Last Update: Dec 2024 |
Editorial Positions: Journal of Finance, Associate Editor, 2021 - present Selected Publications: "Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns" (with Yashar Baradehi, Dan Bernhardt, and Mitch Warachka), accepted at Journal of Financial and Quantitative Analysis "Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity" (with Felipe Aldunate, Borja Larrain, and Clemens Sialm), accepted at Journal of Financial Economics "Market Returns and a Tale of Two Types of Attention" (with Jian Hua, Chih-Ching Hung and Lin Peng), accepted at Management Science “The Drivers and Implications of Retail Margin Trading” (with Jiangze Bian, Zhiguo He, Dong Lou, Kelly Shue, and Hao Zhou), forthcoming at Journal of Finance “Fractional Trading" (with Vivian Fang and Wenwei Lin), accepted at Review of Financial Studies “Uncovering the Hidden Effort Problem” (with Azi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen), forthcoming at Journal of Finance "The Information in Industry-Neutral Self-Financed Trades" (with Yashar Barardehi and Mitch Warachka), Journal of Financial and Quantitative Analysis, Vol 59, 796-829 (2024) “Financialization and Commodity Markets Serial Dependence” (with Ke Tang, Yubo Tao and Liyan Yang), Management Science, Vol 70, 2122-2143 (2024) “Digesting FOREXS: Information Transmission across Asset Classes and Return Predictability” (with Joon Woo Bae and Virgilio Zurita), Management Science Vol 70, 1943-1969 (2024) "Presidential Economic Approval Rating and the Cross-Section of Stock Returns" (with Zilin Chen, Dashan Huang and Liyao Wang), Journal of Financial Economics, Vol 147, 106-131 (2023), PEAR Index “Who Pays Attention to SEC Form 8-K?" (with Azi Ben-Rephael, Peter Easton and Ryan D. Israelsen), The Accounting Review, Vol 97, 59-88 (2022) "Short Selling Efficiency" (with Yong Chen and Dayong Huang), Journal of Financial Economics, Vol 145, 387-408 (2022) “Hedging Demand and Market Intraday Momentum” (with Guido Baltussen, Sten Lammers, and Martin Martens), Journal of Financial Economics, Vol 142, 377-403 (2021) “Extrapolative Beliefs in the Cross-section: What Can We Learn from the Crowds” (with Lawrence Jin and Xing Huang), Journal of Financial Economics, Vol 140, 175-196 (2021), Internet Appendix “Information Consumption and Asset Pricing” (with Azi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen), Internet Appendix, Journal of Finance, Vol 76, 357-394 (2021) “Investment in a Smaller World: The Implications of Air Travel for Investors and Firms” (with Umit Gurun, Bin Li, and Mitch Warachka), Management Science, Vol 67, 417-435 (2021) “Harnessing the Wisdom of Crowds” (with Xing Huang), Management Science, Vol 66, 1847-1867 (2020) “Arbitrage Trading: the Long and the Short of it” (with Yong Chen and Dayong Huang), Internet Appendix, Review of Financial Studies, Vol 32, 1608-1646 (2019), NAT data “Indexing and Stock Market Serial Dependence around the World” (with Guido Baltussen and Sjoerd van Bekkum), Journal of Financial Economics, Vol 132, 26-48 (2019), Internet Appendix “Destabilizing financial advice: Evidence from pension fund reallocations” (with Borja Larrain, Clemens Sialm, and Jose Tessada), Review of Financial Studies, Vol 31, 3720-3755 (2018) “Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from US States” (with Hayong Yun and Mitch Warachka), Journal of Financial and Quantitative Analysis, Vol 53, 109-136 (2018) “It Depends on Where You Search: Institutional Investor Attention and Underreaction to News” (with Azi Ben-Rephael and Ryan D. Israelsen), Review of Financial Studies, Vol 30, 3009-3047 (2017), Data Appendix, Additional Results “Industrial Electricity Usage and Stock Returns” (with Dayong Huang and Hayong Yun), Journal of Financial and Quantitative Analysis, Vol 52, 37-69 (2017), Winner of 2017 Sharpe Award, 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) “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), Online Appendix “In Search of Attention” (with Joey Engelberg and Pengjie Gao), Journal of Finance, Vol 66, 1461-1499 (2011), lead article "The Disparity between Long-term and Short-term Forecasted Earnings Growth" (with Mitch Warachka), Journal of Financial Economics, Vol 100, 424-442 (2011) "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), Online Appendix “Cashflow Risk, Systematic Earnings Revisions, and the
Cross-Section of Stock Returns” (with Mitch Warachka), Journal of Financial Economics, Vol 94, 448-468 (2009) “Exchange Traded Funds and Asset Return Correlations” (with Sophie Shive), European Financial Management, Vol 24, 136-168 (2018) “What Moves Investment Growth” (with Long Chen and Borja Larrian), Journal of Money, Credit, and Banking, Vol 48, 1613-1653 (2016) “What Drives Target Price Forecasts and Their Investment Value?” (with Keejae Hong and Sangwoo Lee), Journal of Business Finance, and Accounting, Vol 43, 487-510 (2016) “Lottery Tax Windfalls, State-Level Fiscal Policy, and Consumption” (with Hayong Yun and Mitch Warachka), Economics Letters, Vol 129, 9-12 (2015) "Implementing Black-Litterman using an Equivalent Formula and Equity Analyst Target Prices" (with Leon Chen and Ernst Schaumburg), Journal of Investing, Vol 24, 34-47 (2015) "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) Active Working Papers: "Hedge Funds' Misreporting: Evidence from 13F Holding Restatements" (with Sean Cao, Daniel Jiang, and Baozhong Yang) "Security Analysis and the Collection of Hard and Soft Information" (with Azi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen) "Same-Weekday Momentum" (with Xiao Zhang) "End-of-Day Reversal" (with Guido Baltussen and Amar Soebhag) "You can only lend what you own: Inferring daily institutional trading from security lending supply" (with Yashar Barardehi, Peter Dixon, and Junbo Wang) "Inside and outside informed trading" (with Xi Dong, Ke Wu and Dexin Zhou) "Intraday option return: A tale of two momentum" (with Ruslan Goyenko and Chengyu Zhang) "Presidential cycles in PEAD" (with Liyao Wang and Ming Zeng) "Short-selling Profitability, Stock Lending Fees, and Asset Pricing Anomalies" (with Chengbo Fu, Nanying Lin and Lei Lu) "Informative price pressure" (with Salman Arif and Wenwei Lin) Older Working Papers: “Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?” (with Mao Ye, Nitesh Chawla, and Jian Xu) “Growth Expectations, Dividend Yields, and Future Stock Returns” (with Ravi Jagannathan and Jianfeng Shen) “In Search of Fundamentals” (with Joey Engelberg and Pengjie Gao) "Internalized Retail Order Imbalances and Institutional Liquidity Demand" (with Yashar Baradehi, Dan Bernhardt, and Mitch Warachka)
Course Taught @ Mendoza: Fixed Income Securities--- FIN 40660 / FIN 70650 / FIN70950 / MSF70665
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