Research papers

Publications

Why Momentum Concentrates among Overvalued Stocks, 2023

with Jack Favilukis

- Presentation: 2020 RCFS/RAPS, 2020 FDU, 2020 Cavalcade NA, University of Sydney 

- Review of Finance

Cheaper Is Not Better: On the "Superior" Performance of High-Fee Mutual Funds, 2022

with Jinfei Sheng and Mikhail Simutin

- Media coverage: Citywire, Canadian Investment Review

- Review of Asset Pricing Studies

Working papers

A Unified Explanation for the Decline of the Value Premium and the Rise of the Markup, 2023

with  Xiaoji Lin and Chao Ying

The Global Implied Volatility Surface, Convexity, and Common Predictability of International Equity Premia, 2023

with Adlai Fisher

Investor Composition, Trading Styles and Liquidity: An Analysis of Japanese Stocks, 2023

with Hao Jiang, Sheridan Titman, and Takeshi Yamada

Trading Opportunities and the Portfolio Choices of Institutional Investors, 2022

- Presentation: 2020 AFA, 2019 Cavalcade Asia/Pacific, 2019 MFA

Stock returns on post macroeconomic announcement days, 2022

with Zilong Niu

- Presentation: University of Melbourne, SWUFE

Are Demographics Responsible for the Declining Interest Rates? Evidence From U.S. Metropolitan Areas, 2022

with Jack Favilukis and Jinfei Sheng

- Presentation: 2021 AFA, 2022 FIRN Banking, 2023 California Corporate Finance