Last Update: July 2019
What drives asset return in both short-term (liquidity shock, investor sentiment, limited attention, etc.) and long-term (cashflow and discount rate news)
“Investment in a Smaller World: The Implications of Air Travel for Investors and Firms” (with Umit Gurun, Bin Li, and Mitch Warachka), accepted at Management Science
“Harnessing the Wisdom of Crowds” (with Xing Huang), accepted at Management Science
“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)
“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)
“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), Online Appendix
“In Search of Attention” (with Joey Engelberg and Pengjie Gao), Journal of Finance, Vol 66, 1461-1499 (2011), lead article
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), Online Appendix
"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)
“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)
“Information Consumption and Asset Pricing” (with Azi Ben-Rephael, Bruce Carlin and Ryan D. Israelsen), previously circulated under "Demand for Information and Asset Pricing"
“Leverage Networks and Market Contagion” (with Jiangze Bian, Dong Lou, and Hao Zhou), winner of 2016 China Financial Research Conference Best Paper Award and 2017 SFS Cavalcade Asia-Pacific Best Paper in Asset Pricing
“Who Pays Attention to SEC Form 8-K?” (with Azi Ben-Rephael, Peter Easton and Ryan D. Israelsen)
“Extrapolative Beliefs in the Cross-section: What Can We Learn from the Crowds” (with Lawrence Jin and Xing Huang), Winner of 2019 Midwestern Finance Association Outstanding Paper Award
“Financialization and Commodity Markets Serial Dependence” (with Ke Tang and Yubo Tao)
“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)
“Investor Optimism, Sales Fixation and Firm Life Cycle” (with Ravi Jagannathan and Jianfeng Shen)
Course Taught @ Mendoza:
Fixed Income Securities--- FIN 40660 / FIN 70650 / FIN70950 / MSF70665
Investments--- FIN 30660 / FIN 70670