- “What Do Short Sellers Know?” (with Ekkehart Boehmer, Charles Jones and Julie Wu), Review of Finance, accepted.
- “Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments” (with Ekkehart Boehmer and Charles Jones), Journal of Financial Economics, forthcoming.
- “Anticipating Uncertainty: Straddles Around Earnings Announcements” (with Chao Gao and Yuhang Xing), Journal of Financial and Quantitative Analysis, 2018, 53, 2587-2617.
- “No-Arbitrage Restriction and Hedge Fund Performance Evaluation” (with Haitao Li and Yuewu Xu), Journal of Financial and Quantitative Analysis, 2016, 51, 231-257.
- “The Information Content of The Sentiment Index” (with Steve Sibley, Yanchu Wang and Yuhang Xing), Journal of Banking and Finance, 2016, 62, 164-179.
- “Shackling Short Sellers: The 2008 Shorting Ban” (with Ekkehart Boehmer and Charles Jones), Review of Financial Studies, lead article, 2013, 26, 1363-1400.
- This paper won Best Paper Award at16th Mitsui Finance Symposium, University of Michigan.
- “Aggregate Idiosyncratic Volatility” (with Geert Bekaert and Robert Hodrick), Journal of Financial and Quantitative Analysis, lead article, 2012, 47, 1155-1185.
- This paper won the William F. Sharpe Award for the best paper published in JFQA 2012.
- “Empirical Evaluation of Pricing Models: Arbitrage and Pricing Errors on Contingent Claims” (with Zhenyu Wang), Journal of Empirical Finance, 2012, 19, 65-78.
- “Investing In Talents: Manager Characteristics and Hedge Fund Performances” (with Haitao Li and Rui Zhao), Journal of Financial and Quantitative Analysis, 2011, 46, 59 – 82.
- “What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?” (with Yuhang Xing and Rui Zhao), Journal of Financial and Quantitative Analysis, 2010, 45, 641-662.
- “Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance” (with Haitao Li and Yuewu Xu), Journal of Financial Economics, 2010, 97, 279-301.
- “International Stock Return Comovements” (with Geert Bekaert and Robert Hodrick), Journal of Finance, 2009, 64, 2591-2626.
- “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Financial Economics, 2009, 91, 1-23.
- “Which Shorts Are Informed?” (with Ekkehart Boehmer and Charles Jones), Journal of Finance, lead article, 2008, 63, 491-527. This paper won BSI Gamma Foundation Award.
- “The Cross-Section of Volatility and Expected Returns” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Finance, 2006, 61, 259-299.
- “Specification Tests of International Asset Pricing Models”, Journal of International Money and Finance, 2006, 25, 275-307.
- “Evaluating the Specification Errors of Asset Pricing Models” (with Robert Hodrick), Journal of Financial Economics, 2001, 62, 327-376.
- “Government Affiliation and Fintech Industry:The Peer-to-Peer Lending Platforms in China” (with Jinglin Jiang, Li Liao and Zhengwei Wang)
- “Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle” (with Zhiyao Chen, Ilya Strebulaev, and Yuhang Xing)
- “Are Shorts Equally Informed? A Global Perspective” (with Ekkehart Boehmer, Zsuzsa. R. Huszár, and Yanchu Wang)
- “Tracking Retail Investor Activity” (with Ekkehart Boehmer and Charles Jones)
- “Gambling or De-Risking: Hedge Fund Risk Taking vs. Managers' Compensation” (with Chengdong Yin)
- “The Multinational Return Premium: Investor's Perspective” (with Yeejin Jang and Xue Wang)