Research

Publications

1. Economic Aggregation of Return Signals in Global Markets (Journal of Empirical Finance, accepted)

Sole author

Clustering return signals based on economic similarities yields better insights than data-driven clustering methods.

Working Papers

1. Beyond Carry: The Prospective Interest Rate Differential and Currency Excess Returns

with Shingo Goto, Kewei Hou, Yan Xu, and Yuzhao Zhang

The infinite sum of current and future carry beats carry in forecasting currency returns.

2. The Prospective Book-to-Market Ratio and Expected Stock Returns

with Kewei Hou, Yan Xu, and Yuzhao Zhang

The infinite sum of current and future book-to-market ratios (BM), estimated annually, beats conventional BMs and rivals the monthly updated BM in asset pricing tests.

2. Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns

Sole author

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