Research Interest
Empirical Asset Pricing, Macro-Finance, Sustainability and Climate Finance, Machine Learning
Publications
"The nonlinear dynamic effects of fintech on carbon emissions: Evidence from Chinese cities", with Xiaoyan Li, and Huanbo Zhang. International Review of Financial Analysis, 104335, 2025.
“The Impact of TARP on Bank Risk-taking”, with Wenhan Yang. International Advanced in Economics Research 10:1-4, October 2024.
“Style-Induced Return Comovement and Risk Premia”, with Qiongwen Lei, Chunchi Wu, and Runze Zhang. Review of Pacific Basin Financial Markets and Policies 27(4): 1-26, December 2024.
“Forecasting VaR and ES of stock index portfolio: A Vine copula method”, with Bangzhen Zhang, Yu Wei, Jiang Yu, and Xiaodong Lai. Physica A: Statistical Mechanics and its Applications 416:112-124, December 2014.
Working Paper
“Short-Sale Constraints and Pricing Discrepancies between Stocks and Bonds”
(With Xu Guo and Chunchi Wu)
"Climate policy uncertainty and the cross-section of corporate bond returns"
(With Chunchi Wu and Wenhan Yang)
"The impact of environmental regulation on firm profitability and innovation: Evidence of a target-based performance evaluation system in China." (Under review at Asia-Pacific Journal of Accounting & Economics)
(With Wenhan Yang)
"Short selling and Climate policy uncertainty"
(With Wenhan Yang)
“The Prediction Power of Short Sale: Evidence from Corporate Bond Market ” (Under review at Journal of Fixed Income)
(With Wenhan Yang)
"Media Climate Change Concerns and Corporate Bond Returns: A Machine Learning View"
Working In Progress
“The Macroeconomic Uncertainty Premium in the Municipal Bond Market,” with Tianhai Zu.
"The Investor Green Preference and Green Bond Greenium"
"The Bond Short Selling Efficiency Prediction"
"A Dynamic Model of Physical Disasters and Public Debt Accumulation"