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Lai Xu

Lai Xu

Assistant Professor of Finance

Room: 521
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PhD, Duke University (Economics)
MA, Duke University (Economics)
BA, Zhejiang University (Economics)

Research Topics

  • Asset Pricing
  • Financial Econometrics
  • Time Series Econometrics
  • Macro-Finance

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 and Cash Flow Predictability: The Role of Volatility Risk", Journal of Econometrics, 187(2), 458-471, 2014 (with Bollerslev, T., Zhou, H.)
  • "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.)

Awards and Honors

  • Dean’s Citation for Research - Whitman School of Management (2021)
  • Whitman Guttag Jr. Award, 2018 - Whitman School of Management (2018)
  • Best Paper Award - China International Conference in Finance (2011)
  • Fellowship from Anne T. and Robert M. Bass Fellowship Fund - Duke University (2010)
  • Excellent Graduate - Zhejiang University (2007)
  • Scholarship of Excellence - Zhejiang University (2003)