Research
Publications
Searching for the Equity Premium, [Slides]
(with Lu Zhang)
Journal of Financial Economics, 2022
Conferences: The 10th ITAM Finance Conference 2021, The 4th World Symposium on Investment Research 2021, China International Conference in Finance 2021, Shanghai Financial Forefront Symposium 2020
Unemployment and Credit Risk (solo-authored)
Journal of Financial Economics, 2021
Conferences: American Economic Association Annual Meeting 2018, American Finance Association Annual Meeting 2017, Fixed Income and Financial Institutions Conference 2017, North American Econometric Society Summer Meeting 2017, Midwest Finance Association Annual Meeting 2017, Northern Finance Association Meeting 2016, China International Conference in Finance 2016
The CAPM Strikes Back? An Equilibrium Model with Disasters [Slides]
(with Kewei Hou, Howard Kung, Erica X.N. Li, and Lu Zhang)
Journal of Financial Economics, 2019
Conferences: SFS Finance Cavalcade 2016, The 3rd USC Marshall Ph.D. Conference in Finance 2015, American Economic Association Annual Meeting 2014, North American Econometric Society Winter Meeting 2014, UBC Summer Finance Conference 2013, Society for Economic Dynamics Annual Meeting 2013
Working Papers and Work in Progress
Revise and Resubmit, Journal of Finance
(with Erica X.N. Li, Chen Xue, and Lu Zhang)
NBER Working Paper 29957
(with Erica X.N. Li, Chen Xue, and Lu Zhang)
Predictable Returns over the Credit Cycle
Conferences: China International Conference in Finance 2017
An Equilibrium Theory of Factors
(with Erica X.N. Li, Chen Xue, and Lu Zhang)
The Term Structure of Interest Rates in a New Keynesian Search Model
(with Lu Zhang)
Rollover Risk and Unemployment Fluctuations
Asset Prices with Endogenous Labor Supply
(with Lu Zhang)
Financial Crises and the CAPM