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

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

4. Peer Effects of Corporate Social Responsibility (with Hao Liang and Xintong Zhan), 2019, Management Science 65, 5487–5503. SSRN

–  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 

6. Option Return Predictability (with Bing Han, Xintong Zhan, and Qing Tong), 2022, Review of Financial Studies 35, 1394-1442. SSRN

7. Implied Volatility Changes and Corporate Bond Returns (with  Amit Goyal, Xiao Xiao, and Xintong Zhan), 2023, Management Science 69, 1375-1397. SSRN

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

– 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), 2023, forthcoming at Journal of Financial and Quantitative Analysis. SSRN

Publications in Field Journals

10. 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 

11. 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

12. 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

13. 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

14. Why is Volatility Uncertainty Priced in Equity Option Market? (with Aurelio Vasquez, Xiao Xiao, and Xintong Zhan), 2023, Quarterly Journal of Finance (ABDC “A”) 13, 2350005. SSRN

15. 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