Research Interests

Empirical Asset Pricing, Anomalies, Short Selling, Credit Default Swap, Macro-Finance, Corporate Investment and Machine Learning

Publications

1. “Economic Policy Uncertainty, CDS Spreads, and CDS Liquidity Provision” (with Xinjie Wang and Zhaodong (Ken) Zhong), Journal of Futures Markets, April 2019, Volume 39, 461-480.

2. “Economic Policy Uncertainty and Momentum” (with Ming Gu, Minxing Sun and Yangru Wu), Financial Management, Spring 2021, Volume 50, 237-259.

3. “The COVID-19 Pandemic and Sovereign Credit Risk” (with Wei-Fong Pan, Xinjie Wang and Ge Wu), China Finance Review International, 2021, Volume 11, 287-301.

4. “Changes in Ownership Breadth and Capital Market Anomalies” (with Yangru Wu),  Journal of Portfolio Management, 2022, Volume 48, 185-198.

1. • Northern Finance Association Annual Meeting, 2015

5. "The Causal Relationship between Social Media Sentiment and Stock Return: Experimental Evidence from an Online Message Forum" (with Xinjie Wang, Zhiqiang Xiang and Peixuan Yuan), Economics Letters, Volume 216, July 2022, 110598. 

6. “Does Venture-Backed Innovation Support Carbon Neutrality?” (with Donghui Li, Yingdong Liu, Minxing Sun and  Xinjie Wang), China Finance Review International, 2024, Volume 14, 191-200.

7.  "The Effect of Economic and Political Uncertainty on Sovereign CDS Spreads” (with Wei-Fong Pan, Xinjie Wang, Yaqin Xiao and Jinfan Zhang), International Review of Economics and Finance, Volume 89, Part A, January 2024, Pages 143-155.

8.  “Short Selling and Readability in Financial Disclosures: A Controlled Experiment” (with Minxing Sun), The Financial Review, 2024, Volume 59, 265-292.

1. • Outstanding Paper Award, Eastern Finance Association Annual Meeting, 2017

   • Lead Article

9. "Market Volatility and the Trend Factor" (with  Ming Gu, Minxing Sun, and Zhitao Xiong), Finance Research Letters, Volume 65, July 2024, 105595.

10. “Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA” (with Yufeng Han, Yueliang Lu, and Guofu Zhou), Journal of Empirical Finance, Volume 78, September 2024, 101537.

1. •  The cross-sectional aggregate net overpriced score (NOPS) from 182 anomalies  

   • 2021 Midwest Finance Association (MFA) Annual Meeting, 2021 SFS Cavalcade North America, 2022 CICF

 11. “Geopolitical Risk and Investment” (with Xinjie Wang and Yangru Wu), Journal of Money, Credit and Banking, Volume 68, December 2024, 2023-2059.

1. • China International Conference in Finance (CICF), 2016

 12. "The Causal Impact of Short-sale Constraints on the Idiosyncratic Volatility Puzzle"(with Yufeng Han, Angela Morgan, and Jack Wolf), Journal of Financial Research, Forthcoming. 

Working Papers 

1. "Reassessing Unit Roots in Macro Variables: Evidence from Over 200 Years of Data across G7 Countries" (with Minxing Sun and Yangru Wu).

2. “Market Risk Premium Expectation: Combining Option Theory with Traditional Predictors” (with Hong Liu, Yueliang Lu, and Guofu Zhou). 

   • Presented at Washington University in St. Louis, 2023 Financial Markets and Corporate Governance Conference, 2023 Hong Kong Conference for Fintech, AI, and Big Data in Business, 2023 PKU-NUS Annual International Conference on Quantitative Finance and Economics, Fudan University, Renmin University of China, Shanghai Advanced Institute of Finance (SAIF), Tsinghua University, Jiangxi University of Finance and Economics, Hunan Normal University, Hunan University, Xi’an Jiaotong University, 2023 China International Risk Forum (CIRF), 2023 FMA, 33rd Annual Conference on Financial Economics and Accounting, 2023 CUHK-RAPS Conference on Asset Pricing and Investment, 2024 American Finance Association (AFA) Annual Meeting.

   • Semi-finalist of the 2023 Financial Management Association Best Paper in Options & Derivatives.

3. “Is There a Positive Risk Premium for Idiosyncratic Risk?” (with Yufeng Han).

   • Presented at Old Dominion University, Central University of Finance and Economics, Wuhan University, 2023 China International Conference in Finance (CICF),  2023 China International Risk Forum (CIRF),  2023 World Finance Conference, 2023 Southern Finance Association (SFA) Annual Meeting, 2023 FMA, 2025 EFA.

   • Semi-finalist of the 2023 Financial Management Association Best Paper in Investment.

4.  “Informed Trading and Variations in Trading Volume and Liquidity: Evidence from Index CDSs” (with Jay Huang, Xinjie Wang, and Zhaodong (Ken) Zhong).

   • Presented at the 18th Conference on Financial Systems Engineering and Risk Management, 2020 International Conference on Derivatives and Capital Markets, 2020 Greater China Area Finance Conference, Clemson University Brown Bag, 2021 FMA, 2023 EFA, 2024 CICF.

   • Revise and Resubmit