Accepting Ph.D. students
Full Ph.D. scholarship is available. Get in contact if you are technically strong, detail-oriented, and interested in the following areas:
Textual analysis and machine learning applications in asset pricing
Fixed income markets
Derivative pricing
Updates: My paper with Weihao Han, David Newton, Emmanouil Platanakis, and Charles Sutcliffe "On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing" is now forthcoming in European Financial Management. The forthcoming version can be read here (Apr 25, 2023)
Starting from 1st February 2023, I am with University of Exeter Business School as an Associate Professor (Reader) of Finance.
My paper with Shamim Ahmed and Ziwen Bu "Product market competition, labor mobility, and the cross-section of stock returns" is now forthcoming in Review of Asset Pricing Studies. The forthcoming version can be read here (Nov 09, 2022)
My paper with Shamim Ahmed and Ziwen Bu "Illiquidity, R&D investment, and stock returns" is now forthcoming in Journal of Money, Credit and Banking. The forthcoming version can be read here (Aug 14, 2022)
Term premium data based on Ye (2015) have been updated to Jul 2022, check the data page here. (Jul 30, 2022)
My paper with Fan Yu and Ran Zhao 'Credit Derivatives and Corporate Default Prediction' is now forthcoming in the Journal of Banking and Finance. The forthcoming version can be read here (Jan 24, 2022)
My paper with David Newton, Emmanouil Platanakis, Dimitrios Stafylas and Charles Sutcliffe 'Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach' is now accepted to the British Accounting Review. The forthcoming version can be read here (Mar 22, 2021)
My paper with Emmanouil Platanakis and Charles Sutcliffe "Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection" is now accepted to European Journal of Operational Research. The forthcoming version can be read here (May 22, 2020)
My paper with Haitao Li and Fan Yu "Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective" is now accepted to European Journal of Operational Research. The forthcoming version can be read here (Apr 08, 2020)
My paper with Van Son Lai "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?" is now accepted to Journal of Money, Credit and Banking. The forthcoming version can be read here (Aug 01, 2019)
My paper with Robert Jarrow, Haitao Li and May Hu "Exploring Mispricing in the Term Structure of CDS Spreads" is now accepted to Review of Finance. The forthcoming version can be read here (Mar 14, 2018)
My paper with Albert Lee Chun, Ethan Namvar, and Fan Yu "Modeling Municipal Yields with (and without) Bond Insurance" is now accepted to Management Science. The forthcoming version can be read here (Nov 07, 2017)
Data of term premium term structure for the US, UK, and Japan are now available here. (Mar 18, 2017)
Data page for Ye (2015) is now available here. The term premium estimates based on Ye (2015) will be updated quarterly on the page. (Oct 6, 2016)