Research
"Government Support and the Term Structure of Yield Spreads for Chinese SOEs," with Yuanzhen Lyu (2023)
"Customer-Supplier Relationships and Corporate Diversification," with Jin Lei and Yan Wang (2022)
"Accounting Transparency and the Implied Volatility Skew," with Hitesh Doshi, Jan Ericsson, and Stephen Szaura (2022)
"Bond Volatility and CDS Auctions," with Jennifer Mace and Ran Zhao (2022)
"Credit Derivatives and Firm Investment," with George Batta (2019)
"Credit Derivatives and Corporate Default Prediction," with Xiaoxia Ye and Ran Zhao, Journal of Banking and Finance 138, 106418 (2022)
"Corporate Credit Derivatives," with George Batta, in Oxford Research Encyclopedia of Economics and Finance (2022)
"地方政府隐性债务与城投债定价," with Laura Liu and Yuanzhen Lyu, 金融研究 498, 170-188 (2021), excellent paper award winner. Translated English version entitled "Local Government Implicit Debt and the Pricing of LGFV Bonds" can be downloaded here and VOX China summary can be found here.
"Credit Risk Spillovers and Cash Holdings," with Jin Lei, Jiaping Qiu, and Chi Wan, Journal of Corporate Finance 68, 101965 (2021)
"Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective," with Haitao Li and Xiaoxia Ye, European Journal of Operational Research 286(3), 1153-1167 (2020)
"Property Investment and Rental Rate Under Housing Price Uncertainty: A Real Options Approach," with Honglin Wang and Yinggang Zhou, Real Estate Economics 48(2), 633-665 (2020)
"Modeling Municipal Yields with (and without) Bond Insurance," with Albert Lee Chun, Ethan Namvar, and Xiaoxia Ye, Management Science 65, 3694-3713 (2019)
"The Impact of Trade Reporting and Central Clearing on CDS Price Informativeness," with Miriam Marra and Lu Zhu, Journal of Financial Stability 43, 130-145 (2019)
"A Re-Examination of Rating Shopping and Catering using Post-Crisis Data on CDOs," with Robert Owlett, Economics Letters 147, 164-167 (2016)
"Credit Derivatives and Analyst Behavior," with George Batta and Jiaping Qiu, Accounting Review 91(5), 1315-1343 (2016)
"Are Credit Ratings Relevant in China's Corporate Bond Market?" with Raghav Dhawan, Chinese Economy 48(3), 235-250 (2015)
"Social Learning and Parameter Uncertainty in Irreversible Investments: Evidence from Greenhouse Adoption in Northern China," with Jikun Huang, Thomas Reardon, Scott Rozelle, and Honglin Wang, China Economic Review 27, 104-120 (2013)
"The Spillover Effects of Biofuel Policy on Participation in the Conservation Reserve Program," with Zhengfei Guan, Robert Myers, and Feng Wu, Journal of Economic Dynamics and Control 37(9), 1755-1770 (2013)
"Endogenous Liquidity in Credit Derivatives," with Jiaping Qiu, Journal of Financial Economics 103(3), 611-631 (2012)
"The Determinants of Operational Risk in U.S. Financial Institutions,” with Anna Chernobai and Philippe Jorion, Journal of Financial and Quantitative Analysis 46(6), 1683-1725 (2011)
"Pricing Credit Default Swaps with Option-Implied Volatility," with Charles Cao and Zhaodong Zhong, Financial Analysts Journal 67(4), 67-76 (2011)
"The Information Content of Option-Implied Volatility for Credit Default Swap Valuation,” with Charles Cao and Zhaodong Zhong, Journal of Financial Markets 13(3), 321-343 (2010)
"The Market for Corporate Control and the Cost of Debt,” with Jiaping Qiu, Journal of Financial Economics 93(3), 505-524 (2009)
"Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?” with Jefferson Duarte and Francis Longstaff, Review of Financial Studies 20(3), 769-811 (2007)
"Correlated Defaults in Intensity-Based Models,” Mathematical Finance 17(2), 155-173 (2007)
"How Profitable Is Capital Structure Arbitrage?” Financial Analysts Journal 62(5), 47-62 (2006)
"Introduction to Special Issue on Capital Structure Arbitrage,” Banque & Marchés 80, 5-6 (2006)
"Accounting Transparency and the Term Structure of Credit Spreads,” Journal of Financial Economics 75(1), 53-84 (2005)
"Default Risk and Diversification: Theory and Empirical Implications,” with Robert Jarrow and David Lando, Mathematical Finance 15(1), 1-26 (2005)
"Default Correlation in Reduced-Form Models,” Journal of Investment Management 3(4), 33-42 (2005)
"Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options,” with Charles Cao and Haitao Li, Journal of Futures Markets 25(8), 717-752 (2005)
"Modeling Expected Return on Defaultable Bonds,” Journal of Fixed Income 12(2), 69-81 (2002)
"Counterparty Risk and the Pricing of Defaultable Securities,” with Robert Jarrow, Journal of Finance 56(5), 1765-1799 (2001)
"Interest Rate, Currency and Equity Derivatives Valuation Using the Potential Approach,” with Naosuke Nakamura, International Review of Finance 1(4), 269-294 (2000)
"What Is the Value of Knowing Uninformed Trades?” Economics Letters 64(1), 87-98 (1999)