Overview
Research Interests: Empirical asset pricing, machine learning, asset management, real estate finance
Author pages on Google Scholar and SSRN
Data Library for factors and anomalies
Publications
Firm-level Irreversibility (with Hang Bai, Erica X.N. Li, and Lu Zhang), forthcoming, Critical Finance Review.
The Economics of Security Analysis (with Kewei Hou, Haitao Mo, and Lu Zhang), 2024, Management Science, 70 (1), 164-186. Internet Appendix
An Augmented q-factor Model with Expected Growth (with Kewei Hou, Haitao Mo, and Lu Zhang), 2021, Review of Finance 25 (1), 1-41. Internet Appendix
Editor's Choice, Lead Article
Finalist, 2021 Spängler IQAM Best Paper Prize, Review of Finance, European Finance Association
Aggregation, Capital Heterogeneity, and the Investment CAPM (with Andrei S. Goncalves and Lu Zhang), 2020, Review of Financial Studies 33 (6), 2728-2771. Internet Appendix
Replicating Anomalies (with Kewei Hou and Lu Zhang), 2020, Review of Financial Studies 33 (5), 2019-2133. Internet Appendix
Second Prize, the 2017 Chicago Quantitative Alliance Annual Academic Competition
WSJ: An Algorithm, an ETF and an Academic Study | Bloomberg: A Huge Shot at Hottest Investments | Economist: Factor Investing Gains Popularity
Which Factors? (with Kewei Hou, Haitao Mo, and Lu Zhang), 2019, Review of Finance 23 (1), 1-35. Internet Appendix
Editor's Choice, Lead Article | Editor's Blog | Top cited RF papers
2019 Spängler IQAM Best Paper Prize for the best investments paper published in Review of Finance, European Finance Association
Second Prize, the 2015 Chicago Quantitative Alliance Annual Academic Competition
Digesting Anomalies: An Investment Approach (with Kewei Hou and Lu Zhang), 2015, Review of Financial Studies 28 (3), 650-705. Internet Appendix
Editor's Choice | Most cited RFS papers published in 2015 | OUPblog
A Supply Approach to Valuation (with Frederico Belo and Lu Zhang), 2013, Review of Financial Studies 26 (12), 3029-3067. Internet Appendix
The Cross Section of Expected Real Estate Returns: Insights from Investment-based Asset Pricing (with Shaun Bond), 2017, Journal of Real Estate Finance and Economics 54 (3), 403-428.
Working Papers
Asymmetric Investment Rates (with Hang Bai, Erica X.N. Li, and Lu Zhang), 2024.
Investment-based Costs of Equity (with Andrei S. Goncalves, Yicheng Liu, and Lu Zhang), 2024.
Intangible Assets and Cross-Sectional Stock Returns: Evidence from Structural Estimation (with Erica X.N. Li and Laura X.L. Liu), 2014.
An Investment-based Investigation of Mutual Fund Performance, 2012.