Xu Xiaoqing

This study examines the market responses and return comovement between real estate and financial stocks around the reclassification of real estate firms from the financial sector to a standalone new real estate sector. We find that real estate stocks experience positive abnormal returns at the announcement of new sector creation, and attract more i...

VIX exchange-traded products (ETPs) provide tracking on the return of a constant-maturity VIX futures index, instead of the uninvestable VIX spot index. In this paper, we develop a comprehensive framework to dissect the tracking performance of regular and leveraged VIX ETPs. In this framework, naïve investors in VIX ETPs expect to achieve the ETP’s...

This article reviews recent issues, developments, and advances in fixedincome (FI) indexing and index investing. In particular, the authors provide an introduction to major U.S. and global families of FI indices, review key return and risk characteristics of broadmarket FI indices along with their stock index counterparts, discuss various index wei...

Amid increasing demand for hedging, investing, and diversification, leveraged energy exchange-traded funds (LEETFs) provide producers, consumers, investors, and portfolio managers with liquid and flexible tools to gain leveraged and/or inverse exposure to the energy sector. For both stock-based and futures-based LEETFs, we examine their tracking pe...

This study examines the tracking performance of U.S.-traded International Leveraged Exchanged-traded Funds (ILETFs) that track the following markets: Brazil, China, Europe, Japan, and Mexico. We find that the beta and returns of these ILETFs can deviate dramatically from their naïve expected counterparts. We further develop a comprehensive framewor...

Using the longest history of a U.S. equity market index, this paper simulates the return deviation and multiple deviation for Leveraged Exchange-Traded Products (LETPs) with different rebalancing frequencies, including daily, monthly, annually, and every five years, over various holding periods. We find that the general perception that daily-rebala...

This paper presents a comprehensive examination of the tracking performance and return deviation of U.S.-traded Chinese Leveraged Exchange-traded Funds (LETFs). Our results suggest that investors should be mindful of the fact that these Chinese LETFs actually track U.S.-based benchmarks rather than their Chinese index benchmarks, and consequently s...

This article examines the tracking performance of the United States-listed Guggenheim China Real Estate Exchange-Traded Fund (NYSE ticker: TAO) relative to its underlying benchmark index (Alphashare China Real Estate Index, ACNRET) and the actual China Home Price Index (CHPI). The daily return of the TAO fund is found to be mainly driven by the U.S...

This paper examines the tracking performance of Leveraged Fixed Income Exchange-traded Funds (LFIETFs) on four major indices: medium-term Treasury, long-term Treasury, investment grade corporate, and high yield corporate bond indices. All sample LFIETFs display significant tracking errors, and these tracking errors are much larger for funds on the...

The large deviation of the actual return of a Leveraged Exchange-Traded Fund (LETF) from the leveraged multiple of the underlying index return has drawn considerable attention from investors, regulators, and the financial media. Despite this attention, the sources and fundamental determinants of the LETF return deviation remain unidentified. This s...

Using quarterly data from 1998:Q1 to 2009:Q4 and monthly data from July 2005 to February 2010, this paper examines the impact of key monetary policy variables, including long-term benchmark bank loan rate, money supply growth, and mortgage credit policy indicator, on the real estate price growth dynamics in China. Empirical results consistently dem...

Leveraged Exchange-Traded Funds (LETFs) have experienced outsized growth since their inception in 2006. Current media and regulatory attention has centered on the compounding deviation of the LETF target return from its naïve expected return. This study develops a unified framework that fully explains the compounding deviation using the squared cum...

The impact of the recent global financial crisis has been deep and broad, blanketing the financial and economic landscape and hammering the hedge fund industry. Using both active and inactive hedge fund return data from the CISDM database from January 1994 to March 2009, the authors measure survivorship bias and account for the attrition rates of h...

The impact of the global financial crisis since 2007 has been deep and broad, blanketing the financial and economic landscape and hammering the hedge fund industry. Using both active and inactive hedge fund return data from the CISDM database from January of 1994 to March of 2009, we measure survivorship bias, account for attrition rates, estimate...

MBS hedge funds have outperformed the Lehman MBS Index by an average of 210 basis points annually from 1992 through 2003. By comparison, MBS mutual funds have underperformed the Lehman MBS Index by an average of 141 basis points per year. This contrast in performance persists even after adjusting for total risk, as measured by Sharpe ratios. It als...

Despite the significance of venture capital (VC) in entrepreneurial financing and increasing interest in VC by institutional investors, the literature has not examined what forces drive the return on VC funds as an alternative investment class and how. This paper studies this important topic using U.S. quarterly data between 1987 and 2004. Beginnin...

The globalization of financial markets has led to an integrated world market. Emerging economies such as China and India have opened up their markets to foreign investors. New instruments such as exchange-traded funds are being created, and current instruments are being expanded to include real asset investments such as natural resources and real e...

We discuss the growth of world financial markets with common stocks, bonds, and other new financial instruments such as futures, GDRs and ETFs. We document patterns of international capital flows and discuss their related issues, which include: 1) how capital flows affect economic growth; 2) the cost of capital; and 3) increased linkages among diff...

Using the comprehensive 2000 and 2002 surveys of Chinese entrepreneurs conducted by the National Association of Private Entrepreneurs and the Chinese Academy of Social Sciences, we examine the characteristics and financial performance of private enterprises in China. Entrepreneurs, on average, are 40 years old and many are well-educated; more than...

This paper examines volume and volatility dynamics by accounting for market activity measured by the time duration between two consecutive transactions. A time-consistent vector autoregressive (VAR) model is employed to test the dynamic relationship between return volatility and trades using intraday irregularly spaced transaction data. The model i...

With the liberalization of the financial service sector mandated by China's access to the WTO, China's credit card market has received a great deal of attention from global financial institutions. This paper examines the enormous growth opportunities and key barriers facing the development of the credit card industry in China, and discusses the imp...

Using a vector autoregressive model with monthly data from 1988 through 2001, this study investigates the factors that drive the excess returns on a widely followed mortgage-backed securities (MBS) index. We find that eight important economic variables (industrial productions, new home sales, bond horizon premium, bond quality premium, mortgage rat...

We use a bivariate asymmetric GARCH model to examine patterns of across-market information flows for gold, platinum, and silver futures contracts traded in both the U.S. and Japanese markets. Our results indicate that pricing transmissions for these precious metals contracts are strong across the two markets, but information flows appear to lead fr...

This study uses monthly data on 115 hedge funds for the seven-year period 1994–2000 to examine performance after accounting for target market indices and illiquidity effects. We find that the excess return on hedge funds is so small relative to the survivorship bias that it can be considered trivial, a finding suggesting no manager skill. Results a...

Using a bivariate GARCH model, we examine patterns of information flows for three commodity futures traded in both the developed U.S. market and the emerging China market (copper, soybeans and wheat). For copper and soybeans, the two commodities that are subject to less government regulation and fewer import restrictions in China, we find that the...

We examined the performance of 115 global equity-based hedge funds with reference to their target geographical markets in the seven-year period 1994-2000. Several results are noteworthy. First, global hedge fund managers do not show positive market-timing ability but do demonstrate superior security-selection ability; the Jensen's alphas we found,...

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China-backed stocks that are cross-listed on exchanges in Hong Kong and New York. Results analyzing the dual-listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offsho...

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual-listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency futures). The results indicate that the U.S. market plays a lead...

In this paper, we examine the relationship between volume and return volatility using the transaction data. We introduce transaction and volume imbalance measures to capture the information content of trades. These two information measures are shown to have a strong explanatory power for return volatility and contain incremental information about t...

In this article, we examine the relation between return volatility, average trade size, and the frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson (1994)(. Review of Financial Studies, 7, 631–651), our results show that the frequency of trades has a high explanatory power for return volatility. However, contra...