Faculty Directory

Nancy Xu

Assistant Professor

Department

Finance

Profile

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.

Publication

  • “Procyclicality of the Comovement between Dividend Growth and Consumption Growth” [Forthcoming at the Journal of Financial Economics]

Working Papers

  • “Global Risk Aversion and International Return Comovements”
  • “The Time Variation in Risk Appetite and Uncertainty”, with Geert Bekaert and Eric Engstrom
  • “Variance Risk Premium Components and International Stock Return Predictability”, with Juan M. Londono

Selected Appointments and Awards

  • 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