Journal Article

The Sound of Silence: What Do We Know When Insiders Do Not Trade? (with George P. Gao, Qingzhong Ma, and David T. Ng), 2021, forthcoming in Management Science. http://dx.doi.org/10.2139/ssrn.2167998.

Is Currency Risk Priced in Global Equity Markets? (with G. Andrew Karolyi), 2021, Review of Finance, 25, 3, 863-902. https://doi.org/10.1093/rof/rfaa026.

Joint Effects of the Liability Network and Portfolio Overlapping on Systemic Financial Risk: Contagion and Rescue, (with Jiali Ma and Shushang Zhu), 2021, Quantitative Finance, 21, 5, 753-770. https://doi.org/10.1080/14697688.2020.1802054.

Predicting Shareholder Litigation on Insider Trading from Financial Text: An Interpretable Deep Learning Approach, (with Rong Liu, Feng Mai, and Jay Shan), 2020, Information and Management, 57, 8: 103387. https://doi.org/10.1016/j.im.2020.103387.

Asset Pricing with Extreme Liquidity Risk, 2019, Journal of Empirical Finance, 54, 143-165. https://doi.org/10.1016/j.jempfin.2019.09.002.

A New Partial-Segmentation Approach to Modeling International Stock Returns, (with G. Andrew Karolyi), 2018, Journal of Financial and Quantitative Analysis, 53, 2, 507-546. https://doi.org/10.1017/S0022109017001016.

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Conference Proceeding

Fairness of Classification Using Users’ Social Relationships in Online Peer-To-Peer Lending (with Yanying Li, Wendy Hui Wang, Yue Ning, and Rong Liu), 2020, FATES (Fairness, Accountability, Transparency, Ethics and Society) on the Web, joint with the Web Conference 2020 proceeding, 733-742. https://doi.org/10.1145/3366424.3383557.

Book

Analysis and Forecasting on Chinese Imports and Exports, (with Yi Zhang, Shanying Xu, and Shouyang Wang), Science Press, Beijing, 2005.

Selected Presentations

Predicting Shareholder Litigation on Insider Trading from Financial Text: An Interpretable Deep Learning Approach, Financial Management Association (FMA) Annual Conference, 2020.

• Semifinalist for Fintech Best Paper Award

Another Look at Currency Risk in International Stock Returns, the 20th Annual Conference of the Multinational Finance Society, Budapest, Hungary, 2018.

• Best Paper Award

Another Look at Currency Risk in International Stock Returns, Institute for Quantitative Investment Research (INQUIRE) EUROPE Seminar, Montreux, Switzerland, 2017.

Size, Value, and Momentum in International Stock Returns: A New Partial-Segmentation Approach, Western Finance Association Annual Conference, 2014.

The Sound of Silence: What Do We Know When Insiders Do Not Trade? U.S. Securities and Exchange Commissions, 2014.

Asset Pricing with Extreme Liquidity Risk, Eastern Finance Association Annual Conference, 2014.

Size, Value, and Momentum in International Stock Returns: A New Partial-Segmentation Approach, China International Conference in Finance, Chengdu, China, 2014.

The Sound of Silence: What Do We Know When Insiders Do Not Trade? Midwest Finance Association Annual Conference, 2013.

The Sound of Silence: What Do We Know When Insiders Do Not Trade? Financial Management Association (FMA) Annual Conference, 2013. (a top ten session)

• A top ten session

The Sound of Silence: What Do We Know When Insiders Do Not Trade? SFS Finance Cavalcade, 2013.

Asset Pricing with Extreme Liquidity Risk, European Financial Management Association Annual Meeting, Reading, U.K., 2013.

• John A. Doukas Doctoral Best Paper Award

Asset Pricing with Extreme Liquidity Risk, INQUIRE UK, Cambridge, U.K., 2013.

Asset Pricing with Extreme Liquidity Risk, European Financial Association Annual Meeting, Cambridge, U.K., 2013.

The Sound of Silence: What Do We Know When Insiders Do Not Trade? Northern Finance Association Annual Conference, 2012.

The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns, the 2011 Australasian Banking and Finance Conference (keynote speech by Dr. Andrew Karolyi), 2011.

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Reviewer Work: Review of Financial Studies, Management Science, Financial Review, Journal of Banking and Finance, Journal of Empirical Finance, European Financial Management, Journal of Financial Services Research, Multinational Finance Journal

Program Committee: Western Finance Association Annual Meeting, 2019

Invited Discussions: China International Conference in Finance, European Financial Management Association Annual Meeting, Financial Management Association Annual Meeting, Eastern Finance Association Conference, Emerging Trends in Entrepreneurial Finance

Selected Working Papers and Working in Progress

Modeling International Stock Returns: A New Partial Segmentation Approach, (with G. Andrew Karolyi), R&R, Journal of Applied Corporate Finance. [ABS-2 Journal]

Understanding the Exchange-Rate Exposure of International Stock Returns, (with G. Andrew Karolyi), invited submission, Journal of Multinational Financial Management. [ABS-2 Journal]

Relationship among SRI Indicator, Fund Social Responsibility, and Fund Performance: Evidence from Stock Holdings of Chinese Mutual Funds, (with Cheng Zhang, Shushang Zhu, and Mingquan Chen), under review.

Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options. (with Zhenyu Cui, Zhiyong Li, and Mei Yu)

Segmentation at Home. (with Sohnke Bartram, Cheol S. Eun, Kyuseok Lee, and Qinghai Wang)

Mood Beta around the World. (with David Hirshleifer, G. Andrew Karolyi, and Danling Jiang)

Extreme Liquidity Risk around the World. (with , G. Andrew Karolyi and Kuan-Hui Lee)

What Factors Drive Trading around the World.

Be Careful What You Read: Exploring the Role of Online Feedback Mechanisms Related to Media Bias. (with Hang Dong, Jie Ren, and Jeffrey Nickerson)

"New" Home Bias, William Brown. (with Dayong Huang and Fang Wang)

Country, Industry and Idiosyncratic Components in Valuation Ratios. (with Jiyoun An, Sanjeev Bhojraj, and David T. Ng)

Information Discovery and Interpretation of Financial Text. (with Rong Liu)

Understanding the Flash Crash in 2015. (with Harry Feng and Kai Wang)

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Selected Grants

Co-PI. Institute For Quantitative Investment Research (INQUIRE) Europe, Currency risk and Size, Value, and Momentum Returns around the World.

Co-PI. SPRINT Program, Schaefer School of Engineering & Science, Stevens Institute of Technology, Fair Machine Learning on Big Financial Data.

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Research Awards and Honors