(15) "Asset Complexity and the Return Gap," 2024, with Allen Hu, Peter Kelly, Cameron Peng, and Ning Zhu, The Review of Finance 28(2), 511–550, (This Draft: June, 2022) [Download] Appendix [Download]
(14) "Good for your Fiscal Health? The Effect of the Affordable Care Act on Healthcare Borrowing Costs," 2022, with Chang Lee and Dermot Murphy, The Journal of Financial Economics, 135 (2), 464-488. (This First: September 2019). [Download] Appendix [Download] Replication [Download]
(13) "Financing Dies in Darkness? The Impact of Newspaper Closures on Public Finance," 2020, with Chang Lee and Dermot Murphy, The Journal of Financial Economics, 135 (2), 404–426. (First Draft: December, 2017) [Download]
(12) "What's in a (school) name? Racial discrimination in higher education bond markets," 2019, with Casey Dougal, Bill Mayew, and Chris Parsons, The Journal of Financial Economics, 134 (3), (First Draft: September, 2015) [Download]
(The Jensen Prize, 2019)
(11) "Municipal Borrowing Costs and State Policies for Distress Municipalities," 2019, with Chang Lee and Dermot Murphy, The Journal of Financial Economics, 132(2): 404-426 (First Draft: May, 2016). [Download]
(10) "Do Hedge Funds Exploit Rare Disaster Concerns?," 2017, with George Gao and Zhaogang Song, The Review of Financial Studies, Forthcoming. (First Draft: June, 2013) [Download]
Data: Rare Disaster Index (RIX): time-series data download (last updated: December 31, 2013)
(9) "The Global Relationship between Default Risk and Equity Returns," 2018, with Chris Parsons and Jianfeng Shen, The Review of Financial Studies: 31(1): 239–277. (First Draft: June, 2012) [Download]
(8) "Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market," 2016, with Paul Schultz and Zhaogang Song, The Journal of Finance: 72(3): 1119 -- 1170 . (First Draft: December, 2014) [Download]
(7) "The Sum of All FEARS: Investor Sentiment and Asset Prices," 2015, with Zhi Da and Joey Engelberg, The Review of Financial Studies: 28(1): 1--32 (First Draft: 2009). [Download] [FEARS Index Construction]
Data: FEARS Daily Index Data
(6) "The Value of a Rolodex: CEO Pay and Personal Network," 2013, with Joey Engelberg and Chris Parsons, The Review of Financial Studies: 26(1): 79-114 (First Draft: 2009). [Download]
(5) "Friends with Money," 2012, with Joey Engelberg and Chris Parsons, The Journal of Financial Economics: 103(1): 169--188. (First Draft: 2010) [Download]
(The Fama–DFA Prize, 2012)
(4) "In Search of Attention," 2011, with Zhi Da and Joey Engelberg, The Journal of Finance: 66(5): 1461 -- 1499 (First Draft: 2009) Google Appendix Final [Download]
Most cited articles published in the Journal of Finance (2023) [download]
(3) "Impatient Trading, Liquidity Provision and Mutual Funds Stock Selection," 2011, with Zhi Da and Ravi Jagannathan, The Review of Financial Studies: 24(3): 675 -- 720. (Internet Appendix) (First Draft: 2007) [Download]
(2) "Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks," 2010, with Zhi Da, The Journal of Financial and Quantitative Analysis: 45(1): 27 --48 (First Draft: 2004). [Download]
(1) "Short Sales and the Weekend Effect - Evidence from a Natural Experiment," 2015, with Jia Hao, Ivalina Kalcheva, and Tongshu Ma, The Journal of Financial Markets: 26 (November): 85-102. (First Draft: 2005) [Download]
"Trading Methods and Trading Costs for Agency Mortgage-Backed Securities", 2018, with Paul Schultz and Zhaogang Song, The Journal Of Investment Management , 16(4): 9-46 .
"Municipal Finance and Labor Mobility," 2025, with Xiaodan Gao (This Draft: May, 2025)
Abstract: We examines how labor mobility influences municipal financing decisions, particularly the balance between debt and taxation. Using Annual Comprehensive Financial Reports from the 1,200 largest U.S. cities spanning 2008-2021, we find that net labor in-migration leads municipalities to increase tax rates while reducing debt reliance. We develop a theoretical model demonstrating that the tax elasticity of labor mobility critically determines financing choices. When mobility is highly tax-sensitive, municipalities favor debt financing to avoid tax-induced out-migration. When mobility is highly tax-sensitive, municipalities favor debt financing to avoid tax-induced out-migration. When mobility is less elastic, municipalities can rely more on taxation. Our calibration reveals that labor mobility is relatively inelastic to tax changes, explaining the observed reduction in municipal leverage following in-migration. Two competing mechanisms emerge: labor influx increases service demand, raising fiscal pressures, while simultaneously expanding the tax base and enhancing revenue capacity. When tax elasticity is inelastic, the tax base expansion effect dominates, resulting in net debt reduction. These findings illuminate how municipalities strategically adapt their financing mix based on labor mobility patterns.
"Political Uncertainty and Public Financing Costs," 2019, with Dermot Murphy and Yaxuan Qi. (This Draft: February, 2019)
Abstract: We investigate how political uncertainty around U.S. gubernatorial elections affects local government borrowing costs. Municipal bond yields sharply increase by 7 basis points before an election and reverse afterward. This political risk premium is higher during economic downturns and close elections, especially when voters are more risk averse, and lower for states with balanced budget restrictions or financial disclosure requirements. Insurance mitigates the political uncertainty effect, but only pre-2008 when insurers were solvent. Pre-election institutional trading demand also significantly decreases. Overall, our evidence indicates that government debt is more costly and difficult to issue when political uncertainty is high.
"Tax Risk and Asset Prices: Evidence from Dual-class Corporate Bonds in the Early 19th Century," 2019, with Matthias Fleckenstein and Priyank Gandhi. (This Draft: December, 2018)
Abstract: This paper exploits a natural experiment from the late 1800s in which many U.S. firms had inadvertently issued both taxable and tax-exempt bonds. Investors paid income tax on taxable bonds, but firms covered income tax on investors' behalf on tax-exempt bonds. Using a unique data-set of these `dual-class' corporate bonds, we derive a novel, market-based measure for tax risk, examine its time-series properties, and investigate if tax risk is priced in asset returns. We find that tax risk is pro-cyclical, is priced in the cross-section of asset returns, and commands a statistically and economically significant positive risk premium.
"The Pre-Earnings Announcement Drift," 2010, with Peter D. Easton and George Gao. (First Draft: 2008)
Abstract: We present evidence of a predictable drift in stock prices before the earnings announcements of firms that announce their earnings later than other firms in their industry. We form portfolios based on the returns of later announcers that are implied by the abnormal returns of earlier announcers and the historical pair-wise covariance of the abnormal earnings announcement date returns of earlier and later announcers. A long-short trading strategy based on these implied returns generates monthly returns of more than 100 basis points. The drift is neither due to the well-known momentum effect nor a manifestation of post-earnings announcement drift; it is evident both between the earlier announcers’ earnings announcement dates and the later announcers’ earnings announcement dates and at the later announcers’ earnings announcement dates. The continued under-reaction after later announcers’ earnings announcements is shown to be an under-reaction to the later announcers’ own earnings announcements (i.e., post-earnings announcement drift) rather than a continued under-reaction to the earnings news of earlier announcers (i.e., pre-earnings announcement drift). We show that transaction costs explain the predictability of later announcers’ returns.