James X. Xiong

Morgan Stanley (United States) — United States

Economics, Econometrics and Finance · Social Sciences

11h-index457citations34works1.02yr avg
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Research Topics

Financial Markets and Investment Strategies(21), Financial Risk and Volatility Modeling(12), Market Dynamics and Volatility(10), Stochastic processes and financial applications(8), Complex Systems and Time Series Analysis(7)

Publications34 total

ESG and Equity Performance in Private Market, Primary Market, and Secondary Market
The Journal of Alternative Investments·2024· 1 cited
The Diminishing Role of Active Mutual Funds: Flows and Returns
SSRN Electronic Journal·2023· 1 citedOpen Access
The Impact of ESG Risk on Stocks
The Journal of Impact and ESG Investing·2021· 22 cited
Comovement, Liquidity and Asymmetries
SSRN Electronic Journal·2019Open Access
Research Foundation Review 2018
SSRN Electronic Journal·2019Open Access
Quantifying the Skewness Loss of Diversification
SSRN Electronic Journal·2018· 1 citedOpen Access
A Case for Tail-Risk-Based Sharpe Ratios
The Journal of Portfolio Management·2018· 4 cited
Popularity: A Bridge between Classical and Behavioral Finance
SSRN Electronic Journal·2018· 11 citedOpen Access
The Economic Value of Forecasting Left-Tail Risk
The Journal of Portfolio Management·2016· 12 cited
Momentum, Acceleration, and Reversal
2015· 5 cited
Practical Applications of Volatility versus Tail Risk: <i>Which One is Compensated in Equity Funds?</i>
Practical Applications·2014
Volatility versus Tail Risk: <i>Which One Is Compensated in Equity Funds?</i>
The Journal of Portfolio Management·2014· 22 cited
Practical Applications of Liquidity-Driven Dynamic Asset Allocation
Practical Applications·2013
Volatility vs. Tail Risk: Which One is Compensated in Equity Funds?
SSRN Electronic Journal·2013· 4 citedOpen Access
Liquidity-Driven Dynamic Asset Allocation
The Journal of Portfolio Management·2013· 1 citedOpen Access
Estimate of Downside Risk with Fat‐Tailed and Skewed Models
Encyclopedia of Financial Models·2012
The Liquidity Style of Mutual Funds
Financial Analysts Journal·2012· 26 cited
“The Impact of Skewness and Fat Tails on the Asset Allocation Decision”: Author Response
Financial Analysts Journal·2012· 2 cited
How Index Trading Increases Market Vulnerability
Financial Analysts Journal·2012· 22 citedOpen Access
Liquidity Style of Mutual Funds
SSRN Electronic Journal·2012· 8 citedOpen Access
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Frequent Co-authors

Thomas M. Idzorek(21), Roger G. Ibbotson(15), Rodney N. Sullivan(4), Peng Chen(2), Peng Chen(2), Paul D. Kaplan(2), Peng Chen(1), Ibbotson Associates(1), Robert P. Kreitler(1), Charles F. Kreitler(1), Peng Chen(1), K Reitler K Reitler(1), C Hen(1), Albert Bo Zhao(1), Peng Wang(1), Paul F. Smith(1), Theodore R. Aronson(1), Bud Haslett(1), Laurence B. Siegel(1), Donald R. Chambers(1)