- Professor of Finance
- Seton Hall University
- Stillman School of Business
- South Orange, NJ 07079-2692
- Phone: (973) 761-9209; Fax: (973) 761-9217
- Office: Jubilee Hall 609
- Homepage: http://pirate.shu.edu/~xuxe
xuxe@shu.edu|
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MBA, 1994, Indiana State University, Terre Haute, Indiana
BA, Economics, 1992, Zhongshan (Sun Yat-Sen) University, Guangzhou, P.R. China
BFIN4227 Investment Analysis (Spring 2008)
BFIN7219 Security Analysis (Fall 2007)
BFIN7245 Fixed Income Analysis (Spring 2008)
Access to course materials for Seton Hall students: Blackboard
Internet Resources for Investments
Seton Hall University, Stillman School of Business, 2007-Present, Professor of Finance
Seton Hall University, Stillman School of Business, 2002-2007, Associate Professor of Finance
Saint Louis University, John Cook School of Business, 1998-2002, Assistant Professor of Finance
Hedge Funds, Venture Capital, Security Market Microstructure, Mortgage-backed Securities, Risk Management, International Financial Markets
“The Performances of MBS Hedge Funds and Mutual Funds: A Puzzle,” (with Anthony L. Loviscek) 2008, Journal of Investment Management, forthcoming.
“What Drives the Return on CMBS?” September 2007, Journal of Portfolio Management, 145-157.
"On the Financial Performance of Private Enterprises in China," (with Hung-Gay Fung and Qi-Zi Zhang), 2007, Journal of Developmental Entrepreneurship, 12(4), 399-414.
“Venture-backed IPOs and the Exiting of Venture Capital in China,” 2006, Journal of Entrepreneurial Finance and Business Venture, 11(3), 39-55.
“Time and Dynamic Volume-Volatility Relation,” (with Peter Chen and Chunchi Wu), 2006, Journal of Banking and Finance, 30(5), 1535-1558.
“Consumer Credit Risk Management in an Emerging Market: The Case of China,” (with Jiong Liu), 2006, China and World Economy, 14(3), 86-94.
“Performance of Securities Investment Funds in China,” 2005, Emerging Markets Finance and Trade, 41(5), 27-42.
"What Moves the Mortgage-backed Securities Market?” (with Hung-Gay Fung), 2005, Real Estate Economics, 33(2), 397-426.
"Cross-Market Linkages between US and Japanese Precious Metals Futures Trading," (with Hung-Gay Fung), 2005, Journal of International Financial Markets, Institutions & Money, 15(2), 107-124.
“A Comparative Study of Venture Capital Performance in US and Europe,” 2004, Journal of Entrepreneurial Finance and Business Ventures, 9(3), pp. 61-76.
“Evaluating Venture Capital and Buyout Funds as Alternative Equity Investment Classes,” 2004, Journal of Investing, 13(4), pp.74-82.
“Do Hedge Fund Managers Display Skill?” (with Hung-Gay Fung and Jot Yau), 2004, Journal of Alternative Investments, 6(4), pp. 22-31. Abstracted in The CFA Digest, vol. 34, no. 4 (November 2004), pp. 11-13.
“Information Flows between the U.S. and China Commodity Futures Trading,” (with Hung-Gay Fung and Wai K. Leung), 2003, Review of Quantitative Finance and Accounting , 21(3), pp. 267-285.
"The Predictive Power of Economic Indicators in Consumer Credit Risk Management," (with Jiong Liu), 2003, The RMA Journal, 86(1), pp. 40-45.
"ETF Premium/Discount and Index Futures Basis,” (with Jiong Liu), 2003, Corporate Finance Review, 8(1), pp.21-27.
"Global Hedge Funds: Risk, Return, and Market Timing," (with Hung-Gay Fung and Jot Yau), 2002, Financial Analysts Journal, 58(6), pp.19-30.
"Information Flows across Markets: Evidence from China-backed Stocks Dual-listed in Hong Kong and New York," (with Hung-Gay Fung), 2002, The Financial Review, 37(4), pp.563-588.
"Information Role of U.S. Futures Trading in a Global Financial Market," (with Hung-Gay Fung and Wai K. Leung), 2001, Journal of Futures Markets, 21(11), pp.1071-1090.
"Short-term Dynamic Transmission and Long-term Foreign Share Discount: Evidence from the Chinese Stock Markets,” (with Jiong Liu), 2001, International Journal of Business, 6(2), pp.33-51.
"Venture Capital Finance in China," 2001, Journal of Entrepreneurial Finance and Business Ventures, 1(1), pp.11-23.
"Market Structure, Volatility and Performance of H Shares," 2001, The Chinese Economy, 34(1), pp.49-73.
"Return Volatility, Trading Imbalance and the Information Content of Volume,” (with Chunchi Wu), 2000, Review of Quantitative Finance and Accounting, 14(2), pp.131-153. Abstracted in The CFA Digest, vol. 30, no. 4 (Fall 2000), pp. 102.
"Information, Liquidity Effects, and Transactional Price Movements," 2000, Corporate Finance Review, 5(3), pp.32-39.
"Evolution of the U.S. Banking System: from Glass-Steagall to Universal Banking," (with Janikan Supanvanij and Fred C. Yeager), 2000, Journal of International Banking Regulation, 1(4), pp.7-22.
"The Intraday Relation between Return Volatility, Transactions and Volume,” (with Chunchi Wu), 1999, International Review of Economics and Finance, 8(4), pp.375-397. Abstracted in The CFA Digest, vol. 30, no. 3 (Summer 2000), pp. 83-84.
Advances in International Investments: Traditional and Alternative Approaches, (with Hung-Gay Fung and Jot Yau), 2008, World Scientific Publishing, forthcoming.
"A Premier on the Securities Investment Fund Industry in China," 2007, in Kam C. Chan, Hung-Gay Fung and Wilson Liu, eds., China’s Capital Market: Challenges from WTO Membership, Edward Elgar Publishing Co., pp.231-248.
"Venture Capital Finance in China," 2002, in Allan Young, Ivan Teodorovic and Peter Koveos, eds., Economies in Transition: Conception, Status and Prospects, World Scientific Publishing, pp. 277-300.
"Market Structure, Volatility and Performance of H Shares," 2001, in Hung-Gay Fung and Kevin Zhang, eds., Financial Markets and Foreign Direct Investment in Greater China, M.E. Sharpe, pp.137-162.
“On the Pricing Transmission and Volatility Spillover between Mortgage Real Estate Investment Trusts and Mortgage-backed Securities,” Accepted for presentation at the American Real Estate Society Annual Meetings, Captive Island, Florida, April 2008.
“What Drives the Return on Commercial Mortgage-backed Securities?” presented at the Financial Management Association Meetings, Orlando, Florida, October 2007, and the AREUEA Annual Conference, New Orleans, Louisiana, January 2008.
“What Drives the Return on Venture Capital Funds?” presented at the Journal of Banking and Finance 30th Anniversary Conference, Beijing, China, June 2006, and the Financial Management Association Meetings, Salt Lake City, Utah, October 2006.
“Performances of MBS Mutual Funds and Hedge Funds: Another Puzzle,” with Anthony L. Loviscek, presented at the China International Conference in Finance, Xi’An, China, July 2006, and the Financial Management Association Meetings, Salt Lake City, Utah, October 2006.
“Performance of Securities Investment Funds in China,” presented at the Financial Management Association Meetings, Chicago, Illinois, October 2005 and the International Business and Economy Conference, Honolulu, Hawaii, January 2005.
“Security Selection and Market Timing: A Comparative Study of Investment Fund Performance in China and US," with Jiong Liu, presented at the China International Conference in Finance, Kunming, P.R. China, July 2005.
“Time and Dynamic Volume-Volatility Relation,” with Chunchi Wu and Peter Chen, presented at the Financial Management Association Meetings, New Orleans, Louisiana, October 2004.
“Evaluating Venture Capital and Buyout Funds as Alternative Equity Investment Classes,” presented at the Academy of Entrepreneurial Finance Annual Conference, Washington D.C., April 2004.
"What Moves the Mortgage-backed Securities Market?” with Hung-Gay Fung, presented at the Financial Management Association Meetings, Denver, Colorado, October 2003.
"“Do Hedge Fund Managers Display Skill?” with Hung-Gay Fung and Jot Yau, presented at the Financial Management Association Meetings, Denver, Colorado, October 2003.
"Cross-Market Linkages between US and Japanese Precious Metals Futures Trading." with Hung-Gay Fung, presented at the Financial Management Association Meetings, San Antonio, Texas, October 2002.
"Performance of Global Hedge Funds: An Analysis of Risk, Return and Market Timing," with Hung-Gay Fung and Jot Yau, presented at the Financial Management Association Meetings, San Antonio, Texas, October 2002.
"Information Flows across Markets: Evidence from China-backed Stocks Dual-listed in Hong Kong and New York," with Hung-Gay Fung, presented at the Ninth Annual Conference on Pacific Basin Finance, Economics and Accounting, New Brunswick, New Jersey, September 2001."Venture Capital Finance in the Transitional China Economy," presented at the Twelfth Annual Entrepreneurial Finance and Business Ventures Research Conference, Syracuse, New York, April 2001.
"Return Transmission, Volatility Spillover and International Cross-Listings: Evidence from Chinese Companies Dual-listed in Hong Kong and New York,” with Hung-Gay Fung, presented at the Financial Management Association Meetings, Seattle, Washington, October 2000.
“Short-term Dynamic Transmission and Long-term Foreign Share Discount: Evidence from the Chinese Stock Markets,” with Jiong Liu, presented at the Financial Management Association Meetings, Seattle, Washington, October 2000, and the Greater China Economy Conference, March 2000, St. Louis, Missouri.
"The Effect of Mandated Market-wide Trading Halt on the Market Microstructure of NYSE Stocks," presented at the Southern Finance Association Meetings, Key West, Florida, November 1999.
"Public & Private Information, Liquidity Effects and Transactional Price Movements," presented at the Financial Management Association Meetings, Orlando, Florida, October 1999, and the Southern Finance Association Meetings, Key West, Florida, November 1999.
"A Bivariate Ordered Probit Model for the Market Maker's Intraday Quote Revision Decision Process," presented at the Financial Management Association Meetings, Chicago, Illinois, October 1998.
"Return Volatility, Trading Imbalance and the Information Content of Volume," with Chunchi Wu, presented at the Financial Management Association Meetings, Honolulu, Hawaii, October 1997.
"Return Volatility, Size and Frequency of Trades: An Intraday Analysis," with Chunchi Wu, presented at the Eastern Finance Association Meetings, Panama City, Florida, April 1997.
· New Jersey Bright Idea Award in Finance, 2007
· Researcher of the Year, Seton Hall University, 2006
· Research Grant Recipient, Real Estate Research Institute, 2006
· Research Achievement Award, Stillman School of Business, Seton Hall University, 2003, 2004, 2005, 2006, 2007
· University Research Council Summer Research Grant, Seton Hall University, 2003, 2004, 2006
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