Published Papers
"Unintended Consequences of Holding Dollar Assets" , with Robert Czech, Shiyang Huang, and Dong Lou, 2025, Journal of Finance (forthcoming)
"Global Volatility and Firm-Level Capital Flows" , with Marcin Kacperczyk and Jaromir Nosal, 2025, Journal of Financial Economics, 169
"The correlation risk premium: international evidence" , with Robert Kosowski and Faria Goncalo, 2022, Journal of Banking and Finance, 136:1-14
"Do Foreign Investors Improve Price Efficiency?", with Marcin Kacperczyk and Savitar Sundaresan, 2021, Review of Financial Studies, 34(3), 1317-1367.
"Informed Trading in the Government Bond Market" , with Robert Czech, Shiyang Huang, and Dong Lou, 2021, Journal of Financial Economics, 142(3), 1253-1274
"Currency Mispricing and Dealer Balance Sheets" , with Gino Cenedese and Pasquale Della Corte, 2021, Journal of Finance, 76, 2763-2803.
Working Papers
Macro Financial Markets
"FX Option Volume", with Robert Czech, Pasquale Della Corte, and Shiyang Huang, 2025, (2rd) R&R, Journal of Finance
"Energy Prices and the Carbon Premium" (with Patrick Bolton and Marcin Kacperczyk), 2024.
"Stablecoin Flows, Dollar Convenience Yields and Exchange Rates", with Shiyang Huang, Dong Lou, and Zhenhan Shao, 2026
Artificial Intelligence, Investors and Financial Markets
"Different Opinions or Information Asymmetry: Machine-based Measurement and Consequences", with Kang Guo and Yang Liu, 2024
"Large Language Model Disagreement", with Jiatao Liu and Yang Liu, 2025
"Emotions and Fund Flows: Evidence from Managers’ Live Streams", with Marcin Kacperczyk, Mingrui Liu, and Xueyong Zhang, 2025.
"Does Artificial Intelligence Reduce Investor Disagreement? Evidence from AI-Human Interactions Data", with Shiyang Huang, Zhenhan Shao, Yaling Song, and Jian Xue, 2026
China Market and Others
"IPO Lottery, Mutual Fund Performance, and Market Stability", with Feng Gao, Jingchen Yang and Bulin Wang, 2025
"Variation in Put-Call Parity Violation and Option Returns", with Chun Liu, Yintian Wang and Hong Xiang, 2022, Reject & Resubmit at Journal of Banking and Finance
"Overnight-Intraday Reversal Everywhere", with Chun Liu, Yang Liu, Guofu Zhou, and Yingzi Zhu, 2020