Publications in UTD24 / FT50 Journals
1. Cross Section of Option Returns and Idiosyncratic Stock Volatility (with Bing Han), 2013, Journal of Financial Economics 108, 231-249. SSRN AFA
2. Alliances and Return Predictability (with Tarun Chordia and Chen Lin), 2016, Journal of Financial and Quantitative Analysis 51, 1689-1717. SSRN
– 1st Chicago Quantitative Alliance Asia (CQAsia) Academic Competition Award, 2014
3. Institutional Investment Constraints and Stock Prices (with Bing Han and Qinghai Wang), 2017, Journal of Financial and Quantitative Analysis 52, 465-489. SSRN WFA
4. Peer Effects of Corporate Social Responsibility (with Hao Liang and Xintong Zhan), 2019, Management Science 65, 5487–5503. SSRN AFA
– Zephyr Prize (best corporate finance paper), 28th Australasian Finance & Banking Conference, Sydney
5. The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days? (with Tarun Chordia and Xintong Zhan), 2021, Management Science 67, 7866-7887. SSRN AFA EFA
6. Option Return Predictability (with Bing Han, Xintong Zhan, and Qing Tong), 2022, Review of Financial Studies 35, 1394-1442. SSRN EFA
7. Implied Volatility Changes and Corporate Bond Returns (with Amit Goyal, Xiao Xiao, and Xintong Zhan), 2023, Management Science 69, 1375-1397. SSRN AFA EFA
8. ESG Preference, Mutual Fund Trading, and Stock Return Patterns (with Sheridan Titman, Xintong Zhan, and Weiming Zhang), 2023, Journal of Financial and Quantitative Analysis 58, 1843-1877. SSRN WFA
– Winner of 2019 AAM–CAMRI Prize in Asset Management, 2019 Alternative Risk Premia Research Grant of the Paris–Dauphine House of Finance and Unigestion, and 2020 Research Grant by Geneva Institute for Wealth Management.
9. Option Trading and Stock Price Informativeness (with Amit Goyal, Sai Ke, and Xintong Zhan), 2024, Journal of Financial and Quantitative Analysis 59, 1516-1540. SSRN WFA
10. Carbon Emissions, Mutual Fund Trading, and the Liquidity of Corporate Bonds (with Yi Li, Xintong Zhan, Weiming Zhang, Linyu Zhou), 2025, Management Science forthcoming. SSRN
Publications in Field Journals
11. Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns (with Bing Han), 2016, Journal of Banking and Finance (ABDC “A*”; ABS-3) 73, 1-15. SSRN
12. International Diversification through iShares and Their Rivals (with Rao Fu and Yong Jin), 2017, Journal of Risk (ABDC “B”; ABS-2) 19, 25-55. SSRN
13. On the Empirical Likelihood Option Pricing (with Xiaolong Zhong, Yong Jin, and Wei Zheng), 2017, Journal of Risk (ABDC “B”; ABS-2) 19, 41-53. SSRN
14. Option Price Implied Information and REIT Returns (with Bing Han, Linjia Song, and Xintong Zhan), 2023, Journal of Empirical Finance (ABDC “A”; ABS-3) 71, 13-28. SSRN AREUEA-ASSA – Shinhan Investment Paper Award at the 17th Annual Conference of the Asia-Pacific Association of Derivatives (2021)
15. Why Does Volatility Uncertainty Predict Equity Option Returns? (with Aurelio Vasquez, Xiao Xiao, and Xintong Zhan), 2023, Quarterly Journal of Finance (ABDC “A”) 13, 2350005. SSRN AFA
16. The Return Predictability of Carbon Emissions: Evidence from Hong Kong and Singapore (with Xintong Zhan, Weiming Zhang, and Yaojia Zhang), 2023, Pacific-Basin Finance Journal (ABDC “A”; ABS-2) 82, 102177. SSRN
17. Options Trading and Corporate Debt Structure (with Michael Hertzel, Jie Xu, and Xintong Zhan), 2025, Journal of Accounting and Public Policy (ABDC “A”; ABS-3) 49, 107274. SSRN AFA – Canadian Derivatives Institute Research Grant (2016); Best Paper Award on Derivatives, NFA (2020)
18. Smart Beta, "Smarter" Flows (with Jason Hsu, Linjia Song, Zhanbing Xiao, and Xintong Zhan), 2025, Journal of Empirical Finance (ABDC “A”; ABS-3) 81, 101580. SSRN – ETF Research Academy Award of the Paris-Dauphine House of Finance and Lyxor Asset Management (2018)
19. Beyond Green: Impacts of Green Bond Issuance on Conventional Bonds in China (with Xintong Zhan, Junting Liu, Ruijing Yang, and Linyu Zhou), 2026, Asian Economic Policy Review (Special Issue on Sustainable Finance and Policies in Asia) forthcoming.