PUBLISHED PAPERS

Gaining a Seat at the Table: Enhancing the Attractiveness of Online Lending for Institutional Investors (with Ram Gopal, Moris Strub, and Zonghao Yang), Information Systems Research, Forthcoming. 

Coverage by The European Financial Review and Fintech Global

Generative Learning for Financial Time Series with Irregular and Scale-Invariant Patterns (with Minghua Chen and Hongbin Huang), Proceedings of 12th International Conference on Learning Representations (ICLR), (2024).  

2024 Gradient AI Research Award

Spotlight Paper (top 5%)

Commodity Momentum : A Tale of Countries and Sectors (with John Fan), Journal of Commodity Markets, 100315 (2023).  

Option Pricing via Breakeven Volatility (with Blair Hull and Anlong Li), Financial Analysts Journal, 79.1 (2023), 99-119.  

Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds (with Yeguang Chi and Yu Liu), Journal of Portfolio Management, 48.8 (2022), 159-176.  

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising (with Xiang-Yu Cui, Duan Li, and Moris Strub), Journal of Operations Research Society of China, 10.3 (2022), 529-558.

Memorial Issue for Professor Duan Li

Deep Learning Credit Risk Modeling (with Gerardo Manzo), Journal of Fixed Income, 31.2 (2021), 101-127.  

Correlated Idiosyncratic Volatility Shocks (with Alex Wang), Journal of Risk, 23.5 (2021), 25-54.  

Volatility and Returns: Evidence from China (with Yeguang Chi, Sibo Yan, and Binbin Deng), International Review of Finance, 21.4 (2021), 1441-1463.

CFA Institute Asia-Pacific Research Exchange Editor's Selection

Follow the Smart Money: Factor Forecasting in China (with  Qinhua Chen and Yeguang Chi), Pacific-Basin Finance Journal, 62.1 (2020), 101368.

Downside Volatility-Managed Portfolios (with Binbin Deng and Sibo Yan), Journal of Portfolio Management, 46.7 (2020): 13-29. 

Lead Article

Machine Learning for Recession Prediction and Dynamic Asset Allocation (with Alex James and Yaser Abu-Mostafa), Journal of Financial Data Science, 1.3 (2019): 41-56. 

Top Five Most Viewed Papers in 2019 across 11 Portfolio Management Research (PMR) Journals (370+ papers)

Return Predictability and Market-Timing: A One-Month Model (with Blair Hull and Petra Bakosova), Journal Of Investment Management, 17.3 (2019): 47-64.

On Commodity Price Limits (with Rajkumar Janardanan and K. Geert Rouwenhorst), Journal of Futures Markets, 39.8 (2019): 946-961.

A Practitioner's Defense of Return Predictability (with Blair Hull), Journal of Portfolio Management, 43.3 (2017): 60-76. 

R/Finance 2016 Best Paper Award

Featured in the Chartered Alternative Investment Analyst (CAIA) Level II Exam

Coverage by Forbes, Chicago Booth Review, Wharton Magazine, and Fair Observer

Value Investing Through the Lens of Campbell-Shiller (with Jack P. Mo), Journal of Portfolio Management, 41.3 (2015): 59-69. 

Featured in Institutional Investor 

BOOK CHAPTERS

Mutual fund investing in the Chinese A-share market (with Yeguang Chi), In Handbook of Banking and Finance in Emerging Markets, (2022), 32-50.   

COVID-19 Effects on Intraday Stock Market Behavior (with Jiayang Nie and Sibo Yan), In Financial Transformations Beyond the COVID-19 Health Crisis, (2022), 229-252.   

WORKING PAPERS

The Flipside of Financial Innovation: Why Contracts Fail (with Rajkumar Janardanan and K. Geert Rouwenhorst), 2024

ESG and Derivatives (with Rajkumar Janardanan and K. Geert Rouwenhorst), 2024

Cross-Sectional Evidence in Consumption Mismeasurement, 2013

DISCUSSIONS

Hedging Climate Change Risk: A Real-time Market Response Approach

By Yang Cao, Miao Liu, and Rachel Zhang

2024 Hong Kong Conference for Fintech, AI, and Big Data in Business, May 2024

Confident Risk Premiums and Investments using Machine Learning Uncertainties

By Rohit Allena

2023 Hong Kong Conference for Fintech, AI, and Big Data in Business, June 2023

A Tale of Two Premiums Revisited

By Loïc Maréchal

J.P. Morgan Center for Commodities International Symposium, August 2022

Hidden Alpha

By Manuel Ammann, Alexander Cochardt, Lauren Cohen, and Stephan Heller

2022 Hong Kong Conference for Fintech, AI, and Big Data in Business, May 2022

Demystifying Commodity Futures in China

By John Hua Fan and Tingxi Zhang

J.P. Morgan Center for Commodities International Symposium, August 2019

Practitioner Insights, Technology in Finance

Financial Management Association Applied Finance Conference, May 2019

Monetary Policy and Reaching for Income

By Kent Daniel, Lorenzo Garlappi, and Kairong Xiao

Rodney L. White Center Conference on Financial Decisions and Asset Markets, March 2019

Oil Price Exposure, Earnings Announcements, and Stock Return Predictability

By Jordan Moore and Mihail Velikov

J.P. Morgan Center for Commodities International Symposium, August 2018

Profitability Anomaly and Aggregate Volatility Risk

By Alexander Barinov

Northern Finance Association, September 2017

Information Shares in Stationary Time Series and Global Volatility Discovery

By Rainer Baule, Bart Frijns, and Milena E. Tieves

Auckland Finance Meeting, December 2016

Information Environment, Systematic Volatility and Stock Return Synchronicity

By Jing Wang, Steven X. Wei, and Wayne Yu

29th Australasian Finance and Banking Conference, December 2016

The Dog Has Barked for a Long Time: Dividend Growth is Predictable

By Andrew Detzel and Jack Strauss

World Finance Conference, July 2016

Asset Price Effects of Peer Benchmarking: Evidence From a Natural Experiment

By Sushant Acharya and Alvaro Pedraza

Midwest Finance Association Annual Meeting, March 2016

Savings-CAPM: A Possible Solution to the Consumption-CAPM Equity Premium Puzzle (EPP)

By Josilmar Cia

Midwest Finance Association Annual Meeting, March 2015

When Factors Don't Span Their Basis Portfolios

By Konark Saxena

27th Australasian Finance & Banking Conference, December 2014

Do Structural Breaks in Asset Pricing Models Explain Asset Pricing Anomalies?

By Russell Robins and Geoffrey Smith

Midwest Finance Association Annual Meeting, March 2014