Publications
Production-Based Measures of Risk for Asset Pricing, 2010, Journal of Monetary Economics, 57(2), 146-163. (Data and Internet Appendix)
The Inventory Growth Spread (with Xiaoji Lin), 2012, Review of Financial Studies, 25 (1), 278-313.
Government Spending, Political Cycles and the Cross Section of Stock Returns (with Vito Gala and Jun Li), 2013, Journal of Financial Economics, 107(2), 305-324 Slides
- 2011 Crowell Memorial Prize (third prize), PanAgora Asset Management
- Media: Financial Times (Oct. 31, 2012); Financial Times (Nov. 3, 2012);
- Summary at Business Strategy Review, Vol. 24, Issue 2, pp. 76-77, 2013. Executive summary here
Government Investment and the Stock Market (with Jianfeng Yu), 2013, Journal of Monetary Economics, 60(3), 325-339. Online appendix
A Supply Approach to Valuation (with Chen Xue and Lu Zhang), 2013, Review of Financial Studies, 26 (12), 3029-3067. Online appendix
Brand Capital and Firm Value (with Maria Ana Vitorino and XiaojiLin), 2014, Review of Economic Dynamics, 17(1) 150-169
Labor Hiring, Investment and Stock Return Predictability in the Cross Section (with Xiaoji Lin and Santiago Bazdresch), 2014, Journal of Political Economy, 122(1), 129-177. Online appendix
Dividend Dynamics and the Term Structure of Dividend Strips (with Bob Goldstein and Pierre Collin-Dufresne), 2014, Journal of Finance, 70(3), 1115-1160. Online appendix
Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor (with Xiaoji Lin, Jun Li and Xiaofei Zhao), 2017, Review of Financial Studies, 30(10), 3669–3709. Online appendix
- Industry level labor skill data here
External Equity Financing Shocks, Financial Flows, and Asset Prices (with Xiaoji Lin and Fan Yang), 2018, Review of Financial Studies, 32(9), 3500–3543, . Online appendix
- Equity issuance cost shock (ICS) data here
Decomposing Firm Value (with Vito Gala, Juliana Salomao, and Maria Ana Vitorino), 2022, Journal of Financial Economics (Lead Article, Editor's choice), 143(2), 619-639. Online appendix
- Summary at INSEAD Knowledge (Aug 2022) here
The Opposing Effects of Information Complexity and Information Content on Return Volatility (with Joon Bae, Jun Li, Xiaoji Lin, and Xiaofei Zhao), 2022, Management Science, 69(10)
- 2015 Crowell Memorial Prize - 2nd prize
What Drives Firm's Hiring Decisions? An Asset Pricing Perspective (with Andres Donangelo, Xiaoji Lin and Ding Luo), 2023, Review of Financial Studies, 36(9), 3825-3860. Online appendix
Estimating and Testing Investment-Based Asset Pricing Models (with Juliana Salomao, and Yao Deng), 2024, Journal of Financial Economics, Volume 162, 103945
- Winner of the Fama-DFA Prize for the best papers published in the Journal of Financial Economics in the areas of capital markets and asset pricing (2nd prize)
Labor Market Frictions and Asset Prices (with Jack Favilukis and Xiaoji Lin), 2026, forthcoming Annual Review of Financial Economics, 2026, Vol 18.
Working Papers
Priceless Consumption (with Andres Donangelo and Xinyu Liu) (October 2019) - Presented at the MFS, November 2019 and AFA 2020 (San Diego)
State Ownership, Asset Prices, and Monetary Policy Transmission: A Tale of Two Sectors (with Dapeng Hao, Xiaoji Lin, Zhigang Qiu and Jincheng Tong) (Feb 2026)
Production-based Stochastic Discount Factors (with Xinwei Li) (January 2024)
The Asset Pricing Implications of Financial Shocks for the Cross Section of Returns: Theory and Measurement (with Xiaoji Lin, Juliana Salomao and Fan Yang), 2024
Intangible Capital Around the World (with Yu Li, Juliana Salomao, and Maria Ana Vitorino) (March 2024)
Drafts in Preparation
On the Stock Return and Investment Return Correlation Puzzle (with Yao Deng) (November 2017)
Technological Diversification and Asset Prices (with Vasco Carvalho) (September 2012)
Teaching
INSEAD
Financial Markets and Valuation (MBA): Sep/Oct 2025
Principles of Finance and Valuation (MIM): Nov/Dec 2020-today
Foundations of Financial Economics A (PhD): Set/Oct 2018-today
Research Topics in Asset Pricing (PhD): Mar/Apr 2018-today
Empirical Asset Pricing A (PhD): Jan/Feb 2024-today
Empirical Asset Pricing B (PhD): Jun/Jul 2018-2022
Wealth Management (MBA): Jan/Feb 2019
Investments and Asset Management (MBA): Jan/Feb and May/Jun 2019-today
Finance Ph.D. coordinator: 2019-2024
University of Pennsylvania, Wharton School
Corporate Finance (Honors Sections) (UG): Fall 2011
University of Minnesota, Carlson School of Management
Quantitative Portfolio Analysis (MSF): 2017-2018 (2018 Teacher of the Year Award - Elective Courses in MSF)
Portfolio Management and Performance Evaluation (UG): 2006-2018
Empirical Methods in Finance (Ph.D.): Spring 2007-2010, 2014 , 2016, 2018
Theory of Capital Markets (Ph.D.): Fall 2007-2010
Advanced Asset Pricing Readings (Ph.D.): Fall 2010, 2012, 2015, 2017
Finance Ph.D. coordinator: 2015-2018
Professional Discussions
"The Asset Durability Premium" by Calvin Dun Jia, Kai Li, and Chi-Yang Tsou, European Finance Association, Bratislava, August 2024
"Pricing Technological Innovators: Patent Intensity and Life-Cycle Dynamics" by J. Bena, A. Fisher, J. Knesl, J. Vahl, Adam Smith Workshop, Oxford, April 2023
"Granular Investors and International Bond Prices: Scarcity-Induced Safety" by Ester Faia, Juliana Salomao, and Alexia Ventula Veghazy, Finance Symposium, INSEAD, May 2022
"Parameter Learning in Production Economies" by Mykola Babiak and Roman Kozhan, 6th SAFE Asset Pricing Workshop, House of Finance Goethe University of Frankfurt, September 2019
"What Drives Q and Investment Fluctuations?" by Ilan Cooper, Paulo Maio and Andreea Mitrache, 5th SAFE Asset Pricing Workshop, House of Finance Goethe University of Frankfurt, September 2018
"Learning and the Improving Relationship between Investment and q" by Daniel Andrei, William Mann and Nathalie Moyen, London Business School Finance Symposium, June 2018
"Political Cycles and Stock Returns" by Lubos Pastor and Pietro Veronesi, University of Minnesota Macro-Finance Conference, May 2017
"Horizontal and Vertical Polarization: Task-Specific Technological Change in a Multi-Sector Economy" by Sang Yoon Lee and Yongseok Shin, 7th Advances in Macro-Finance Tepper-LAEF Conference, Sep 2016
"The Dividend Term Structure" by Jac Kragt, Frank de Jong and Joost Driessen, SFS Cavalcade, May 2015
"Labor Leverage and the Value Spread” by Andres Donangelo, Francois Gourio, and Miguel Palacios, 17th Annual Texas Finance Festival, University of Texas at Austin, April 2015
"Local Risk, Local Factors, and Asset Prices" by Selale Tuzel and Miao (Ben) Zhang, Western Finance Association, June 2014
"Technological Innovation, Resource Allocation and Growth" by Leonid Kogan, Dimitris Papanikolaou, Amit Seru, and Noah Stoffman, University of Minnesota Macro-Finance Conference, May 2014
"A Labor Capital Asset Pricing Model" by Lars-Alexander Kuehn, Mikhail Simutin and Jessie Wang, American Finance Association, Jan 2014
"Product Market Competition, R&D Investment and Stock Returns" by Lifeng Gu, Western Finance Association, June 2013
"Production-Based Term Structure of Equity Returns" by Hengjie Ai, Mariano M. Croce, Anthony M. Diercks and Kai Li, SFS Cavalcade, May 2013
"Volatility, the Macroeconomy and Asset Prices" by Ravi Bansal, Dana Kiku, Ivan Shaliastovich, and Amir Yaron, University of Minnesota Macro-Finance Conference, May 2013
"The Impact of Fiscal Policy on Stock Returns” by Zhi Da, Mitch Warachka, and Hayong Yun, 5th Annual Florida State University SunTrust Beach Conference, April 2013
"Investment-based Momentum Profits" by Laura Liu and Lu Zhang, University of Minnesota Macro-Finance Conference, May 2011
"Credit Conditions and Expected Stock Returns" by Sudheer Chava, Michael Gallmeyer and Heungju Park, European Finance Association 2010, Aug 2010
"Asset Pricing and Housing Supply in a Production Economy" by Ivan Jaccard, Western Finance Association, July 2010
"The out-of-sample Performance of Long-Run Risk Models" by Wayne Ferson, Suresh Nallareddy and Biqin Xie, First World Finance Conference, May 2010
"Investors' Compensation for Illiquidity - Evidence from the German Stock Market'' by M. Bank, M. Larch and G. Peter, First World Finance Conference, May 2010
"The Federal Reserve and the Cross Section of Stock Returns" by Erica Li and Francisco Palomino, Western Finance Association, July 2009
"The Demographics of Innovation and Asset Returns" by Nicolae Garleanu, Leonid Kogan and Stavros Panageas, University of Minnesota Macro-Finance Conference, May 2009
"Mutual Fund Tax Clienteles" by Clemens Sialm and Laura Starks, ISCTE Business School – Nova Annual Finance Conference on Mutual Funds and Investment Management, April 2008
