Research Interests

  • Empirical and Theoretical Asset Pricing (with a special interest in the bond and credit markets)

  • Financial Intermediation and Banking

  • Monetary Economics

  • Financial Econometrics

Working Papers

Cryptocurrency Factor Portfolios: Performance, Decomposition and Pricing Models (with Weihao Han, David Newton, Emmanouil Platanakis, and Charles Sutcliffe, available online at SSRN) local download

2021 Southwestern Finance Association Annual Meeting*; The 28th Annual Global Finance Conference*; 2021 Annual Meeting of the European Financial Management Association*; The 19th Annual Conference of the Hellenic Finance and Accounting Association*; BAFA: 2021 Annual Conference*; International Conference of the Financial Engineering and Banking Society (2021)*; The Finance Symposium 2021* (Best Paper Award)

Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk (with Michael B. Imerman and Ran Zhao, available online at SSRN) local download

CAFR 2021 (Sep. 2021)*

Cross-Autocorrelation, Risk Transmission and Contagion in the Global CDS Markets (with Charlie X. Cai and May Hu, available online at SSRN) local download, Presentation slides

The 3rd Greater China Area Finance Conference (Dec. 2020)

Informational Friction, Economic Uncertainty, and CDS-Bond Basis (with Charlie X. Cai and Ran Zhao, available online at SSRN) local download, a short video summary is available here. Presentation slides

Durham University Business School (Feb. 2021); ICMA Centre, University of Reading (Apr. 2021); University of Bath School of Management (Jul. 2021); 52nd MMF Annual Conference (Sep. 2021); Annual Meeting of FMA (Oct. 2021)*

Illiquidity, R&D investment, and stock returns (with Shamim Ahmed and Ziwen Bu, available online at SSRN) local download

Product market competition, labor mobility, and the cross-section of stock returns (with Shamim Ahmed and Ziwen Bu, available online at SSRN) local download Presentation slides

Eastern Finance Association Annual Meeting (Apr. 2021); 37th International Conference of the French Finance Association (May 2021); Annual Meeting of FMA (Oct. 2021)

Credit Derivatives and Corporate Default Prediction (with Fan Yu and Ran Zhao, available online at SSRN) local download.

Midwest Finance Association Annual Meeting (Mar. 2021)*


Journal Articles

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach (with David Newton, Emmanouil Platanakis, Dimitrios Stafylas and Charles Sutcliffe, available online at SSRN) forthcoming in British Accounting Review

BAFA: Corporate Finance and Asset Pricing Conference (Sep. 2019)*

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (with Emmanouil Platanakis and Charles Sutcliffe, available online at SSRN) local download, Media mention: CXO Advisory Group European Journal of Operational Research, January 2021, Volume 288, Issue 1, Pages 302-317. Lead article in 'Innovative Applications of O.R.'

BAFA: Corporate Finance and Asset Pricing Conference (Sep. 2019); The 7th Paris Financial Management Conference (Dec. 2019)*; International Conference of the Financial Engineering and Banking Society (2020)*

How Does the Market View Bank Regulatory Capital Forbearance Policies? (with Van Son Lai, available online at SSRN) local download with online appendix Journal of Money, Credit and Banking, December 2020, Volume 52, Issue 8, Pages 1873-1907. Lead article; A digested abstract is featured in Policy, Law and Regulation in World Banking Abstracts (April 2021).

International Conference of the Financial Engineering and Banking Society, Guildford, UK (Jun. 2014); Finance Workshop at School of Economics and Finance, Victoria University of Wellington, New Zealand (Nov. 2014); FMA European Conference (Jun. 2015)*; 9th Annual Risk Management Conference, Singapore (Jul. 2015); 4th International Conference on Credit Analysis and Risk Management, Basel, Switzerland (Aug. 2015); seminar at Econometric Institute, Erasmus University Rotterdam, Netherlands (Nov. 2015); Finance seminar at Wang Yanan Institute for Studies in Economics, Xiamen University, China (Dec. 2015); Multinational Finance Society Conference, Stockholm, Sweden (Jun. 2016)*; Annual Meeting of FMA, Boston, USA (Oct. 2017)*; 2017 China International Risk Forum, Shanghai Jiao Tong University, China (Dec. 2017)

Unifying Gaussian Dynamic Term Structure Models from an Heath-Jarrow-Morton Perspective (with Haitao Li and Fan Yu, available online at SSRN) local download European Journal of Operational Research, November 2020, Volume 286, Issue 3, Pages 1153-1167

Are Market Views on Banking Industry Useful for Forecasting Economic Growth? (with Van Son Lai and Lu Zhao) local download Pacific-Basin Finance Journal, October 2019, Volume 57,101082

Modeling Municipal Yields with (and without) Bond Insurance (with Albert Lee Chun, Ethan Namvar, and Fan Yu, available online at SSRN) forthcoming version online appendices Management Science, August 2019, Volume 65, Issue 8, Pages 3694-3713

Seminars at McMaster University*; University of New South Wales*; University of Sydney*; University of Technology Sydney (Oct, 2015)*; University of Toronto*; 49th MMF Annual Conference, London, UK (Sep. 2017)

Exploring Mispricing in the Term Structure of CDS Spreads (with Robert Jarrow, Haitao Li, and May Hu, available online at SSRN) local download Review of Finance, February 2019, Volume 23, Issue 1, Pages 161–198,

4Th Annual Conference on Advances in the Analysis of Hedge Fund Strategies, London, UK (Dec. 2009)*; RMI Special Seminar, Singapore (Apr. 2010); Workshop on Financial Econometrics, Toronto, Canada (Apr. 2010)*; Quant Congress, New York, USA (Jul. 2010)*

Counter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market (with Jian Luo and May Hu, available online at SSRN) local download International Review of Finance, June 2016, Volume 16, Issue 2, pages 203–241

5th Financial Markets & Corporate Governance Conference (Best Paper Award in the Asset Pricing), Brisbane, Australia (Apr. 2014); China International Conference in Finance, Chengdu, China (Jul. 2014); School of Economics and Finance, Victoria University of Wellington, New Zealand (Nov. 2014)

Optimizing Enterprise Risk Management (with Yongrok Choi, Amanda Luo, and Lu Zhao) local download, Annals of Operations Research, February 2016, Volume 237, Issue 1–2, pp 281–300

A New Approach to Measuring Market Expectations and Term Premia, Journal of Fixed Income, Spring 2015, Vol. 24, No. 4: pp. 22-46 (previously titled "Market Expectations, Term Premia, and the Short Rate in the Term Structure of Interest Rates" ) Updated term premium data are available here ! Term premium term structure data for more countries are available here !

4th Joint BIS-World Bank Public Investors Conference, Washington DC, USA (Dec. 2012); AIDEA Bicentenary conference, Banking and Finance Track, Lecce, Italy (Sep. 2013)

( * presented by co-authors )

Book Chapter

Term Structure, Market Expectations of the Short Rate, and Expected Inflation (with Jian Luo) In: Mili M., Samaniego Medina R., di Pietro F. (eds) New Methods in Fixed Income Modeling. Contributions to Management Science. Springer, Cham, August 2018


Works in Progress

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence (with Haitao Li and Fan Yu, a new version is under revision and will be available soon)

Young Researchers Workshop on Finance(invited speaker), Tokyo Metropolitan University, Japan (Mar. 2011); Workshop in Fixed Income and Bond Markets, Xiamen University, China (Oct. 2011); Federal Reserve Board Seminar, Washington DC, USA (May. 2013); China International Conference in Finance, Shenzhen, China (Jul. 2015); 9th Annual Risk Management Conference, Singapore (Jul. 2015)

Conference Discussions

Discussion: "Do Firms Leave Workers in the Dark Before Wage Negotiations?" by Sunny (Seung Yeon) Yoo, the 37th International Conference of the French Finance Association-AFFI (May, 2021, remotely)

Discussion: "The Market Risk Premium for Unsecured Consumer Credit Risk" by Matthias Fleckenstein and Francis A. Longstaff, Eastern Finance Association 2021 Annual Meeting (Apr, 2021, remotely)

Discussion: "The social value of public information when not everyone is privately informed" by Stephanie Chan, 3rd GCFC, Xiamen, China (Dec, 2020, remotely)

Discussion: “Does Model Complexity add Value to Asset Allocation? Evidence from Machine Learning Forecasting Models” by Iason Kynigakis and Ekaterini Panopoulou, 12th IAFDS, Milan, Italy (Jun, 2019).

Discussion: “The Relation between Counter-party Default and Interest Rate Volatility, and Its Impact on the Credit Risk of Interest Rate Derivatives” by Geoffrey R. Harris, Tao L. Wu, and Jiarui Yang, FMA 2015, Orlando, USA (Oct, 2015).

Discussion: “Pricing of Implicit Guarantees for Financial Institutions” by Jakob J. Bosma, FMA 2015, Orlando, USA (Oct, 2015).

Discussion: “Systematic Risk and Yield Premiums in the Bond Market” by Liang Fu, Austin Murphy, and Terry Benzschawel, 4th Conference on Credit Analysis and Risk Management, Basel, Switzerland (Aug, 2015).

Discussion: “Risk and Return Trade-o. in the U.S. Treasury Market” by Eric Ghysels, Anh Le, Sunjin Park, and Haoxiang Zhu, China International Conference in Finance, Chengdu, China (Jul, 2015).

Discussion: “Inferring Volatility Dynamics and Variance Risk Premia: An Efficient Bayesian Approach” by Andras Fulop and Junye Li, China International Conference in Finance, Chengdu, China (Jul, 2015).

Discussion: “Forecasting Corporate Bond Returns: A Regressed Combination Approach” by Hai Lin, Chunchi Wu, and Guofu Zhou, Finance Workshop at School of Economics and Finance, Victoria University of Wellington, New Zealand (Nov, 2014).

Discussion: “Sentiment and Corporate Bond Valuations Before and After the Onset of the Credit Crisis” by Jing-Zhi Huang, Marco Rossi, and Yuan Wang, China International Conference in Finance, Chengdu, China (Jul, 2014).

Discussion: “Pricing Performance of Ad-Hoc Black-Scholes Models vis-à-vis TSRV Based Black-Scholes Model: Empirical Evidences from Indian Options Market” by Alok Dixit and Shivam Singh, Financial Markets & Corporate Governance Conference, Brisbane, Australia (Apr. 2014).

Discussion: “The Impact of Liquidity on Senior Credit Spreads during the Subprime Crisis” by Miriam Marra, AIDEA Bicentenary conference, Banking and Finance Track, Lecce, Italy (Sep. 2013).

Discussion: “The Determinants of the Credit Rating of Local Government Financing Vehicle Bonds in China” by Robin H. Luo and Linfeng Chen, Workshop in Fixed Income and Bond Markets, Xiamen University, China (Oct. 2011).

Discussion: “Corporate Distress and Innovation in Asia” by R. Moro, S. Aliakbari, G.Prato, and D. Nepelski, 5th Annual Risk Management Conference, Singapore (Jul. 2011).


Contribution to Erratum

Erratum to “Circuit breakers and market volatility: A theoretical perspective,” Journal of Finance 49 (1994), 237-254 by Avanidhar Subrahmanyam (local links to the Erratum and my short note to Prof. Subrahmanyam regarding the mistake).

PS. My previous affiliation mentioned in the erratum should be Stockholm Business School at Stockholm University instead of SSE.