Common Risk Factors in the Cross-Section of Corporate Bond Returns, (with Jennie Bai and Quan Wen).
-- Data on Corporate Bond Factors are available for download here: BOND FACTORS
The Macroeconomic Uncertainty Premium in the Corporate Bond Market, Journal of Financial and Quantitative Analysis, August 2021, 56(5), 1653–1678 (with Avanidhar Subrahmanyam and Quan Wen).
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? Review of Financial Studies, October 2012, 25(10), 3000-3036 (with Linda Allen and Yi Tang).
-- Data on Systemic Risk Measure (CATFIN) are available for download here: CATFIN
Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns, Journal of Financial Economics, March 2020, 135(3), 725-753 (with Yigit Atilgan, K. Ozgur Demirtas, and A. Doruk Gunaydin).
-- Data on Left-Tail Momentum factor (LTM) are available for download here: LTM
A Lottery Demand-Based Explanation of the Beta Anomaly, Journal of Financial and Quantitative Analysis, December 2017, 52(6), 2369-2397 (with Stephen J. Brown, Scott Murray, and Yi Tang).
-- Data on MAX factor (FMAX) are available for download here: FMAX
Investor Regret and Stock Returns, Management Science, forthcoming (with Eser Arisoy and Yi Tang).
-- Data on REGRET factor (FREG) are available for download here: FREG
Macroeconomic Risk and Hedge Fund Returns, Journal of Financial Economics, October 2014, 114(1), 1-19 (with Stephen J. Brown and Mustafa O. Caglayan).
-- Data on Macroeconomic Risk Index are available for download here: UNCERTAINTY
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? Journal of Financial and Quantitative Analysis, August 2013, 48(4), 1145-1171 (with Scott Murray).
-- Data on Skewness Asset Returns are available for download here:
Visit my SSRN webpage: SSRN=235620
[1] Machine Forecast Disagreement (with Bryan T. Kelly, Mathis Moerke, and Jamil A. Rahman).
[2] A Joint Factor Model for Bonds, Stocks, and Options (with Heiner Beckmeyer and Amit Goyal).
[3] Social Interactions and Lottery Stock Mania (with David Hirshleifer, Lin Peng, and Yi Tang).
[4] Expected Mispricing (with Heiner Beckmeyer and Timo Wiedemann).
[5] Labor Market Networks and Asset Returns (with Joon Woo Bae, Ali Sharifkhani, and Xiaofei Zhao).
[6] A Factor Model for Stock Returns Based on Option Prices (with Fousseni Chabi-Yo and Scott Murray).
[7] Firm Growth Potential and Option Returns (with Panayiotis C. Andreou, Anastasios Kagkadis, and Neophytos Lambertides).
[8] Hedge Funds and the Positive Idiosyncratic Volatility Effect (with Florian Weigert).
[9] Predicting Corporate Bond Returns: Merton Meets Machine Learning (with Amit Goyal, Dashan Huang, Fuwei Jiang, and Quan Wen).
[10] Disagreement in Economic Forecasts and Equity Returns: Risk or Mispricing? (with Stephen J. Brown and Yi Tang).
[11] Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns (with Jianfeng Hu and Scott Murray).
[12] The Conditional CAPM Explains the Value Premium (with Robert F. Engle).
[13] Investing in Stock Market Anomalies (with Stephen J. Brown and K. Ozgur Demirtas).
[14] Resurrecting the Conditional CAPM with Dynamic Conditional Correlations (with Robert F. Engle).