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Research Interest

Corporate finance, risk management, entrepreneurship, macroeconomics and finance, econometrics.

Working Papers

• "Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity," with Zhongjin Lu and Siddharth Vij.

  • Hedging is positively correlated with internal liquidity and productivity, but negatively with production. An extension of existing models to incorporate procyclical collateral capacity and production-dependent depreciation reconciles these findings.

  • Presentations: Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference 2021; The Financial Intermediation Research Society (FIRS) 2021; Eastern Finance Association Annual Meeting 2021; Fudan University; AFA 2021; Singapore Scholar Symposium 2020.

• "Entrepreneurial Experimentation and Duration," with Jianjun Miao and Neng Wang.

  • Entrepreneurial earnings are underestimated in conventional measures because they neglect the right-censoring on duration in typical survey data. Failure to observe the eventual outcome of real options, combined with the positive correlation between duration and earnings, generates a significant downward bias of entrepreneurial earnings.

  • Presentations: AFA 2020; Zhejiang University; Lingnan Workshop on Accounting and Finance 2020; Shanghai University of Finance and Economics; University of International Business and Economics; ABFER, CEPR and CUHK Annual Symposium in Financial Economics 2019; NTU Finance Conference 2019.

• "The Long and Short of Sticky Leverage and Monetary Policy Transmission," with Jinyu Liu and Shaowen Luo.

  • (new draft coming soon)

  • Using a proprietary database of international firms, we show that firms with higher foreign-denominated debt (FDD) have higher investment and announcement returns after US monetary expansions, especially when the FDD is short-term and the firms export more to the US. We propose a tractable model with sticky foreign-denominated leverage and different maturities to explain our findings.

  • Presentation: University of Nottingham Ningbo China; Midwest Economics Association Annual Meeting 2021; NTU Brownbag Seminar.

• "Corporate Financing and Investment under Aggregate Uncertainty Shocks."

  • Higher aggregate uncertainty shocks induce financially constrained firms to save more internal liquidity, payout less, and financing less.

  • Presentations: FMA Asia/Pacific 2017 Taiwan; Utah Winter Finance Student Conference 2016; Hong Kong University; PBCSF Tsinghua University; Cheung Kong Graduate School of Business; Nanyang Technological University; Southern Finance Association Conference 2015; Columbia Finance PhD Seminar; Columbia Business School Finance Faculty Lunch Seminar.

Published Papers

• "Sources of Value Gains in Minority Equity Investments by Private Equity Funds: Evidence from Block Share Acquisitions," with Jun-Koo Kang, Jin-Mo Kim, and Hyun Seung Na.
  Journal of Corporate Finance 29 (December 2014): 449–74.

  • PE minority equity investments increase target value through governance and operational engineering.

• "Some Discussions on Telser's Safety-First Model for Portfolio Selection (in Chinese)," with Zhongfei Li.
  System Engineering Theory and Practice, v. 25, (4), 2005, p. 8-14.

Work in Progress

• "Entrepreneurial Ownership Dynamics in Incomplete Markets," with Congming Mu, Neng Wang, and Jinqiang Yang.

• "Labor Rigidity, Monetary Policies, and Asset Returns: Evidence from Wrongful Discharge Laws," with Shaowen Luo.

• "Serial Entrepreneurship: Dynamic Learning with Real Options."

• "Taper Tantrum Redux: A Portfolio Approach to International Capital Flow Modeling," with Phil de Imus and Yuanyuan Zhang.

• "Corporate Risk Management with Currency Risk: Evidence from Latin America," with Charles Calomiris.

• "Asset Allocation, Endogenous Volatility, and Long-Run Risks with Endogenous Growth."

• "Numerical General Method of Moments: An Alternative to Simulated Method of Moments."