CV 

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Working Papers 

• • Uncertainty Resolution Before Earnings Announcement (with Chao Gao and Xiaoyan Zhang),  2024, Management Science, Forthcoming

  • Corporate Basis and the International Role of the U.S. Dollar (with Zhan Shi, Ganesh Viswanath-Natraj, and Junxuan Wang), Working paper, 2025 (Major Revision, Journal of International Economics)

  • The Stock-Bond Correlation: A Tale of Two Days in the U.S. Treasury Market  (with Zhao Jin and Jun Pan), Working paper, 2025. 

Previously circulated under "Comovements in Global Markets and the Role of U.S. Treasury."   

The Wharton Research Data Services Best Paper Award, the 36th Asian Finance Association Annual Conference, 2024. 

The Best Paper Award, 2025 Dishui Lake International Conference in Finance.

• • Learning, Price Discovery, and Macroeconomic Announcements (with Haozhe Han and Calvin Dun Jia), Working paper, 2025 （Major Revision, Journal of International Economics)

  • Investor Heterogeneity and Factor Pricing (with Zhao Jin and Jianfeng Yu), Working paper, 2025

  • The Monthly Cycle of Option Prices  (with Jia He and Chao Gao), Working paper, 2025

  • Autocorrelation in Daily Stock Market Returns: Time-variation and Asymmetry (with Zhao Jin and Jiang Wang), Working paper, 2025

  • China Concept Stocks: A Tale of Three Markets (with Jiang Wang and Zijian Zhong), Working paper, 2025

  • Information Disclosure with No Fundamentals (with Chao Gao and Haozhe Han), Working paper, 2025

  • From Wall Street to Hong Kong: The Value of Dual Listing for China Concept Stocks (with Zhuo Chen, Ziqiong Xi, and Xiaoquan Zhu), Working paper, 2022

Publications  

• • Noise as Information for Illiquidity (with Jun Pan and Jiang Wang),  Journal of Finance, volume 68, pages 2223-2772, 2013  Download Noise Measure

  • Early Peek Advantage? (with Jun Pan and Jiang Wang), Journal of Financial Economics, volume 126, pages 399-421, 2017 

  • Fama-French in China, Size and Value Factors in Chinese Stock Returns (with Can Chen, Yuan Shao, and Jiang Wang), International Review of Finance,  volume 19, pages 3-44, 2018 

  • Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (I) (with David Kuipers and Yong Zeng), SIAM/ASA Journal on Uncertainty Quantification, volume 6, pages 34-60, 2018 

  • Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II) (with David kuipers and Yong Zeng), SIAM/ASA Journal on Uncertainty Quantification, volume 6, pages 61-86, 2018  

  • Rollover Risk and Credit Spreads in the Financial Crisis of 2008, Journal of Finance and Data Science, volume 6, pages 1-15, 2020

  • Tri-Party Repo Pricing (with Jun Pan and Jiang Wang), Journal of Financial and Quantitative Analysis, volume 56, pages 337-371, 2021 

  • Chinese Capital Market: An Empirical Overview (with Jun Pan and Jiang Wang), Critical Finance Review, volume 10, pages 125-206, 2021

  • Premium for Heightened Uncertainty, Solving the FOMC Puzzle (with Jun Pan, Jiang Wang, and Haoxiang Zhu) , Journal of Financial Economics, volume 145, pages 909-936 , 2022

  • A Review of China's Financial Markets (with Jiang Wang), Annual Review of Financial Economics, volume 14, pages 465-507, 2022

Book Chapters

• • Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (with David Kuipers and Yong Zeng),  Stochastic Analysis,  Stochastic Systems and Application to Finance.  Edited by Allanus Tsoi,  David Nualart, and George Yin, World Scientific, Singapore, pages 133-162, 2011

Teaching 

• • Advanced Microeconomics, PBCSF, Tsinghua University 

  • Continuous-Time Finance, PBCSF, Tsinghua University

  • Advanced Topics in Financial Economics, PBCSF, Tsinghua University

  • Risk Management, MFin, HKU

  • Quantitative Risk Management, Undergraduate, HKU

  • Advanced Option Pricing Models, MFin, HKU

  • Summer Camp,  MFin, Princeton University