Yuewu Xu

Dr. Yuewu Xu is an associate professor of finance at the Gabelli School of Business. His research interests are in the areas of theoretical and empirical asset pricing, and financial econometrics. Dr. Xu’s research papers have been published in leading academic journals such as the Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and the Journal of Econometrics, and his works have been presented in the conferences of American Finance Association and the Western Finance Association. Prior to joining Fordham, Dr. Xu was director of investment strategy and research at a major asset-management firm in New York where he worked for five years.

Prof. Xu holds a PhD in finance and a PhD in statistics from Yale University.

Education

• PhD in Finance, Yale University
• PhD in Statistics, Yale University

Research interests

• Theoretical/Empirical Asset Pricing
• Continuous-time Finance
• Financial Econometrics

Publications

• “Survival Bias and the Equity Premium Puzzle,” Journal of Finance, 2002 (with Haitao Li).
• “Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions,” Journal of Econometrics, 2003 (with Alexei Egrov and Haitao Li).
• “Evaluating Asset Pricing Models using the Second Hansen-Jagannathan Distance,” Journal of Financial Economics, 2010 (with Haitao Li and Xiaoyan Zhang).
• "A Combined Approach to the Inference of Conditional Factor Models,"Journal of Business and Economic Statistics, 2015 (with Yan Li and Liangjun Su).
• "Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework," Journal of Financial and Quantitative Analysis, 2016 (with Haitao Li and Xiaoyan Zhang).