Research

Research Interest

Empirical asset pricing

Publications

1. Investor Sentiment and the Pricing of Macro Risk for Hedge Funds (with Zhuo Chen and Xiaoquan Zhu), Management Science, forthcoming

2. Carbon Dioxide Emissions and Asset Pricing: Evidence from International Stock Markets (with Zhuo Chen, Jinyu Liu and Libin Tao), Journal of Empirical Finance 75, 2024,  101461 

3. A Market-based Funding Liquidity Measure (with Zhuo Chen), Review of Asset Pricing Studies 9(2), December 2019,  pp. 356-393

                  The 26th Australasian Finance and Banking Conference PhD Forum (Second Prize) 

4. Seeing the Unobservable from the Invisible: the Role of CO2 in Measuring Consumption Risk (with Zhuo Chen), Review of Finance 22 (3), May 2018, pp. 977-1009 

                  The 26th Australasian Finance and Banking Conference PhD Forum (Second Prize) 

5. Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets (with Zhuo Chen), Journal of Banking and Finance 75, February 2017, pp. 98-108 

                   2013 Chicago Quantitative Alliance (CQA) Academic Competition (Second Prize)

                   2014 PanAgora Crowell Memorial Prize (Finalist)

6. Growing Pains: International Instability and Equity Market Returns (with Zhuo Chen and Zhuqing Yang), Financial Management 46 (1), Spring 2017, pp. 59-87 

                   Financial Management 2017 Spring issue Best Paper Award

                   Winner of The 9th International Conference on Asia-Pacific Financial Markets Best Paper Award

7. The Role of Storage in a Competitive Electricity Market and the Effects of Climate Change, (with Lewis Evans and Graeme Guthrie), Energy Economics 36, March 2013, p.405-418.

Working papers

1. Local Political-Turnover-Induced Uncertainty and Bond Market Pricing (with Zhuo Chen, Xiaoquan Zhu and Huili Xiao), December 2021,  Journal of Banking and Finance, Revise and Resubmit

2. Weather Related Employment Surprises and the Cross-Section of Local Stock Returns (with Xi Li and Huijun Wang),  November 2023

3. Mutual Fund Skill Analysis via Machine Learning (with Mike Gallmeyer and Mengchuan Wang), November 2023

Book

1. Forest Valuation under Carbon Pricing: A Real Options Approach, with Richard Meade, Gabriel Fiuza, Lewis Evans and Glenn Boyle, VDM, Verlag, 2009.