Papers

Funding Value Adjustments, with Leif Andersen and Darrell Duffie,  Journal of Finance (2019)

The Mismatch Between Mutual Fund Scale and Skill,  Journal of Finance (2020) 

Obfuscation in Mutual Funds, with Ed deHaan, Chloe Xie, and Christina Zhu, Journal of Accounting and Economics (2021)

• Policy: SEC Commissioner Crenshaw "Statement on Tailored Shareholder Reports for Mutual Funds and Exchange Traded Funds”  and SEC Rule 33-11125, 2022

What Do Mutual Fund Investors Really Care About, with Itzhak Ben-David, Jiacui Li, and Andrea Rossi, Review of Financial Studies (2022)

A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle, with Charles M.C. Lee, Shiyang Huang, and Hong Xiang, Journal of Financial Economics (2022)

Ratings-Driven Demand and Systematic Price Fluctuations, with Itzhak Ben-David, Jiacui Li, and Andrea Rossi, Review of Financial Studies (2022)

The Smart Beta Mirage,  with Shiyang Huang and Hong Xiang, Journal of Financial and Quantitative Analysis (2023)

• 2021 EFA American Association of Individual Investors Best Paper Award

• A short summary by Bloomberg "Darkest Quant Fears Ring True in $1 Trillion World of Smart Beta"  

Index Providers: Whales Behind the Scenes of ETFs, with Yu An and Matteo Benetton, Journal of Financial Economics, Forthcoming

• Dimensional Fund Advisors Best Paper Award (runner-up), AIM Investment Conference. 

• Policy: SEC Rule 33-11125, 2022 

Discontinued Positive Feedback Trading  and the Decline of Return Predictability,  with Itzhak Ben-David, Jiacui Li,  and Andrea Rossi, Journal of Financial and Quantitative Analysis, Forthcoming

Noise Trading and Asset Pricing Factors, with Shiyang Huang and Hong Xiang 

• Revise and Resubmit

• Best Paper Award, 7th Annual Financial Research Network (FIRN) Asset Pricing Meeting. 

The Term Structure of Liquidity Premium, with Scott Joslin and Wenhao Li

• SFS Cavalcade, NFA...