Research Papers:
Too Good to Be True: Look-ahead Bias in Empirical Options Research
with Jefferson Duarte, Christopher S. Jones, Mehdi Khorram, Haitao Mo
Forthcoming at Review of Financial Studies (2025)
From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses [SSRN]
with Sean Cao, Wei Jiang and Baozhong Yang
Journal of Financial Economics (2024)
Fama-DFA Best Paper First Prize at the Journal of Financial Economics
Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium [SSRN]
with Jefferson Duarte and Christopher Jones
Journal of Finance (2024)
Best Paper Award for Chicago Conference in Derivatives and Volatility (2019)
Factor Model Comparisons with Conditioning Information [SSRN]
with Wayne Ferson and Andrew Siegel
Journal of Financial and Quantitative Analysis (2024)
Imputing Borrower Heterogeneity and Dynamics in Mortgage Default Models
with Timothy Dombrowski and Kelley Pace
Journal of Real Estate Finance and Economics (2022)
Semifinalist for Best Paper in Markets & Institutions in FMA (2017)
A Panel Regression Approach to Holdings-Based Fund Performance Measures [SSRN]
with Wayne Ferson
(Lead Article, Editor's Choice) Review of Asset Pricing Studies (2021)
Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation [SSRN]
with Narasimhan Jegadeesh, Joonki Noh, Kuntara Pukthuanthong and Richard Roll
Journal of Financial Economics (2019)
A New Method for Factor-Mimicking Portfolio Construction [SSRN]
Formerly "A Toolkit for Factor-Mimicking Portfolios"
with Kuntara Pukthuanthong, Richard Roll and Tengfei Zhang
Finalist, Crowell Prize, PanAgora Asset Management (2019), NFA (2019), CICF (2019)
An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor [SSRN]
with Richard Roll and Kuntara Pukthuanthong
Best Paper Award for PBFEAM Conference (2022)
MFA (2022)
Lockdowns and Leverage: Option Pricing during the Covid Pandemic [SSRN]
with Christopher Jones and Yuanyi Zhang
Conference on Derivatives and Volatility (2025 Scheduled)
You can only lend what you own: Inferring daily institutional trading from security [SSRN]
lending supply
with Yashar Barardehi, Zhi Da Peter Dixon
Seminar at the Microstructure Exchange (2025), UC Davis-FMA Napa Finance Conference (2025), Villanova MARC Conference (2025), 12th Annual Conference on Financial Market Regulation (2025), NFA (2025 Scheduled), AFA (2026, Scheduled)
Second Moment Asset Pricing [SSRN]
with Sina Ehsani
MFA (2024)