Last Update: Jan 2016
What drives asset return in both short-term (liquidity shock, investor sentiment, limited attention, etc.) and long-term (cashflow and discount rate news)
“Industrial Electricity Usage and Stock Returns” (with Dayong Huang and Hayong Yun), forthcoming at Journal of Financial and Quantitative Analysis CNBC coverage
“Household Production and Asset Prices” (with Wei Yang and Hayong Yun), Management Science, Vol 62, 387-409 (2016)
“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."
“Exchange Traded Funds and Asset Return Correlations” (with Sophie Shive), presented at 2013 China International Conference in Finance, the 2nd Luxembourg Asset Management Summit, and 2014 AFA annual meetings, previously
titled "When the Bellwether Dances to Noise: Evidence from Exchange-Traded Funds"
“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, 2014 FIRN conference, Finance Down Under 2015 conference in Melbourne, and CICF2015.
“Coordinated noise trading: Evidence from pension fund reallocations” (with Borja Larrain, Clemens Sialm, and Jose Tessada), presented at ABFER 3rd Annual Conference in Singapore, 9th International FinanceUC Conference in Chile, CICF 2015, WU Gutmann Center Symposium 2015, EFA 2015, Conference on Liquidity Risk in Asset Management in Toronto, 2015 UC-Davis Finance Symposium and AFA2016
“Arbitrage Trading: the Long and the Short of it” (with Yong Chen and Dayong Huang), presented at Texas A&M University, University of Hawaii, University of Notre Dame, 2015 European Finance Association Meeting in Vienna, the 4th Luxembourg Asset Management Summit, and 2015 Macquarie Global Quantitative Research Conference in Hong Kong, AFA2016 and 8th Annual Conference on Hedge Funds 2016
“It Depends on Where You Search: A Comparison of Institutional and Retail Attention” (with Azi Ben-Rephael and Ryan D. Israelsen), Data Appendix, presented by coauthors at Indiana University, Tel Aviv University, and the Wabash River Finance Conference 2015, Jackson Hole Finance Conference 2016, to be presented at the University of Kentucky Finance Conference, ABFER 4th Annual Conference in Singapore, SFS Cavalcade 2016, CICF 2016 and EFA2016.
“Harnessing the Wisdom of Crowds” (with Xing Huang), to be presented at the FSU SunTrust Beach Conference, SFS Cavalcade 2016, ABFER 4th Annual Conference in Singapore, WFA 2016, CICF 2016, Helsinki Finance Summit 2016 and EFA 2016.
“Catching Fire: The Diffusion of Retail Attention on Twitter” (with Mao Ye, Nitesh Chawla, and Jian Xu)
“Indexing and Stock Market Serial Dependence around the World” (with Guido Baltussen and Sjoerd van Bekkum)
“Investment in a Smaller World: The Implications of Air Travel for Investors and Firms” (with Umit Gurun, Bin Li, and Mitch Warachka)
Course Taught @ Mendoza:
Fixed Income Securities--- FIN 40660 / FIN 70650 / FIN70950
Investments--- FIN 30660 / FIN 70670