Presentations:  EEA-ESEM  (2019, Manchester), Paris December Finance Meeting (2019, Paris)

(one-sentence-summary) post-1970s analysis indicates that the inflation-financial ratio correlation can be largely attributed to the relationship between expected inflation and future growth prospects, thereby explaining why the dividend-price ratio predicts future inflation.

Presentations:  AFFI (2021, Virtual), AMES (2021, Virtual)

(one-sentence-summary) gold-related ratios display distinct return predictability across business cycles and exhibit global return predictability when investors anticipate a U.S. recession.

Presentations:  Frontiers of Factor Investing  (2021, Lancaster), IAAE (2024, Xiamen), AsianFA (2024, Macau), FMA (2024, Grapevine), Dishui Lake (2025, Shanghai)  

(one-sentence-summary) we uncover a positive relationship between (cash flow) news based idiosyncratic volatility and expected returns, and propose a stylized model to rationalize the IVOL relationship/puzzle.

Presentations: EWMES (2018, Naples), CICF (2019, Guangzhou), AEA-Poster (2021, Virtual)

(one-sentence-summary) we identify a common component between stock returns and dividend growth, driven by public debt, and propose a production-based model to rationalize this relationship.

(one-sentence-summary) We find that currency crashes are predictable, with a combination of higher local interest rates and weak currency performance associated with a 43.0% crash probability within the subsequent six months—substantially higher than during normal periods.

Part-1: (one-sentence-summary) We investigate the short-term stock market crash predictability over one- to six-month horizons by combining widened interest rate differentials with weak stock market performance, highlighting the critical role of local–U.S. interest rate spreads in forecasting crashes. 

Part-2 : (one-sentence-summary) We examine a real-time global market crash index and find that market crash risk is closely linked to stock return predictability, which persists in both in-sample and out-of-sample settings and whose predictive power is not subsumed by existing disaster risk measures. 

(one-sentence-summary) we explore how updated macroeconomic beliefs, particularly shifts in the probability of a decline in real GDP (RECESS), influence asset pricing and use a comprehensive macroeconomic dataset to analyze the drivers of these belief revisions.

Reject and Resubmit at the Review of Finance   

(one-sentence-summary) FOMC meetings' news channel boosts even-week returns in non-US countries even without international equity flows, while its uncertainty channel creates a contrasting odd-week pattern in China, with placebo tests indicating its effectiveness depends on market openness.

Presentations:  Cryptocurrency Research Conference (2021, Virtual), UWA Blockchain and Cryptocurrency Conference (2021, Virtual)

(one-sentence-summary) we evaluate the common factor structure of cryptocurrencies and U.S. equities, finding no common factors before 2019, but identifying one common factor emerging post-2020.

Presentations:  USTC-UW Workshop (2020, Virtual), AMES (2021, Virtual)

(one-sentence-summary) lagged Chinese returns significantly predict global stock returns, subsuming the predictive power of lagged U.S. returns in monthly predictions, with rolling pool estimation showing China taking the lead post-2000, aligning with its WTO accession and contribution to global economic growth.

Presentations: EFA (2020, Helsinki-Virtual), FMA Annual Meeting (2020, Virtual) 

(one-sentence-summary) we build an empirical model to connect option-implied cumulants with expected risk premia through latent risk factors, and utilize the positive relationship between the ex-ante filtered expected risk premium and future realized risk premium to develop a significant strategy.