Welcome to Ke Tang's Homepage

Research Interests

Commodity markets, fintech, artificial inteligence in economics, big data, pandemanomics

Research Projects

iCPI

iCPI is an internet-based Consumer Price Index (CPI) for Chinese economy, initiated and maintained by researchers in Tsinghua University. High-frequency data of over 20,000 goods from more than 100 webistes are obtained each day. Daily, weely, monthly CPIs are published on http://www.bdecon.com/.

Publications

1. A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets, with Wenjin Kang (SUFE) and Geert Rouwenhorst (Yale University), Journal of Finance, 2020,75, 377-417.

2. Commodity as Collateral, with Haoxiang Zhu (MIT), Review of Financial Studies, 2016, 29, 2110-2160.

3. Economic Linkages, Relative Scarcity, and Commodity Futures Returns, with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University) , Review of Financial Studies, 2013, 26, 1324-1362.

4. Index Investment and the Financialization of Commodities, with Wei Xiong (Princeton University), Financial Analyst Journal, 2012, 68, 54-74. (Google Scholar 1300+)

5. Commodity Investing, with K. Geert Rouwenhorst (Yale University), Annual Review of Financial Economics, 2012, 4, 447–467.

6. Long Term Spread Option Valuation and Hedging, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Banking and Finance, 2008, 32, 2530-2540.

7. No-arbitrage Conditions for Storable Commodities and the Modelling of Futures Term Structures, with Peng Liu (Cornell University), Journal of Banking and Finance, 2010, 34, 1675-1687.

8. Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities, with Michael Dempster (Cambridge University), Journal of Banking and Finance, 2011, 35, 639-652.

9. Institutional Asset Pricing, with Heterogeneous Beliefs, with Zhigang Qiu (Renmin University of China), Shiyang Huang (London School of Economics) and Qi Shang (Renmin University of China), Journal of Banking and Finance, 2013, 37, 4107-4119.

10. The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield, with Peng Liu (Cornell University), Journal of Empirical Finance, 2011, 18, 211-224.

11. Time-varying Long Run Mean of Commodity Prices and the Modelling of Futures Term Structure, Quantitative Finance, 2012, 12, 781-790.

12. Determinants of Oil Futures Prices and Convenience Yields, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Quantitative Finance, 2012,12,1795-1809.

13. The Determinants of Homebuilder Stock Price Exposure to Lumber: Production Cost versus Housing Demand, with Peng Liu (Cornell University) and Xiaomeng Lu (Cornell University), Journal of Housing Economics, 2012, 21, 211-222.

14. Maximal Affine Models for Multiple Commodities: A Note, with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University), Journal of Futures Markets, 2015, 35, 75-86.

15. Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity, with Wenjun Wang (Renmin University of China) and Rong Xu (Renmin University of China), Pacific-Basin Finance Journal, 2012, 20, 228-246.

16. Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks, with Changyun Wang (Renmin University of China), Quantitative Finance, 2013, 13, 1225-1240.

17. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? with Liyan Han (Beihang University) and Rong Liang (Renmin University of China) Quantitative Finance, 2013,13,613-626.

18. Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market, with Changyun Wang (Renmin University of China), Emerging Market Finance and Trade, 2011, 47, 47-60.

19. China’s Imported Inflation and Global Commodity Prices, with Changyun Wang (Renmin University of China) and Shiyi Wang (Renmin University of China), Emerging Market Finance and Trade, 2014, 50, 162–177.

20. Latent jump diffusion factor estimation for commodity futures, with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Commodity Markets, 2018, 9, 35-54.

21. Commodity Prices and GDP Growth, with Yiqing Ge (Tsinghua University), International Review of Financial Analysis, Forthcoming.