Publications

  1. Why Do Mutual Funds Hold Lottery Stocks?, Journal of Financial and Quantitative Analysis, 2022, Volume 57, Issue 3, 825-856, Lead Article (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

  2. Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence, Journal of Financial Economics, 2021, Volume 142, Issue 3, 1017-1037 (with Jennie Bai and Turan G. Bali)

  3. 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)

  4. The Macroeconomic Uncertainty Premium in the Corporate Bond Market, Journal of Financial and Quantitative Analysis, 2021, Volume 56, Issue 5, 1653-1678 (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. Predicting Corporate Bond Returns: Merton Meets Machine Learning (with Turan G. Bali, Amit Goyal, Dashan Huang, and Fuwei Jiang) [Latest version: May 2022]

      • 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: November 2022]

      • 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: February 2022]

      • Best Asset Pricing Paper Prize, Global Research Alliance For Sustainable Finance and Investment (GRASFI) Annual Conference, 2021

      • AFA 2023 (Scheduled), CICF 2022, SFS Cavalcade (2021), ABFER (2021)

  4. Stochastic Dominance in Mutual Fund Returns (with Lei Jiang, Ke Wu, and Mengfan Yin) [Latest version: December 2021]

      • 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)