PHD CANDIDATE, DEPARTMENT of FINANCE, KELLOGG SCHOOL OF MANAGEMENT

Contact Information
Department of Finance
Kellogg School of Management
Northwestern University
2211 Campus Drive
Evanston, IL 60208

s-xia@kellogg.northwestern.edu

I am on the job market 2019-2020. I will be available for interviews at the 2019 European Job Market in Rotterdam and at the 2020 ASSA meetings in San Diego.

 

 

Education
Ph.D., Finance, Northwestern University, Jun. 2020 (expected)
M.S., Quantitative Finance, Washington University in St. Louis, Dec. 2013
B.S., Mathematics (Honors), University of Wisconsin-Madison, May 2012

Research Interests
Asset Pricing, International Finance, Macroeconomics

Curriculum Vitae
Download CV (PDF)

Job Market Paper

“Real Exchange Rates with Heterogeneous Beliefs”
Download Draft (PDF)

Abstract: This paper proposes a parsimonious two-country, two-good, and complete-market model featuring heterogeneous beliefs to address the Backus-Smith, volatility, and forward premium puzzles in international finance. The presence of the time-varying difference in beliefs has direct and indirect effects on equilibrium exchange rates. The direct effect appears as a wedge in the pricing kernels while the endogenous indirect effect operates through the dynamic reallocation of equilibrium consumption shares in response to the belief difference. With a general setup of the belief difference, the direct and indirect effects jointly help to qualitatively address these puzzles. In calibration, the model reconciles highly correlated pricing kernels with moderately correlated consumption growth rates. Moreover, the model generates a sizable currency risk premium and a disconnect between exchange rate changes and consumption growth differentials.

Working Paper
“Specified Recovery” with Ngoc-Khanh Tran, Draft (PDF)

Work in Progress
“Inflation Risk Pricing” with Thuy-Duong To and Ngoc-Khanh Tran

References
Prof. Konstantin Milbradt (Committee Chair)
Prof. Ian Dew-Becker
Prof. Zhengyang Jiang
Prof. Sergio Rebelo