Selected Publications
Retail Attention, Institutional Attention, Journal of Financial and Quantitative Analysist, forthcoming (with Hongqi Liu and Lin Peng)
Unusual News Flow and the Cross-Section of Stock Returns, Management Science, 2018, 64, 3971--4470 (with Turan Bali, Andriy Bodnaruk, and Anna Scherbina)
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns, Management Science, 2017, 63, 3760--3779 (with Turan Bali and Robert Engle)
A Lottery Demand-Based Explanation of the Beta Anomaly, Journal of Financial and Quantitative Analysis, 2017, 56, 2369--2397 (with Turan Bali, Stephen Brown, and Scott Murray)
Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?, Journal of Financial Economics, 2017, 126, 471--489 (with Turan Bali and Stephen Brown)
Imports, Exports, Dollar Exposures, and Stock Returns, Open Economies Review, 2015, 26, 1059--1079 (with Suparna Chakraborty and Liuren Wu)
Bank Delays in the Resolution of Delinquent Mortgages: The Problem of Limbo Loans, Journal of Real Estate Research, 2015, 37, 65--116 (with Linda Allen and Stavros Peristiani)
Liquidity Shocks and Stock Market Reactions, Review of Financial Studies, 2014, 27, 1434--1485 (with Turan Bali, Lin Peng, and Yannan Shen)
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?, Review of Financial Studies, 2012, 25, 3000--3036 (with Linda Allen and Turan Bali)
The Role of Banks in Dividend Policy, Financial Management, 2012, 41, 591--613 (with Linda Allen, Aron A. Gottesman, and Anthony Saunders)
The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR, Journal of Banking and Finance, 2008, 32, 269--282 (with Turan Bali and Henry Mo)
Selected Working Papers
Scapegoating: Uncontrollable Factors Disclosure and Disposition Effect (with Mengjie Huang, Xiumin Martin, and Yuan Xie)
Cutting Operational Costs by Integrating Fintech into Traditional Banking Firms (with Linda Allen, Yu Shan, and Alev Yildirim)
Presented at the 2022 AFA annual meeting
Investor Regret and Stock Returns (with Eser Arısoy and Turan Bali)
Presented at the 2019 Miami Behavioral Finance Conference
Attention, Social Interaction, and Investor Attraction to Lottery Stocks (with Turan Bali, David Hirshleifer, and Lin Peng)
Presented at the 2020 AFA annual meeting
Presented at the 2018 Miami Behavioral Finance Conference
How Do Fundamentals Matter? Stock Market Responses to Earnings Announcements (with Malick Sy and Liuren Wu)
Corporate Equity Ownership and Expected Stock Returns (with Jinliang Li and An Yan)
Disagreement in Economic Forecasts and Equity Returns, Risk or Mispricing? (with Turan Bali and Stephen Brown)
Causes or Consequences? Earnings Management Around Seasoned Equity Offerings (with Jie Chen and Zhaoyang Gu)