Research

Research Papers:

• Too Good to Be True: Look-ahead Bias in Empirical Options Research 

      with Jefferson Duarte, Christopher S. Jones, Mehdi Khorram, Haitao Mo

      R&R at Review of Financial Studies (2024)

      Chicago Conference in Derivatives and Volatility (2023), SFS Cavalcade (2024, scheduled), WFA (2024, Scheduled) 

• From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses [SSRN]

        with Sean Cao, Wei Jiang and Baozhong Yang

        Accepted at the Journal of Financial Economics (2023)

        Best Paper Awards for Annual Conference on Digital Economics, Global AI, Cavalcade Asian-Pacific, MFA, and CFRC conferences (2022)

• Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium [SSRN] 

         with Jefferson Duarte and Christopher Jones

        Forthcoming at the Journal of Finance (2023)

        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)

• A Generalized Machine Learning Framework for Linear Factor Model Test

       with Christopher Jones, Jinchi Lv and Kuntara Pukthuanthong

      SoFIE (2021), NBER Time-Series Poster Session (2021)

• Second Moment Asset Pricing  [SSRN]

       with Sina Ehsani

       MFA (2024)