Time-Varying Ambiguity, Credit Spreads, and the Levered Equity Premium, 2019, Journal of Financial Economics, Vol 134, Issue 3, 617–646.
WFA, CICF
Specification Analysis of Structural Credit Risk Models (wih Jingzhi Huang and Hao Zhou), 2020, Review of Finance, Vol 24, Issue 12, 45-98
AFA
What do we know about corporate bond returns? (with Jingzhi Huang), 2021, Annual Review of Financial Economics, Vol 13, Issue 1, 363-399
Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance (wih Jingzhi Huang), 2023, Management Science, Vol 69, Issue 3, 1323-1934
AFA
Determinants of Short-Term Corporate Yield Spreads：Evidence from the Commercial Paper Market (with Jingzhi Huang and Bibo Liu), 2023, Review of Finance, Vol 27, Issue 2, 539-579
The Global Credit Spread Puzzle (with Jingzhi Huang and Yoshio Nozawa), 2024, Journal of Finance, Vol 80, Issue 1, 101–162.
AFA, CICF
Oil-Driven Greenium (with Shaojun Zhang)
CICF
What Drives Global Corporate Bond Returns? (with Jiarui Deng and Kewei Hou)
CICF
Hedging Interest Rate Risk in the Corporate Bond Market (with Jingzhi Huang)
CICF, NFA
Understanding Term Premia on Real Bonds (with Jingzhi Huang)
AFA
Assessing Corporate Credit Interventions: A Structural Approach with Debt Illiquidity and Time-Varying Volatility (with Jingzhi Huang, Yuan Wang and Rui Zhong)
CICF
Corporate Basis and Demand for U.S. Dollar Assets (with Grace Hu, Ganesh Viswanath-Natraj and Junxuan Wang)
CICF, EFA
Rethinking Risk-Return Tradeoff in Credit Markets: Insights from Corporate Loan Returns (with Fang Qiao)
Model Selection for High-Dimensional Problems (with Jingzhi Huang and Wei Zhong)
Handbook of Financial Econometrics and Statistics, Chapter 77
C.F. Lee and John Lee, eds, Springer Verlag, 2013