Faculty Directory

Nancy Xu

Assistant Professor




Nancy Xu is an Assistant Professor of Finance at Boston College’s Carroll School of Management. Her primary research interests are asset pricing and financial econometrics. Her current work focuses on the identification of the dynamics of risk aversion (price of risk) and economic uncertainties (amount of risk) and their effects on both domestic and international asset markets. She developed a risk aversion index that is consistent with economic models and can be extracted from high frequency financial information. This research has been covered by academic and research-based policy analysis and commentaries (e.g., VOX). She received her Ph.D. in Finance from Columbia Business School and B.S. in Statistics from University of Washington. She is also a consultant for the European Central Bank in Frankfurt. 


  • Xu, N.R., 2021. Procyclicality of the comovement between dividend growth and consumption growth. Journal of Financial Economics139(1), pp.288-312.
  • Bekaert, G., Engstrom, E.C. and Xu, N.R., forthcoming. The time variation in risk appetite and uncertainty. Management Science

Working Papers

"Do the Voting Rights of Federal Reserve Bank Presidents Matter?" (w/ S. Fos)

“Main Street's Pain, Wall Street's Gain” (w/ Y. You)

“Global Risk Aversion and International Return Comovements”

  • Dissertation Award, Federal Reserve Bank of New York

“The Global Determinants of International Equity Risk Premiums” (w/ J. Londono)

  • Previously titled “Variance Risk Premium Components and International Stock Return Predictability”
  • Semifinalist, 2019 FMA Global Conference Best Paper Awards

“Risk, Monetary Policy and Asset Prices in a Global World” (w/ G. Bekaert & M. Hoerova)

“Risk Aversion Propagation: Evidence from Financial Markets and Controlled Experiments” (w/ X. Huang)


  • INQUIRE Europe research grant 2020

Selected Appointments and Awards

  • 2021 Spring: Carroll School of Management, Teaching Star
  • 2019: Semifinalist, 2019 FMA Global Conference Best Paper Awards
  • 2018: Global Association of Research Professionals Research Excellence Award, CIRF
  • 2018-19: Boston College Research Expense Grant, “Mood Propagation”
  • 2017: Federal Reserve Bank of New York Summer PhD Dissertation Internship
  • 2015-2016: Werner L. and Adriana Chilton Doctoral Fellowship, Columbia Business School
  • 2015: 28th Australasian Finance and Banking Conference 2nd best paper at the Ph.D. Forum
  • 2012-2016: Columbia Business School Doctoral Full Fellowship