Last Update: Dec 2014
What drives asset return in both short-term (liquidity shock, investor sentiment, limited attention, etc.) and long-term (cashflow and discount rate news)
“Household Production and Asset Prices” (with Wei Yang and Hayong Yun), accepted at Management Science
“The Sum of All FEARS: Investor Sentiment and Asset Prices” (with Joey Engelberg and Pengjie Gao), Review of Financial Studies, Vol 28, 1-32 (2015), lead article, FEARS
“Frog in the Pan: Continuous Information and Momentum”(With Umit Gurun and Mitch Warachka), Review of Financial Studies, Vol 27, 2171-2218 (2014)
“A Closer Look at the Short-Term Return Reversal” (with Qianqiu Liu and Ernst Schaumburg), Management Science, Vol 60, 658-674 (2014)
interview with automated trader.
“What Drives Stock Price Movement” (with Long Chen and Xinlei Zhao), Review of Financial Studies, Vol 26, 841-876 (2013), lead article
“Dividend Smoothing and Predictability” (with Long Chen and Richard Priestley), Management Science, Vol 58, 1834-1855 (2012)
“CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence” (with Re-Jin Guo and Ravi Jagannathan), Journal of Financial Economics, Vol 103, 204-220 (2012)
“In Search of Attention” (with Joey Engelberg and Pengjie Gao), Journal of Finance, Vol 66, 1461-1499 (2011), lead article
First Prize Winner, 2010 Crowell Memorial Prize Paper Competition
First Prize Winner, 2009 Chicago Quantitative Alliance (CQA) Academic Competition,
featured in smartmoney.
"The Disparity between Long-term and Short-term Forecasted Earnings Growth" (with Mitch Warachka), Journal of Financial Economics, Vol 100, 424-442 (2011)
featured in smartmoney.
"Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds"(with Pengjie Gao and Ravi Jagannathan), Review of Financial Studies, Vol 24, 675-720 (2011)
"Clientele Change, Liquidity shock, and the Return on Financially Distressed Stocks" (with Pengjie Gao), Journal of Financial and Quantitative Analysis, Vol 45, No. 1, 27-48 (2010)
“Cashflow Risk, Systematic Earnings Revisions, and the
Cross-Section of Stock Returns” (with Mitch Warachka), Journal of Financial Economics, Vol 94, 448-468 (2009)
"Cash Flow, Consumption Risk and Cross Section of Stock Returns"
Journal of Finance, Vol 64,
No. 2, 923-956 (2009).
Supplementary Material, (Older Version with Technical Details)
“Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption” (with Hayong Yun and Mitch Warachka), accepted at Economics Letters
"Implementing Black-Litterman using an Equivalent Formula and Equity Analyst Target Prices" (with Leon Chen and Ernst Schaumburg), accepted at Journal of Investing
"Relative Valuation and Analyst Target Price Forecasts" (with Ernst Schaumburg), Journal of Financial Markets, Vol 14, 161-192 (2011)
"Pricing Options using Implied Trees: Evidence from FTSE-100 Options" (with Kian Guan Lim) Journal of Futures Markets, Vol. 22, No.7, 601-626 (2002)
“Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States” (with Hayong Yun and Mitch Warachka), presented at the FSU SunTrust Beach Conference, FIRS 2013 meetings, the Caesarea Center 10th Annual Conference in Israel and 2013 China International Conference in Finance, previously
titled "The Impact of Fiscal Policy on Stock Returns."
“When the Bellwether Dances to Noise: Evidence from Exchange-Traded Funds” (with Sophie Shive), R&R at JFQA, presented at 2013 China International Conference in Finance, the 2nd Luxembourg Asset Management Summit, and 2014 AFA annual meetings, previously
titled "Exchange Traded Funds and Asset Return Correlations."
“Industrial Electricity Usage and Stock Returns” (with Dayong Huang and Hayong Yun), R&R at JFQA
“In Search of Fundamentals” (with Joey Engelberg and Pengjie Gao)
“Investor Optimism, Sales Fixation and Firm Life Cycle” (with Ravi Jagannathan and Jianfeng Shen)
“Growth Expectations, Dividend Yields, and Future Stock Returns” (with Ravi Jagannathan and Jianfeng Shen), presented at Erasmus University, Indian School of Business, Shanghai Advanced Institute of Finance (SAIF), Texas A&M University, University of Notre Dame, and 2014 FIRN conference. To be presented at Finance Down Under 2015 conference in Melbourne.
“Price pressure from coordinated noise trading: Evidence from pension fund reallocations” (with Borja Larrain, Clemens Sialm, and Jose Tessada)
“Arbitrage Trading: the Long and the Short of it” (with Yong Chen and Dayong Huang)
“Catching Fire: An Anatomy of Information Diffusion using Retweets” (with Mao Ye, Nitesh Chawla, and Jian Xu)
Old Working Papers:
"Electricity Consumption and Asset Prices" (with Hayong Yun), subsumed by "Household Production and Asset Prices" and "Industrial Electricity Usage and Stock Returns."
“What Moves Aggregate Investment?” (with Long Chen
and Borja Larrain)
“The Pricing of Volatility Risk across Asset Classes” (with Ernst Schaumburg)
“Clientele Change, Persistent Liquidity Shock, and Bond Return Reversal After Rating Downgrades” (with Pengjie Gao)
“Where does the investment value of target prices come from?” (with Keejae Hong and Sangwoo Lee)
Course Taught @ Mendoza:
Fixed Income Securities--- FIN 40660 / FIN 70650
Investments--- FIN 30660 / FIN 70670
“Convertible Bonds of Countrywide Financial Corporation” (with Ravi Jagannathan), Harvard Business School Case, Prod # KEL323-PDF-ENG
Teaching Notes Prepared for FINC 460 (MBA Investment), Kellogg School of Management