Research Interests
Empirical Asset Pricing: Options, Return Predictability, FOMC Announcements, Price Informativeness, Investments
Journal Articles
Options Trading and Stock Price Informativeness (with Jie Cao, Amit Goyal, and Xintong Zhan), 2024, Journal of Financial and Quantitative Analysis 59 (4), 1516-1540.
Tail Risk around FOMC Announcements (with Kris Jacobs and Xuhui (Nick) Pan), 2025, Journal of Financial and Quantitative Analysis, forthcoming.
Working Papers @ SSRN
Derivative Spreads: Evidence from SPX Options (with Jie Cao and Kris Jacobs).
FMA (2024), CICF (2024)*, AFA (2024), SFA (2023), CFEA (2023), ABF&E (2023), CFRI&CIRF (2023), APAD (2023), IRMC (2023), CES China (2023), PBFEAM (2023)
We document the intraday patterns of spreads, implied volatilities, market order flows, and trading volume. Consistent with the classical models describing dealer trading behavior, we find a significantly positive relationship between volatilities and SPX options spreads. A positive relationship between the deviation from balanced buy-sell orders from end-users and SPX options spreads before market close is also found, coherent with the predictions of inventory control models. However, we observe a diminishing pattern of the impact of end-user demands near market close, which dealer market power models can explain. We also report a negative relationship between spreads and supply imbalances. Finally, we compare the effects of market order pressure with end-user demand imbalances.
Risk-Neutral Higher Moments and the Cross-Section of Stock Returns.
FMA (2025), GFC (2025), IRMC (2024), VSBF (2023)
I study the pricing of option-implied risk-neutral moments in the cross-section of U.S. stock returns. Using fixed-maturity volatility, skewness, and kurtosis inferred from the whole option-implied volatility surface, I show that stocks with higher option-implied skewness earn significantly higher subsequent returns. In contrast, volatility is positively priced, and kurtosis is negatively priced. The skewness-return relationship is robust across holding horizons and option maturities. It persists after conditioning on option-implied volatility and firm characteristics, ruling out mechanical scaling and volatility-driven explanations. In contrast, kurtosis exhibits conditional pricing concentrated among high-volatility, small, and illiquid firms. Announcement-day tests show that skewness remains stable around major news events yet continues to predict returns, supporting an informational interpretation of option-implied skewness.
Through a Glass Darkly: Implied Ambiguity, Real Options, and Corporate Decisions (with Xiaowen Hu, Hong Miao, and Tianyang Wang).
This paper develops a unified option pricing framework incorporating stochastic volatility, jump risk, and investor ambiguity preferences to measure forward-looking ambiguity and provides a behavioral foundation for the volatility smile puzzle. We decompose ambiguity into market-wide and firm-specific components, showing that while market-level ambiguity exogenously reduces real option value, firm-level growth opportunities endogenously mitigate perceived ambiguity. Using comprehensive U.S. option data, we document that growth opportunities significantly reduce firm-specific ambiguity, with causal evidence from M&A events. The ambiguity reduction operates through enhanced disclosure quality, improved financial health, valuable innovation, and stronger ESG transparency. Our findings demonstrate that real options serve as informational anchors that narrow investor belief dispersion, providing new insights into the relationship between corporate fundamentals and market uncertainty.
Podium Presentations (*by coauthor)
2025: Financial Management Association (FMA) Annual Meeting, Global Finance Conference (GFC)
2024: American Finance Association (AFA) Annual Meeting, European Finance Association (EFA) Annual Meeting*, Midwest Finance Association (MFA) Annual Meeting*, China International Conference in Finance (CICF)*, Financial Management Association (FMA) Annual Meeting, International Risk Management Conference (IRMC)
2023: Northern Finance Association (NFA) Annual Meeting, Canadian Derivatives Institute (CDI) Annual Conference, Conference on Financial Economics and Accounting (CFEA), Financial Management Association (FMA) Annual Meeting, Southern Finance Association (SFA) Annual Meeting, Chinese Economists Society (CES) North America Conference*, Pacific Basin Finance Economics Accounting and Management (PBFEAM) Annual Conference, Chinese Economists Society (CES) China Annual Conference, International Risk Management Conference (IRMC), Asia-Pacific Association of Derivatives (APAD) Annual Conference, China Finance Review International & China International Risk Forum (CFRI&CIRF) Joint Conference, Academy of Behavioral Finance and Economics (ABF&E) Annual Meeting, Vietnam Symposium in Banking and Finance (VSBF)
2022: China International Conference in Finance (CICF)*
2020: Finance Down Under (FDU), Southwestern Finance Association (SWFA) Annual Conference
2019: Western Finance Association (WFA) Annual Conference*, Society for Financial Studies (SFS) Cavalcade Asia-Pacific*
2018: Canadian Derivatives Institute (CDI) Annual Conference*
Invited Seminars (*by coauthor)
2024: California State University Long Beach, Colorado State University*
2023: University of Mississippi
2019: National University of Singapore*
2018: Korean Securities Association*, University of Brisbane*, University of New South Wales*