PUBLICATIONS

• “Retail Trading and Return Predictability in China” (with Charles Jones, Donghui Shi and Xinran Zhang), Journal of Financial and Quantitative Analysis, forthcoming. This paper won CIFFP Best Paper Award.

• "The International Commonality of Idiosyncratic Variances” (with Geert Bekaert and Xue Wang), Management Science, forthcoming. This paper won Blackrock Prize for Best Paper.

• "Risking or De-Risking: How Management Fees Affect Hedge Fund Risk-Taking Choices" (with Chengdong Yin), Review of Financial Studies, 2023, 36, 904-944. 

• “Can Shorts Predict Return? A Global Perspective” (with Ekkehart Boehmer, Zsuzsa. R. Huszár, Yanchu Wang and Xinran Zhang), Review of Financial Studies, 2022, 35, 2428-2463.  

• “Tracking Retail Investor Activity” (with Ekkehart Boehmer, Charles Jones and Xinran Zhang), Journal of Finance, 2021, 76, 2249-2305.  

• “Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation” (with Zhiyao Chen, Ilya Strebulaev, and Yuhang Xing), Management Science, 2021, 67, 2751-2772.   

• “Government Affiliation and Peer-to-Peer Lending Platforms in China” (with Jinglin Jiang, Li Liao, and Zhengwei Wang), Journal of Empirical Finance, 2021, 62, 87-106.  This paper won CFRC Best Paper Award. 

• “What Do Short Sellers Know?” (with Ekkehart Boehmer, Charles Jones and Julie Wu), Review of Finance, 2020, 24, 1203-1235. This paper won the Spängler-IQAM award for the Best Investments Paper in the Review of Finance.  

• “Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments” (with Ekkehart Boehmer and Charles Jones), Journal of Financial Economics, 2020, 135, 68-87 .

• “Anticipating Uncertainty: Straddles Around Earnings Announcements” (with Chao Gao and Yuhang Xing), Journal of Financial and Quantitative Analysis, 2018, 53, 2587-2617.

• “Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework” (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 Asset Pricing Models: Arbitrage and Pricing Errors in 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 the 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.

WORKING PAPERS (More on my SSRN page)

• “The Rise of Reddit: How Social Media Affects Retail Investors and Short-sellers’ Roles in Price Discovery" (with Danqi Hu, Charles M. Jones, and Valerie Zhang)

• “When Do Informed Short Sellers Trade? Evidence from Intraday Data and Implications for Informed Trading Models” (with Danqi Hu, and Charles M. Jones)

• “Uncertainty Resolution Before Earnings Announcements” (with Chao Gao and Grace Xing Hu)

• "Retail Investors During Pandemic" (with Charles M. Jones, Lin Tan, and Xinran Zhang)

• “Multinational Corporations and Stock Returns: International Evidence” (with Yeejin Jang and Xue Wang)

• “Variance Risk Premiums in Emerging Markets” (with Fang Qiao, Lai Xu, Xiaoyan Zhang, and Hao Zhou)

• “Understanding Retail Investors: Evidence from China” (with Charles Jones, Donghui Shi and Xinran Zhang). This paper won CIFFP Best Paper Award.

• "Are Foreign Investors Informed? Trading Experiences of Foreign Investors in China" (with Christian T. Lundblad, Donghui Shi, Xiaoyan Zhang and Zijian Zhang)

• “Finding Anomalies in China” (with Kewei Hou, and Fang Qiao)

• “The China-U.S. Equity Valuation Gap” (with Geert Bekaert, Shuojia Ke and Xue Wang)