Data

• 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

•  Replicating BBW Factors with WRDS Data

•  Code for BBW 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).

•  Code for UNC-beta 

• 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:

   CallAsset_ExcessReturns

   PutAsset_ExcessReturns

   PutCallAsset_ExcessReturns

Working Papers

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] Attention, Social Interaction, and Investor Attraction to Lottery Stocks (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).