Xuhui Pan
University of Oklahoma
16 Papers
58 Citations
Xuhui Pan is an academic researcher from University of Oklahoma. The author has contributed to research in topics: Volatility (finance) & Futures contract. The author has an hindex of 7, co-authored 14 publications. Previous affiliations of Xuhui Pan include Tulane University.
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Papers
Oil Volatility Risk and Expected Stock Returns
Peter Christoffersen,Xuhui Pan +1 more
TL;DR: This paper found that increases in oil price uncertainty predict tightening funding constraints of financial intermediaries suggesting a link between oil volatility risk and the stock market, and that stocks' exposure to oil volatility risks now drives the cross-section of expected returns.
The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads
TL;DR: In this article, the authors estimate recovery rates from CDS spreads, using three years of daily data on 152 corporates, using a quadratic pricing model which ensures nonnegative default probabilities and recovery rates.
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•Posted Content
Equity Portfolio Management Using Option Price Information
Peter Christoffersen,Xuhui Pan +1 more
TL;DR: The authors survey the recent academic literature that uses option-implied information to construct equity portfolios and show that using information in individual equity options, exposure to information in market index options, and exposure to crude oil option information can also help construct better mean-variance portfolios and better estimates of market beta.
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Oil Volatility Risk and Expected Stock Returns
TL;DR: This article showed that stocks' exposure to oil volatility risk now drives the cross-section of expected returns and that the difference in average return between the quintile of stocks with low exposure and high exposure to volatility is significant at 066% per month.
24
•Posted Content
Oil Volatility Risk and Expected Stock Returns
Peter Christoffersen,Xuhui Pan +1 more
TL;DR: In this paper, the authors show that the difference in average return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per monthly.
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