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.
1. Xu, N.R., 2021. Procyclicality of the comovement between dividend growth and consumption growth. Journal of Financial Economics, 139(1), pp.288-312.
2. Bekaert, G., Engstrom, E.C. and Xu, N.R., forthcoming. The time variation in risk appetite and uncertainty. Management Science.
“Main Street's Pain, Wall Street's Gain” (w/ Y. You)
“Global Risk Aversion and International Return Comovements”
“The Global Determinants of International Equity Risk Premiums” (w/ J. Londono)
“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)