CV 

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Working Papers 

• • Uncertainty Resolution Before Earnings Announcement (with Chao Gao and Xiaoyan Zhang),  Working paper, 2022  Revise and Resubmit at Management Science

  • Comovements in Global Markets and the Role of U.S. Treasury (with Zhao Jin and Jun Pan), Working paper, 2022

  • Corporate Basis and the International Role of the U.S. Dollar (with Zhan Shi, Ganesh Viswanath-Natraj, and Junxuan Wang), Working paper, 2022

  • 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

  • Learning, Price Discovery, and Macroeconomic Announcements (with Haozhe Han and Calvin Dun Jia), Working paper, 2023

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) , Forthcoming, Journal of Financial Economics, 2021

  • A Review of China's Financial Markets (with Jiang Wang), Annual Review of Financial Economics, In press, volume 14, 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