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. “Oil Volatility Exposure and Expected Stock Returns”, with Peter Christoffersen, Journal of Banking and Finance, 2018, Vol 95, pp 5-26. Download (SSRN, JBF)
3. “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)
4. “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).
5. “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).
Working Papers
6. “Tail Risk around FOMC Announcements”, with Kris Jacobs, and Sai Ke. Download (SSRN)
Presented at: University of Houston*, University of Oklahoma, University of Mississippi*, Colorado State University, Northern Finance Association 2023*, Canadian Derivatives Institute Conference 2023*, Financial Management Association 2023*, Midwest Finance Association 2024, European Finance Association 2024 (scheduled)
Revise and Resubmit, Journal of Financial and Quantitative Analysis
7. “The Impact of Forward Guidance on the Crude Oil Market”, with Xiaohan Ma. (Coming soon)
Presented at: University of Oklahoma, Midwest Macroeconomics Meeting 2023*, the 7th Annual J.P. Morgan Center International Commodities Symposium (scheduled), Central Bank Research Association (CEBRA) workshop for Commodities and Macroeconomics (scheduled)
8. “Microstructure Biases and the Trend in Aggregate (Idiosyncratic) Variance”, with David Lesmond. Download (SSRN)
9. “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
10. “Uncertain firm profits and (indirectly) priced idiosyncratic volatility”, with Bharat Raj Parajuli and Petra Sinagl. Download (SSRN)
Presented at: University of Iowa*, University of Oklahoma
11. “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
12. “Oil Price Uncertainty and Real Economic Activities: Importance of Disentangling the Diffusive and Jump Components”, with Sang Baum Kang and Jolene Zhao.
Presented at: AEA 2017*, MFA 2017*, SoFiE 2017
(* Paper presented by co-author)
Other Publications
“Equity Portfolio Management Using Option Price Information”, with Peter Christoffersen, Canadian Investment Review, 2014. Download (SSRN)