Selected Publications

Estimating and Testing Long-Run Risk Models: International Evidence, with Andras Fulop, Junye Li and Cheng Yan (pdf), Management Science, forthcoming.

Consumption Risks in Option Returns, with Kevin Aretz, Shuwen Yang and Yuzhao Zhang (pdf), Journal of Empirical Finance, 69 (2022), 285-302.

Financial Uncertainty with Ambiguity and Learning. with Yuzhao Zhang (pdf)  (Working paper version: pdf), Management Science, 68 (2022), 2120-2140.

Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo, with Andras Fulop, Jeremy Heng and Junye Li (pdf)  (Working paper version: pdf), Journal of Econometrics, 228 (2022), 62-84.

Optimal Capital Structure, Ambiguity Aversion, and Leverage Puzzles, with Sami Attaoui, Wenbin Cao, and Xiaoman Duan (pdf), Journal of Economic Dynamics and Control, 129 (2021).

Does Smooth Ambiguity Matter for Asset Pricing?  with A. Ronald Gallant and Mohammad R. Jahan-Parvar, Review of Financial Studies 32 (2019), 3617-3666. (pdf)  Online appendix (pdf)

Ambiguity Aversion and Underdiversification. with Massimo Guidolin, Journal of Financial and Quantitative Analysis 51 (2016), 1297-1323. (pdf) (Working paper version: pdf)

Growth Uncertainty, Generalized Disappointment Aversion and Production-based Asset Pricing. with Jianjun Miao , Journal of Monetary Economics 69 (2015), 70-89. (pdf) 

Ambiguity Aversion and Asset Prices in Production Economies. with Mohammad R. Jahan-Parvar, Review of Financial Studies 27 (2014), 3060-3097. (pdf)

Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets. Annals of Economics and Finance 14 (2013), 21-52. (pdf)

Dynamic Portfolio Choice under Ambiguity and Regime Switching Mean Returns. Journal of Economic Dynamics and Control 35 (2011), 623-640. (pdf)

Robust Consumption and Portfolio Choice for Time Varying Investment Opportunities. Annals of Finance 6 (2010), 435-454. (pdf) 

Working Papers

Wealth Dynamics and Asset Prices with Heterogeneous Beliefs under Smooth Ambiguity, with Bo Huang (pdf)

Financing Innovation under Ambiguity and Skewness, with Wenbin Cao and Xiaoman Duan (pdf) R&R

Corporate Real Decisions and Seasonalities in Stock and Accounting Data, with Kevin Aretz and Kevin Schneider (pdf)