Publications
- A Market-based Funding Liquidity Measure (with Andrea Lu), Review of Asset Pricing Studies, forthcoming
- Data: traded funding liquidity factor (FLS, last updated on December 31, 2017), download
- Empirical Investigation of an Equity Pairs Trading Strategy (with Huafeng Chen, Shaojun Chen, and Feng Li), Appendix, Management Science, forthcoming
- A Performance Comparison of Large-n Factor Estimates (with Gregory Connor and Robert A. Korajczyk), Review of Asset Pricing Studies 8 (1), June 2018, pp. 153-182
- Seeing the Unobservable from the Invisible: the Role of CO2 in Measuring Consumption Risk (with Andrea Lu), Review of Finance 22 (3), May 2018, pp. 977-1009
- Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets (with Andrea Lu), Journal of Banking and Finance 75, February 2017, pp. 98-108
- Growing Pains: International Instability and Equity Market Returns (with Andrea Lu and Zhuqing Yang), Financial Management 46 (1), Spring 2017, pp. 59-87
Working Papers
- Characteristics-based Factors (with Bibo Liu, Huijun Wang, Zhengwei Wang, and Jianfeng Yu), April 2018
- The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes (with Zhiguo He and Chun Liu), November 2017
Work in Progress
- Decoding Leveraged Trading (with Pengfei Li, Zhengwei Wang, and Bohui Zhang), March 2016
Discussions
- The Value and Real Effects of Implicit Government Guarantees (by Shuang Jin, Wei Wang, and Zilong Zhang), 2018 SIF
- Strategic Complementarities and Monitoring: A Study of Mutual FundStyles (by Yijun Zhou), 2018 CICF
- Better Bond Indices and Liquidity Gaming the Rest (by Adriana Robertson and Matthew Spiegel), 2017 SFS Calvacade Asia-Pacific
- Industry Competition, Credit Spreads, and Levered Equity Returns (by Alexandre Corhay), 2017 CICF
- Prospective Book-to-Market Ratio and Expected Stock Returns (by Kewei Hou, Yan Xu, and Yuzhao Zhang), 2017 CICF
- Implicit Guarantee and Shadow Banking: the Case of Trust Products (by Franklin Allen, Xian Gu, Jun "QJ" Qian, and Yiming Qian), 2017 Central University of Finance and Economics School of Finance Workshop
- Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance (by Patrick Gagliardini and Diego Ronchetti), 2015 Paris December Finance Meeting
- Tail Risk Hedging and Regime Switching (by Markus Huggenberger, Peter Albrecht, and Alexandr Pekelis), 2015 CICF
- The Causal Effects of Margin Trading and Short Selling on Earnings Management: A Natural Experiment from China (by Zhaojing Chen, Nathan Dong, and Ming Gu), 2015 CICF
- Fire Sales and Liquidity Provision in the Corporate Bond Market (by Jay Wang, Hanjiang Zhang, and Xinde Zhang), 2015 CICF
- General Purpose Technologies, International Technology Diffusion, and the Cross Section of Stock Returns (by Po-Hsuan Hsu and Wei Yang), 2015 CICF
- Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium (by Jieun Lee and Joseph Ogden), The 9th International Conference on Asia-Pacific Financial Markets
- Institutional Investors and Stock Return Anomalies (by Roger Edelen, Ozgur Ince, and Gregory Kadlec), The 3rd Luxembourg Asset Management Summit
- Jump Risk and Option Liquidity in an Incomplete Market (by Pei-Lin Hsieh and Ya-Jun Wang), The 3rd International Conference on Futures and Derivatives Markets
- Funding Liquidity Risk and the Cross-Section of Stock Returns (by Jean-Sebastien Fontaine, Rene Garcia, and Sermin Gungor), 2014 Bank of Canada Conference on Collateral, Liquidity and Central Bank Operations
- Measuring Liquidity Mismatch in the Banking Sector (by Jennie Bai, Arvind Krishnamurthy, and Charles-Hneri Weymuller), 2014 CICF
- Systemic Risk and Market Liquidity (by Kebin Ma), 2014 CICF
- Carry (by Ralph Koijen, Tobias Moskowitz, Lasse Pedersen and Evert Vrugt), 2013 EFA Meeting
- Deception and Managerial Structure: A Joint Study of Portfolio Pumping and Window Dressing Practices (by Saurin Patel and Sergei Sarkissian), 2013 EFA Meeting
- Long/Short Equity Hedge Funds and Systematic Ambiguity (by Rajna Gibson and Nikolay Ryabkov), 2013 MFA Meeting