Associate Professor in Finance
MPhil (Tinbergen University), PhD (Erasmus University Rotterdam)
My research interests include empirical asset pricing, financial derivatives, international finance, asset management, especially the interplay between derivatives market and other markets, as well as how investors trade and utilise derivatives in different markets.
I’m a member of the Finance subject group at Cambridge Judge Business School, which focuses on the investment and financial decisions of firms and institutions.

Previous appointments
Dr Xiao was a Reader in Finance at Bayes Business School, City University of London (2022-2024), and an Assistant Professor in Finance at Amsterdam Business School, University of Amsterdam (2020-2022). She holds a PhD in Finance from Erasmus University Rotterdam, the Netherlands.
Publications
Selected publications
- Horenstein, A.R., Vasquez, A. and Xiao, X. (2025) “Common factors in equity option returns.” Review of Financial Studies (forthcoming) (available online via the SSRN)
- Vasquez, A. and Xiao, X. (2024) “Default risk and option returns.” Management Science, 70(4): 2144-2167 (DOI: 10.1287/mnsc.2023.4796)
- Cao, J., Goyal, A., Xiao, X. and Zhan, X. (2023) “Implied volatility changes and corporate bond returns.” Management Science, 69(3): 1375-1397 (DOI: 10.1287/mnsc.2022.4379)
- Cao, J.J., Vasquez, A., Xiao, X. and Zhan, X.E. (2023) “Why does volatility uncertainty predict equity option returns?” Quarterly Journal of Finance, 13(1): 2350005 (DOI: 10.1142/S2010139223500052)
- Fan, Z., Londono, J.M. and Xiao, X. (2022) “Equity tail risk and currency risk premiums.” Journal of Financial Economics, 143(1): 484-503 (DOI: 10.1016/j.jfineco.2021.05.020)
- Fan, Z., Xiao, X. and Zhou, H. (2022) “Moment risk premia and stock return predictability.” Journal of Financial and Quantitative Analysis, 57(1): 67-93 (DOI: 10.1017/s002210902000085x)
Journal articles
- Horenstein, A.R., Vasquez, A. and Xiao, X. (2025) “Common factors in equity option returns.” Review of Financial Studies (forthcoming) (available online via the SSRN)
- Vasquez, A. and Xiao, X. (2024) “Default risk and option returns.” Management Science, 70(4): 2144-2167 (DOI: 10.1287/mnsc.2023.4796)
- Cao, J., Goyal, A., Xiao, X. and Zhan, X. (2023) “Implied volatility changes and corporate bond returns.” Management Science, 69(3): 1375-1397 (DOI: 10.1287/mnsc.2022.4379)
- Cao, J.J., Vasquez, A., Xiao, X. and Zhan, X.E. (2023) “Why does volatility uncertainty predict equity option returns?” Quarterly Journal of Finance, 13(1): 2350005 (DOI: 10.1142/S2010139223500052)
- Fan, Z., Londono, J.M. and Xiao, X. (2022) “Equity tail risk and currency risk premiums.” Journal of Financial Economics, 143(1): 484-503 (DOI: 10.1016/j.jfineco.2021.05.020)
- Fan, Z., Xiao, X. and Zhou, H. (2022) “Moment risk premia and stock return predictability.” Journal of Financial and Quantitative Analysis, 57(1): 67-93 (DOI: 10.1017/s002210902000085x)
- Xiao, X. and Zhou, C. (2018) “The decomposition of jump risks in individual stock returns.” Journal of Empirical Finance, 47: 207-228 (DOI: 10.1016/j.jempfin.2018.04.002)