Research

Here is my Google Scholar page.

Publications

1. “The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swaps”, with Redouane Elkamhi and Kris Jacobs, Journal of Financial and Quantitative Analysis, 2014, Vol 49, pp 193-220. Download (SSRN, JFQA)

2. “Equity Portfolio Management Using Option Price Information”, with Peter Christoffersen, Canadian Investment Review, 2014. Non-refereed . Download (SSRN)

3. “Oil Volatility Exposure and Expected Stock Returns”, with Peter Christoffersen, Journal of Banking and Finance, 2018, Vol 95, pp 5-26. Download (SSRN, JBF)

4. “Does Institutional Ownership Predict Mutual Fund Performance? An Examination of Undiscovered Holdings within 13F Reports”, with Kainan Wang and Blerina Bela Zykaj, European Financial Management, 2019, Vol 25, pp 1249-1285. Download (SSRN, EFM)

5. “The State Price Density Implied by Crude Oil Futures and Option Prices”, with Peter Christoffersen and Kris Jacobs, Review of Financial Studies, 2022, Vol 35, pp 1064–1103. Download (SSRN, RFS, earlier version). 

6. “The Cross-Section of Monetary Policy Announcement Premium”, with Hengjie Ai, Leyla Jianyu Han, and Lai Xu, Journal of Financial Economics, 2022, Vol 143, pp 247-276. Download (SSRN, JFE).

7. “Tail Risk around FOMC Announcements”, with Kris Jacobs, and Sai Ke. Journal of Financial and Quantitative Analysis, forthcoming. Download (SSRN, JFQA)

8. “Uncertain Firm Profits and (Indirectly) Priced Idiosyncratic Volatility”, with Bharat Raj Parajuli and Petra Sinagl. Journal of Business Finance & Accounting, forthcoming. Download (SSRN, JBFA)

Working Papers

1.  “The Impact of Forward Guidance on the Crude Oil Market”, with Xiaohan Ma. Download (SSRN) 

• Presented at: University of Oklahoma, Midwest Macroeconomics Meeting 2024*, the 7th Annual J.P. Morgan Center International Commodities Symposium, Central Bank Research Association (CEBRA) workshop for Commodities and Macroeconomics 2024, West Virginia University

• Revise and Resubmit, Review of Finance

2.  “Nominal Rigidity and the Inflation Risk Premium: Identification from the Cross Section of Equity Returns”, with Hengjie Ai and Xinxin Hu. Download (SSRN)

• Presented at: Indiana University*, Advances in Macro-Finance Tepper-LAEF Conference 2024 (CMU)*, UT Dallas Finance Conference 2024*, University of Wisconsin*, SFS Cavalcade Asia-Pacific 2024*, MFA 2025*, EFA 2025 (scheduled)

3.  “Can the Bid-Ask Spread Alone Explain the Trend in Aggregate Idiosyncratic Variance?”, with David Lesmond. Download (SSRN) 

• Revise and Resubmit, Journal of Banking and Finance

4. "Hedging Pressure, Variance Risk Premia, and Expected Futures Returns in the Commodity Market" with Asad Dossani and Sang Baum Kang

Inactive Working Papers

“What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce”, with David Lesmond, Rob Stein, and Yihua Zhao. Download (SSRN) 

• Presented at: SFS Cavalcade 2018 

“Commodity Variance Risk Premia and Expected Futures Returns: Evidence from the Crude Oil Market”, with Sang Baum Kang. Download (SSRN)

• Revise and Resubmit, Management Science 

 (* Paper presented by co-author)