maturity (2025)
Journal Article
Onali, E., & Ye, X. (in press). Corporate Diversification and Debt Maturity. Journal of Financial and Quantitative Analysis,

We are the first to study the interplay between corporate diversification and debt maturity, both theoretically and empirically. Our models predict that diversification mitigates the debt-overhang problem, making long-term debt more attractive in the... Read More about Corporate Diversification and Debt Maturity.

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. (2025). Illiquidity, R&D Investment, and Stock Returns. Journal of Money, Credit and Banking, 57(4), 981-1022. 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.