Xiao Qiao - University of Chicago

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B.S. in Materials Science with Minor in Mathematics, School of Engineering and .... “Mechanical Behavior of a Shape Memory Polymer” with Xin Wu, Leonard ...
Xiao Qiao University of Chicago Booth School of Business 5807 S. Woodlawn Ave. Chicago, IL 60637

Phone: (267)320-1601 Email: [email protected] https://sites.google.com/site/xiaoqiao10/

EDUCATION University of Chicago, Booth School of Business, 2011-Present Ph.D. in Finance, Expected June 2016 University of Pennsylvania, Summa Cum Laude, 2007-2011 B.S. in Finance and Statistics, The Wharton School B.S. in Materials Science with Minor in Mathematics, School of Engineering and Applied Sciences RESEARCH INTERESTS Asset Pricing, Financial Econometrics, Investments, Return Predictability PUBLISHED PAPERS “Value Investing Through the Lens of Campbell-Shiller”, (with Jack P. Mo), Journal of Portfolio Management, 2015. WORKING PAPERS “Conditional Market Exposures of the Value Premium,”, 2015 Value strategies exhibit a large positive beta if contemporaneous market excess returns are positive, and a small beta if contemporaneous market excess returns are negative. Value also has a large positive beta after bear markets, but a small beta after bull markets. These facts hold for equity-value strategies in 21 countries, and to a lesser extent for three non-equity-value strategies. Betas conditional on contemporaneous market returns are able to capture expected return variation associated with the book-tomarket ratio. These betas partially explain the value premium, and are related to a larger cash-flow risk of value strategies. “A Practitioner’s Defense of Return Predictability” (with Blair Hull), 2015 Revisiting the issue of return predictability, we show there is substantial predictive power in combining forecasting variables. We apply correlation screening to combine twenty variables that have been proposed in the return predictability literature, and demonstrate forecasting power at a six-month horizon. We illustrate the economic significance of return predictability through a walk-forward simulation, which takes positions in SPY proportional to the model forecast equity risk premium. The simulated strategy yields annual returns more than twice that of the buy-and-hold strategy, with a Sharpe ratio four times as large. To eliminate look-ahead bias, we perform additional simulations including variables only as they are discovered in the literature. Results show similar annual returns and Sharpe ratios. While a markettiming strategy outperforms the market, it is difficult to implement. “Correlated Volatility Shocks” (with Alex Y. Wang), 2016 Commonality in idiosyncratic volatility cannot be explained by time-varying volatility. After removing the effects of time-varying volatility, idiosyncratic volatility innovations are still positively correlated. To capture this fact, we propose the CIGARCH model, which fits the data well and reduces the crosssectional correlations in idiosyncratic volatility innovations. Correlated volatility innovations are an undiversifiable source of risk and are priced in the cross section of equity returns. Our volatility innovation factor VIN carries a positive price of risk in characteristic-sorted portfolios, and performs

Xiao Qiao, Chicago Booth

especially well in capturing expected return variation associated with past returns including short-term reversal, long-term reversal, and momentum. “Cross-Sectional Evidence in Consumption Mismeasurement”, 2014 Filtered consumption growths, constructed from a broad set of macro variables, improve cross-sectional asset pricing on portfolios formed on size, book-to-market equity, and past performance compared to observed consumption growth. I use two methods to construct measures of filtered consumption growth, both of which produce higher cross-sectional R-squareds and lower pricing errors relative to observed consumption growth. Macro variables measuring quantities matter more than macro variables measuring prices in constructing filtered growth. PRESENTATIONS AND DISCUSSIONS 2016 (including scheduled): Dimensional Fund Advisors, AQR, Citadel, Lord Abbett, R/Finance Conference, Midwest Finance Association, University of Chicago 2015: Midwest Finance Association, Macquarie Quantamental Research Seminar (New York, Boston), AllianceBernstein, MFS, Fidelity, Wellington, Paris Financial Management Conference, University of Chicago 2014: Australasian Finance and Banking Conference, SoFiE Financial Econometrics Summer School (Harvard), Midwest Finance Association, University of Chicago 2013: SoFiE Financial Econometrics Summer School (Oxford) TEACHING EXPERIENCE University of Chicago Graham School Instructor, Chicago Seminar on Economics and Business (Summer Program), 2013-Present University of Chicago Booth School of Business Teaching Assistant for Professor Eugene Fama, Theory of Financial Decisions (PhD), 2013 Teaching Assistant for Professor Toby Moskowitz, Investments (MBA), 2014 Teaching Assistant for Professor Bryan Kelly, Investments (MBA), 2012-2015 Teaching Assistant for Professor Jeff Russell, Business Statistics (MBA), 2013 Financial Econometrics (Executive MBA), 2014 Teaching Assistant for Professor Federico Bandi, Statistics (Executive MBA), 2013-2014 RESEARCH AND PROFESSIONAL EXPERIENCE University of Chicago Booth School of Business Research Assistant for Professor Toby Moskowitz, 2014-Present Research Assistant for Professor Jeff Russell, 2013-Present Research Assistant for Professors Bryan Kelly and Stefano Giglio, 2012-2013 Fair Observer Economics Editor, 2011-2012 Research Associate, 2010 University of Pennsylvania, The Wharton School Research Assistant for Professor Franklin Allen, 2010 Research Assistant for Professor Frank Diebold, 2010-2011 Research Assistant for Professor Craig MacKinlay, 2009-2011 Morgan Stanley, Philadelphia, PA

Xiao Qiao, Chicago Booth

Global Wealth Management Intern, 2009 HONORS AND AWARDS University of Chicago Graduate Council Advanced Travel Grant, 2016 Midwest Finance Association Graduate Student Travel Award, 2015 Katherine Dusak Miller PhD Fellowship, 2015 Outstanding TA Award (Executive MBA, Rated 4.95/5), 2014 Center for Research in Security Prices Summer Research Award, 2012 Chicago Booth Ph.D. Fellowship, 2011-2016 R. M. Brick Award (Engineering Departmental Award), 2011 American Society of Metals Liberty Bell Chapter A. W. Grosvenor Scholarship, 2009 National Society of Collegiate Scholars, 2009 ENGINEERING RESEARCH “Mechanical Behavior of a Shape Memory Polymer” with Xin Wu, Leonard Dauerman, Song Zhang, and Jose Mabesa Jr., ASME Conf. Proc., 2006, 169. REFERENCES Tobias Moskowitz (Co-Chair) Lubos Pastor (Co-Chair) Bryan Kelly Pietro Veronesi

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