Working Papers

Working Papers @ SSRN

1. Options Trading and Corporate Debt Structure (with  Michael Hertzel, Jie Xu, and Xintong Zhan)

– AFA (2021), NFA (2020)

– Canadian Derivatives Institute Research Grant (2016); Best Paper Award on Derivatives, NFA (2020)

2. Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options (with Yong Jin, Dragon Tang, and Neil Pearson) 

– Canadian Derivatives Institute (CDI) Research Grant, 2015

– 11th Annual Conference of the Asia-Pacific Association of Derivatives (2015), 1st Annual China Derivatives Markets Conference (2016), CICF (2016), 10th NUS Annual Risk Management Conference (2016), EFA (2016), IFSID (2016), SFM (2016), FIRS (2017), SFS Cavalcade (2020) 

3. Unlocking ESG Premium from Options (with Amit Goyal, Xintong Zhan, and Weiming Zhang)

– AFA (2022), SFS Cavalcade, (2023), ABFER (2023), FIRS (2022), Melbourne Asset Pricing Meeting (2021), SFS Cavalcade Asia (2018)

4. Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds (with Yi Li, Xintong Zhan, Weiming Zhang, and Linyu Zhou)

– FIRN/UQ Asset Management Meeting (2023), MFA (2022), FMA Europe (2022), Israel Behavioral Finance Conference (2022)

5. Foreign Institutional Ownership and Corporate Carbon Emissions (with Xintong Zhan, Weiming Zhang, and Yaojia Zhang)

– NFA (2023),  UN PRI Academic Network Conference (2023), FMA Europe (2023)

6. Forecasting Option Returns with News (with Bing Han, Gang Li, Ruijing Yang, Xintong Zhan)

– CICF (2022), AsiaFA (2022), SFS Cavalcade Asia (2022)

7. Idiosyncratic Bond Volatility and Funding Liquidity (with Tarun Chordia and Linyu Zhou)

8. Betting Against the Crowd: Option Trading and Market Risk Premium (with Gang Li, Xintong Zhan, and Guofu Zhou)

– CICF (2023)

9. Derivative Spreads: Evidence from SPX Options (with Kris Jacobs, and Sai Ke)

– AFA (2024), CICF (2024)

10.  Do Insurers Listen to Earnings Conference Calls? Evidence from the Corporate Bond Market (with Gang Li, Russell Wermers, Xintong Zhan, and Linyu ZHou)

– AFA (2024), CICF (2024), MIT Asia  Conference in Accounting (2023) 

11.  A New Factor Model for REIT Returns (with Linjia Song, and Xintong Zhan)

12. Smart Beta, "Smarter" Flows (with Jason Hsu, Linjia Song, Zhanbing Xiao, and Xintong Zhan) 

– ETF Research Academy Award of the Paris-Dauphine House of Finance (in association with Lyxor Asset Management), 2018.

– Chicago Quantitative Alliance (CQA) Academic Competition Award, Chicago, 2017.

– Chicago Quantitative Alliance Asia (CQAsia) Academic Award, Hong Kong, 2016.

13. Opioid Crisis: Evidence from the Option Market (with Yajing Wang, Xintong Zhan, and Weiming Zhang)

14. Opioid Epidemic and the Implied Cost of Equity (with Xintong Zhan, Weiming Zhang, and Yaojia Zhang)

15. Opioid Crisis along the Supply Chain (with Linjia Song, Xintong Zhan, and Weiming Zhang)

16. The Salience of Climate Change, Belief Change, and Green Patents Review (with Tao Shu, Yajing Wang, and Xintong Zhan)

17. Board Gender Diversity and Corporate Carbon Emissions: International Evidence (with Xintong Zhan, Weiming Zhang, and Yaojia Zhang)