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Lai Xu

Lai Xu

Assistant Professor of Finance

Room: 521
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Ph D, Duke University (Economics)



Working Papers
  • "Information-Driven Volatility", (with Ai, H., Han, L.)
Selected Publications
  • "The Cross Section of monetary policy announcement premium", Journal of Financial Economics, 143(1), 247-276, 2022 (with Ai, H., Pan, X., Han, J.)
  • "Tail Risk Premia and Return Predictability ", Journal of Financial Economics, 118, 113-134, 2015 (with Bollerslev, T., Todorov, V.)
  • "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence", Journal of Financial and Quantitative Analysis, 49(3), 633-661, 2014 (with Bollerslev, T., Marrone, J., Zhou, H.)
  • "Stock Return and Cash Flow Predictability: The Role of Volatility Risk", Journal of Econometrics, 187(2), 458-471, 2014 (with Bollerslev, T., Zhou, H.)
  • "Oil Volatility Risk", Journal of Financial Economics (with Lin, G., Hitzemann, S., Shaliastovich, I.)

Awards and Honors

  • Dean’s Citation for Research - Whitman School of Management (2021)
  • Whitman Guttag Jr. Award, 2018 - Whitman School of Management (2018)