Embedded Files
Publications
Publications
TBA Trading and Security Issuance in the Agency MBS Market with Wei Li and Zhaogang Song, Real Estate Economics, 2025
TBA Trading and Security Issuance in the Agency MBS Market with Wei Li and Zhaogang Song, Real Estate Economics, 2025
Shows that uniform TBA pricing induces adverse selection: issuers place lower-quality loans into TBA pools, affecting pool composition and issuance proceeds.
Index Providers: Whales Behind the Scenes of ETFs with Matteo Benetton and Yang Song, Journal of Financial Economics, Editor's Choice, 2023
Index Providers: Whales Behind the Scenes of ETFs with Matteo Benetton and Yang Song, Journal of Financial Economics, Editor's Choice, 2023
Uses hand-collected index-licensing fee data to quantify index providers’ market power and show how licensing fees contribute to ETF expenses ultimately borne by investors.
Dimensional Fund Advisors Best Paper Award (runner-up), UT Austin AIM Investment Conference
Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementations? with Zhaogang Song, Review of Financial Studies, 2023
Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementations? with Zhaogang Song, Review of Financial Studies, 2023
Uses transaction-level MBS data to show primary dealers charge the Federal Reserve systematically worse prices than other clients in large, time-sensitive trades, consistent with dealer market power.
Develops a dealer-intermediation model that formalizes the trade-off between immediacy (inventory risk) and matchmaking (execution delay) and studies its implications for spreads and welfare.
Working Papers
Working Papers
Asset pricing with quantities
These papers develop a factor framework for asset pricing with quantities. They define factor-level quantities, identify the risks investors trade and absorb, and study how quantity shocks affect contemporaneous prices, expected returns, and cross-asset propagation.
In FX, shows that demand shocks propagate across currencies through a small set of traded FX risk factors.
In U.S. equities, shows that incorporating factor-level trading quantities sharpens the risk-return relation and helps predict returns.
In global FX funding, measures how countries’ funding inflows respond to other countries’ policy actions by identifying funding fronts, with applications to geoeconomic power and financial competition/cooperation.
2026 CICF Yihong Xia Best Paper Award.
2026 ESAB Ieke van den Burg Prize for Research on Systemic Risk (Runner-up).
In U.S. equities, shows that long-short factor risk is roughly an order of magnitude more expensive to absorb than market risk.
Develops an arbitrage-based foundation for demand effects and derives a factor structure for how quantity shocks move prices in the cross-section.
Extends the theoretical framework to informed order flow, clarifying how information effects interact with demand effects in price impact.
Shows in a dynamic setting that predictable (even uninformed) demand propagates across assets and provides an equilibrium perspective on the factor model of price impact.
Financial intermediation / market structure
Studies how MBS issuers choose among securitization channels, showing how liquidity constraints and cross-subsidies shape the choice.
Develops and tests the inventory-benefit channel: dealers build inventory to compete for customer flow, lowering liquidity provision costs.
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