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Prof. Xiao QIAO (喬瀟)

PhD (University of Chicago)
BEng (University of Pennsylvania)
BSc (The Wharton School)

Assistant Professor

Contact Information

Office: LAU-16-223 
Phone: (+852) 3442-4397
Email: xiaoqiao@cityu.edu.hk
Web: Personal Homepage

Research Interests

  • Financial Economics
  • Asset Pricing
  • Financial Data Analytics
  • Risk Management


Publications Show All Publications Show Prominent Publications


Journal

  • Hull, Blair. , Li, Anlong. & Qiao, Xiao. (2022). Option Pricing via Breakeven Volatility. Financial Analysts Journal. 1 - 21.
  • Chi, Yeguang. , Liu, Yu. & Qiao, Xiao. (2022). Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds. Journal of Portfolio Management.
  • Cui, Xiangyu. , Li, Duan. , Qiao, Xiao. & Strub, Moris. (2022). Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising. Journal of the Operations Research Society of China.
  • Qiao, Xiao. & Wang, Yongning. (2021). Correlated Idiosyncratic Volatility Shocks. Journal of Risk. 23. 25 - 54.
  • Manzo, Gerardo. & Qiao, Xiao. (2021). Deep Learning Credit Risk Modeling. Journal of Fixed Income. 31. 101 - 127.
  • Chi, Yeguang. , Qiao, Xiao. , Yan, Sibo. & Deng, Binbin. (2021). Volatility and Returns: Evidence from China. International Review of Finance. 21. 1441 - 1463.
  • Qiao, Xiao. , Yan, Sibo. & Deng, Binbin. (2020). Downside Volatility-Managed Portfolios. Journal of Portfolio Management. 46. 13 - 29.
  • Chen, Qinhua. , Chi, Yeguang. & Qiao, Xiao. (2020). Follow the Smart Money: Factor Forecasting in China. Pacific-Basin Finance Journal. 62.
  • James, Alex. , Abu-Mostafa, Yaser S. & Qiao, Xiao. (2019). Machine Learning for Recession Prediction and Dynamic Asset Allocation. Journal of Financial Data Science. 1. 41 - 56.
  • Janardanan, Rajkumar. , Qiao, Xiao. & Rouwenhorst, K. Geert. (2019). On Commodity Price Limits. Journal of Futures Markets. 39. 946 - 961.
  • Hull, Blair. , Qiao, Xiao. & Bakosova, Petra. (2019). Return Predictability and Market-Timing: A One-Month Model. Journal Of Investment Management. 17. 47 - 64.
  • Hull, Blair. & Qiao, Xiao. (2017). A Practitioner's Defense of Return Predictability. Journal of Portfolio Management. 43. 60 - 76.
  • Mo, Jack. & Qiao, Xiao. (2015). Value Investing Through the Lens of Campbell-Shiller. Journal of Portfolio Management. 41. 59 - 69.

Book Chapter

  • Nie, Jiayang. , Qiao, Xiao. & Yan, Sibo. (2022). COVID-19 Effects on Intraday Stock Market Behavior. Financial Transformations Beyond the COVID-19 Health Crisis. (pp. 229 - 252). World Scientific.


External Services


Professional Activity

  • 2017 - Now, Advisory Board, Global Commodities Applied Research Digest, University of Colorado Denver.
  • 2016 - Now, Advisory Board, Journal of Portfolio Management.


Last update date : 05 Jul 2023