Publications

  1. Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence, Journal of Financial Economics, 2021, forthcoming (with Jennie Bai and Turan G. Bali)

  2. Long-Term Reversals in the Corporate Bond Market, Journal of Financial Economics, 2021, Volume 139, Issue 2, 656-677 (with Turan G. Bali and Avanidhar Subrahmanyam)

  3. Why Do Mutual Funds Hold Lottery Stocks?, Journal of Financial and Quantitative Analysis, 2020, forthcoming (with Vikas Agarwal and Lei Jiang) (Internet Appendix)

      • Covered by ETF.com, Yahoo finance

      • 2018 Best paper award, WRDS Advanced Research Scholar Program, the Wharton School, University of Pennsylvania

  4. The Macroeconomic Uncertainty Premium in the Corporate Bond Market, Journal of Financial and Quantitative Analysis, 2020, forthcoming (with Turan G. Bali and Avanidhar Subrahmanyam) (Internet Appendix)

  5. Crowdsourced Employer Reviews and Stock Returns, Journal of Financial Economics, 2019, Volume 134, Issue 1, 236-251 (with T. Clifton Green, Ruoyan Huang, and Dexin Zhou) (Internet Appendix)

  6. Common Risk Factors in the Cross-Section of Corporate Bond Returns, Journal of Financial Economics, 2019, Volume 131, Issue 3, 619-642 (with Jennie Bai and Turan G. Bali) (Internet Appendix)

  7. Asset Growth and Stock Market Returns: a Time-Series Analysis, Review of Finance, 2019, Volume 23, Issue 3, 599-628

      • SAC Capital PhD Candidate Award for Outstanding Research, Western Finance Association (2012)

      • Original data on Aggregate Asset Growth (AG) are available for download here: Aggregate Asset Growth (up to 2016)

      • Updated data are available for download here: Aggregate Asset Growth (up to 2017)

  8. Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation, Review of Asset Pricing Studies, 2016, Volume 6, Issue 2, 303-328 (with Mark Rachwalski)

Working Papers

SSRN Page GOOGLE Scholar

(*indicates presentation by co-author)

  1. Different Strokes: Return Predictability Across Stocks and Bonds with Machine Learning and Big Data (with Turan G. Bali, Amit Goyal, Dashan Huang, and Fuwei Jiang) [Latest version: February 2021]

      • Revise and Resubmit, Journal of Finance

      • Presented at the Center for Financial Markets and Policy and Georgetown University Asset Management Conference* (2021), the Global Quant and Innovation Conference* (2020), Arrowstreet Capital* (2020), Bank of America* (2020)

  2. Lottery Preference and Anomalies (with Lei Jiang, Guofu Zhou, and Yifeng Zhu) [Latest version: May 2021]

      • Presented at the 2021 Frontier of Factor Investing Conference*

  3. Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns? (With Tinghua Duan and Frank Weikai Li) [Latest version: January 2021]

      • SFS Cavalcade (2021)*, ABFER (2021)

  4. Stochastic Dominance in Mutual Fund Returns (with Lei Jiang, Ke Wu, and Mengfan Yin) [Latest version: March 2020]

      • Presented at the second annual WRDS Advanced Research Scholar Program, 2019

  5. Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns? (with Jennie Bai and Turan G. Bali)

    • Summary: We document a significantly positive (negative) link between volatility (skewness) and corporate bond expected returns, whereas kurtosis does not make a robust incremental contribution to predictability.

  1. Financial Distress Innovations and the Distress Risk-Return Relation (with Xiaochun Liu)

  2. What Drives Market Return Predictability? (with Jay Shanken and Dexin Zhou)

      • Presented at the 2013 Western Finance Association (WFA) Annual Meeting, Incline Village, NV*

      • Previous draft won the SAC Capital PhD Candidate Award for Outstanding Research, WFA (2013)