Publications

Journal Articles

• Expectations Matter: When (not) to Use Machine Learning Earnings Forecasts, with John Campbell, Harrison Ham, and Katherine Elizabeth Wood

Management Science, forthcoming

• Dissecting the Return Predicting Power of Risk-Neutral Variance, with Chaehyun Pyun

Journal of Banking & Finance , Volume 173 (2025)

• Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity, with Guojun Chen and Siddharth Vij

Management Science, Volume 71, no.2 (2024)

• Fast and Slow Arbitrageurs: Implications for Night-minus-day Return Predictability, with Steven Malliaris, and Zhongling (Danny) Qin

Journal of Financial Economics, no. 3 (2023): 175-200

• Unique Bidder-Target Relatedness and Synergies Creation in Mergers and Acquisitions, with Tingting Liu, Tao Shu, and Fengrong Wei

Journal of Corporate Finance, Volume 73 (2022)

• Leveraged Funds and the Shadow Cost of Leverage Constraints, with Zhongling (Danny) Qin

Journal of Finance, Volume 76, no. 3 (2021): 1295–1338

• Bear Beta, with Scott Murray

Journal of Financial Economics, Volume 131, no. 3 (2019): 736-760 (Internet Appendix)

Finalist for AQR Insight Award

First Prize at the INQUIRE EUROPE and INQUIRE UK Joint Seminar

• The Carry Trade: Risks and Drawdowns, with Kent Daniel and Robert Hodrick

Critical Finance Review, Volume 6, no.2 (2017): 211-262

• Volatility Components: The Term Structure Dynamics of VIX Futures, with Yingzi Zhu

Journal of Futures Markets, Volume 30, no.3 (2010): 230-256

Working Papers

• Charitable Capital Allocation: Evidence from Private Foundations, with Steven Malliaris (Journal of Financial Economics, Revise and Resubmit)

• Information Choice and Price Efficiency: A Tale of Two Uncertainties, with Harrison Ham, Wang Renxuan, Katherine Wood, and Biao Yang

• The Cross Section of Long-Term Expected Returns

• Momentum and Reversal: Disentangling the Underreaction and Delayed Overreaction

• Sub-National Credit Risk and Sovereign Bailouts-Who Pays the Premium?, with Eva Jenkner