Research Interests
Empirical asset pricing, asset management, real estate finance

Which Factors? (with Kewei Hou, Haitao Mo, and Lu Zhang), 2019, Review of Finance 23 (1), 1-35. Editor's Choice, Lead Article | Internet appendix | Formerly titled "Motivating Factors" and “A Comparison of New Factor Models" | Second Prize, the 2015 Chicago Quantitative Alliance Annual Academic Competition | Battle of new factor models

Replicating Anomalies (with Kewei Hou and Lu Zhang), 2018, forthcoming, Review of Financial Studies. Internet appendix | Second Prize, the 2017 Chicago Quantitative Alliance Annual Academic Competition | WSJ: An Algorithm, an ETF and an Academic StudyBloomberg: A Huge Shot at Hottest Investments | Economist: Factor Investing Gains Popularity

Digesting Anomalies: An Investment Approach (with Kewei Hou and Lu Zhang), 2015, Review of Financial Studies 28 (3), 650-705. Editor's Choice | Internet appendix | Most cited RFS paper published in 2015 | OUPblog | Improving on Fama-French | Passive investing's foundations

A Supply Approach to Valuation (with Frederico Belo and Lu Zhang), 2013, Review of Financial Studies 26 (12), 3029-3067. Internet appendix

The Cross Section of Expected Real Estate Returns: Insights from Investment-based Asset Pricing (with Shaun Bond), 2017, Journal of Real Estate Finance and Economics 54 (3), 403-428.

Working Papers
Aggregation, Capital Heterogeneity, and the Investment CAPM (with Andrei S. Goncalves and Lu Zhang), 2019. Internet appendix

q^5 (with Kewei Hou, Haitao Mo, and Lu Zhang), 2018. Internet appendix