Research

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* Post-doctoral researcher and RA positions available to study macro finance, asset pricing and Chinese financial markets. 

Current Research Topics

• Leasing and Macro Finance

• Financial constraint based asset pricing theory

• Green and Sustainable finance

• Intangible capital and factor investing

• General equilibrium models of cross-section of stock returns

• China's financial market

Published and Accepted Papers

1. The Technical Default Spread, with Emilio Bisetti and Jun Yu, 

Review of Financial Studies, accepted, 2024. 

2. Intermediary-Based Equity Term Structure, with Chenjie Xu

    Journal of Financial Economics, accepted, 2023. [Internet Appendix] 

3. Financial Constraint, Cash Flow Timing Patterns and Asset Prices, with Weiping Hu and Xiao Zhang

Journal of Financial Economics, Volume 157, July 2024, 103855. [Internet Appendix] 

4. Learning about the Consumption Risk Exposure of Firms, with Yongjin Kim and Lars-Alexander Kuehn

      Journal of Financial Economics, Volume 152, February 2024, 103759.  [Internet Appendix]

4. • 论文介绍 

5. Lease-Adjusted Productivity Measurement, with Weiwei Hu and Yiming Xu

Journal of Banking and Finance, accepted, 2024. [Internet Appendix]

6. The Pollution Premium, with Po-Hsuan Hsu and Chi-Yang Tsou

     Journal of Finance, Volume 78, Issue 3, June 2023. [Internet Appendix]

6. • Top cited article in Journal of Finance 2022-2023

   • The Commodity & Energy Markets Association (CEMA) Amundi-ESSEC ESG Prize 2022

   • The FinReg Blog by Duke Financial Economics Center

   • 论文介绍 | 论文视频介绍

7. Learning and the Capital Age Premium, with Chi-Yang Tsou and Chenjie Xu

Journal of Monetary Economics, Volume 136, May 2023.  [Internet Appendix]

7. • 论文介绍

8. Leasing as a Mitigation of Financial Accelerator Effects, with Jun Yu

     Review of Finance, Volume 27, Issue 6, November 2023, Pages 2015–2056. 

8. • 论文介绍

9. Leased Capital and the Investment-q Relation, with Linqing You

Journal of Corporate Finance, Volume 80, June 2023. [Internet Appendix]

9. • 论文介绍

10. Leasing and the Allocation Efficiency of Finance, with Weiwei Hu and Yiming Xu

Journal of Empirical Finance, Volume 74, December 2023, 101426. [Internet Appendix]

10. • Semi-finalist for the Best Paper Award in Corporate Finance of FMA Annual Meeting 2022

11. Asset Pricing with a Financial Sector, with Chenjie Xu

Financial Management, Volume 52, Issue 1, Spring 2023. [Internet Appendix]

11. • 论文介绍

12. Regime Shifts in a Long-run Risks Model of Stock and Treasury Bond Markets, with Chenjie Xu

China Finance Review International, Leading Article (Editor's Choice), Volume 12, No. 4, October 2022. 

12. • Emerald Insight

    • 论文介绍

13. The Collateralizability Premium, with Hengjie Ai, Jun Li and Christian Schlag

Review of Financial Studies, Volume 33, Issue 12, Pages 5821-5855, December 2020. [Internet Appendix]

13. • Data: Firm-level collateralizability measures

14. Financial Intermediation and Capital Reallocation, with Hengjie Ai and Fang Yang 

Journal of Financial Economics, Volume 138, Issue 3, Pages 663-686, December 2020. [Internet Appendix]

15. News Shocks and Production-Based Term Structure of Equity Returns, with Hengjie Ai, Mariano M. Croce, and Anthony M. Diercks

Review of Financial Studies, Leading Article (Editor's Choice), Volume 31, Issue 7,  2018. 

15. • HKUST Business Insight

16. Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital, with Hengjie Ai and Mariano M. Croce

Review of Financial Studies, Volume 26, Issue 2, 2013. [Internet Appendix]

17. Transitional Notional Defined Contribution Scheme: A New Option of China's Social Security Pension Reform, with Gang Yi

Comparative Studies (in Chinese), No. 29, March 2007.

Working Papers

• Leasing as a Risk-Sharing Mechanism, with Chi-Yang Tsou (Previous version is titled '' The Leased Capital Premium'' ), R&R

  • Presented at: AFA 2021, EFA 2020, SFS Cavalcade NA 2020, FIRS 2020 (canceled), ABFER 2020 (canceled), The HKUST-Jinan Joint Macro Workshop, SHoF Conference on Financial Markets and Corporate Decisions 2019, WFA 2019, Finance Down Under 2019, CAPR Workshop on Investment- and Production-Based Asset Pricing, 2nd COAP Conference 2018, Wellington Finance Summit 2018, CEPR Meeting Gerzensee  2018,  CICM  2018, 1st World Symposium on Investment Research 2018,  HKUST, HKU, CUHK,  Nankai University, CUHK Shenzhen, NUS, UNSW, ANU, SAIF, SHUFE

• Leasing as a Mitigation Channel of Capital Misallocation, with Weiwei Hu and Yiming Xu, R&R

  • Semi-finalist for the Best Paper Award in Corporate Finance of FMA Annual Meeting 2022

  • Presented at: Shanghai Jiaotong University, EFA 2023, SFS Cavalcade 2022, FIRS 2022, CICM 2022, CICF 2022, MFA 2022, FMA 2022,  AFA poster 2022, SED 2021, PHBS Macro and Finance Workshop 2021

• How to Dominate the Historical Average?, with Yingying Li and Jialin Yu, R&R

  • Presented at: 2019 Greater Bay Area Summer Finance Conference, HKUST

• Facilitating Entry through Leasing, with Yiming Xu, R&R

  • Presented at: 7th PKU-NUS conference on Quant Finance and Economics, Cambridge University Macro Workshop 2022, Macro Workshop 2021, and PHBS Sargent Institute PhD Reading Group

• Allocative Efficiency of Green Finance Instruments, with Yicheng Wang and Chenjie Xu [NEW] 

  • Presented at: Yonesi University, University of Macau, Peking University HSBC Business School, Peking University Guanghua, CUFE, Sun Yat-Sen University, Zhejiang University (scheduled), SUSTECH (scheduled), International Review of Finance 25th Anniversary Conference (scheduled)

• The Asset Durability Premium, with Dun Jia and Chi-Yang Tsou 

  • Accounting and Finance Association of Australia and New Zealand (AFAANZ) Best Paper Award 2022

  • Presented at: EFA 2024 (scheduled), North American Summer Meetings of the Econometric Society 2022, SGF Conference 2022, AEA 2021 , FMA 2020,  MFA 2020, NCTU International Finance Conference 2020, SJTU-UCL Macro-Finance Workshop, BI Norwegian, HKUST

• Towards Objectivity and Interpretability: An Anatomy of Climate Change Exposure, with Weiwei Hu and Tingyu Yu

  • Presented at: HKIMR 2022, Stockholm Business School

• Climate Innovation and Carbon Emissions: Evidence from Supply Chain Networks, with Ulrich Hege and Yifei Zhang​

  • 论文介绍

  • Presented at: EFA 2024 (scheduled), WFA 2024 (scheduled), HEC-HKUST Sustainable Finance Workshop, Tsinghua PBCSF

• Leasing, Pecuniary Externality, and Aggregate Efficiency, with Yicheng Wang and Yiming Xu 

  • Presented at: PHBS Macro and Finance Workshop, Fudan University

• Flexibility, Option Value of Leasing, and Investment, with Linqing You

  • Presented at: Asian Meeting of the Econometric Society 2022, MFA 2022

• Growth Expectations around FOMC Announcements, with Mikhail Bhatia

  • Presented at: CICF 2022, CFRC 2022

• Leasing and the Idiosyncratic Volatility Puzzle, with Kaihong Song

  • Presented at: PHBS Brownbag, the FSS-DECO Seminar at the University of Macau, the 2nd International Forum on Finance and Development, the 7th PKU-NUS Annual International Conference on Quantitative Finance and Economics and Asia Meeting of the Econometric Society

• A High Frequency Measure of Chinese Monetary Policy Shocks, with Jianyao He, Dun Jia, and Wenbin Wu

• Patent and Latent Innovation, with Jiening Pan and Jialin Yu

  • AsianFA 2024 (scheduled) 

• Finance Lease and the Capital Allocation Efficiency in China, with Yuan Wang (Draft available upon request)

  • Presented at: CICF 2024 (scheduled), Shanghai macroeconomics workshop, CFRC, Jinan University, Duke Fuqua, XJTU-Liverpool, HKUST (GZ)

• The Technology Gap, with Weiwei Hu and Yifu Liu

  • Presented at: CICF 2024 (scheduled), AsianFA 2024 (scheduled) 

• The Belief on Implicit Government Guarantee as a Spillover Channel: Evidence from Chinese Local SOE Bond Markets, with Yiming Zhang (Draft available upon request)

  • Presented at: CICF 2024 (scheduled), CFRC 2024 (scheduled), Asian Meeting of the Econometric Society 2024 (scheduled)

Work in Progress

• Moral Hazard, Investment, and Financial Constraints, with Hengjie Ai, Rui Li and Neng Wang (Draft available upon request)

Conference Organizing

• Organizer, The 7th PHBS Workshop in Macroeconomics and Finance 2023 (joint with Karol Mazur, Pengfei Wang and Shengxing Zhang)

• Organizer, The 6th PHBS Workshop in Macroeconomics and Finance 2023 (joint with Zhiwei Xu, Pengfei Wang and Shengxing Zhang)

• Organizer, The 4th PHBS Workshop in Macroeconomics and Finance 2022 (joint with Winston Dou, Pengfei Wang and Shengxing Zhang)

• Organizer,  The 3rd PHBS Workshop in Macroeconomics and Finance 2021 (joint with Winston Dou and Pengfei Wang)

• Organizer, Greater Bay Area Summer Finance Conference 2019 (joint with A. Zaldokas)

• Organizer, The 6th Hong Kong Joint Finance Research Workshop 2018 (joint with Yan Ji)