Research

    (*indicates presentation by co-author)

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)

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) 

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)  

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)

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)

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

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

Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns? (With Tinghua Duan and Frank Weikai Li), Journal of Financial and Quantitative Analysis, forthcoming

    Common Risk Factors in the Cross-Section of Corporate Bond Returns (with  Jennie Bai and Turan G. Bali

Lottery Preference and Anomalies (with Lei Jiang, Guofu Zhou, and Yifeng Zhu) [Latest version: November 2022]

Predicting Corporate Bond Returns: Merton Meets Machine Learning (with Turan G. Bali, Amit Goyal, Dashan Huang, and Fuwei Jiang) [Latest version: May 2022]

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

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

Financial Distress Innovations and the Distress Risk-Return Relation  (with Xiaochun Liu and Mark Rachwalski)

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