RESEARCH

Areas of Expertise

Empirical asset pricing, asset allocation, institutional investors, commodities, corporate bonds, and financial econometrics.

Publications

• “Mining the Short Side: Institutional Investors and Stock Market Anomalies” with Ying Wang, Journal of Financial and Quantitative Analysis, Volume 58, Issue 1 (2023). Link

• “The Relative Pricing of WTI and Brent Crude Oil Futures: Expectations or Risk Premia?” with Bingxing Li and Rui Liu, Journal of Commodity Markets, 100274 (2022). Link

• “Forecasting variance swap payoffs” with Jonathan Dark, Thijs van der Heijden, and Federico Nardari, The Journal of Futures Markets, Volume 42, Issue 12 (2022). Link

• “Tick Size, Institutional Trading, and Market Making: A Study of the SEC Tick Size Pilot Program” with Kaitao Lin and Rui Liu, The Quarterly Journal of Finance, Vol. 12, No. 3 (2022). Link

• “Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments” with Federico Nardari, Journal of Financial and Quantitative Analysis, Volume 53, Issue 1 (2018). Link

Working Papers

• “The Informational Role of Stock Prices in Corporate Bond Mutual Funds' Trading”, with Ying Wang 

• “Investing in Mutual Funds: Exploiting the Cross-sectional Predictability in Fund Performance”, with Federico Nardari

• “Dynamic Portfolio Optimization Using Variance Swaps”, with Jonathan Dark, Federico Nardari and Thijs van der Heijden

Work-in-progress

• “Illiquidity Contagion ”, with Kaitao Lin and Rui Liu

• “Effects of Errors in Higher Moments on Optimal Portfolio Selection”

• “Asymmetric Liquidity Shocks in Corporate Bonds”, with Yufeng Han and Ying Wang

• “Herding by Mutual Funds”, with Zafer Yuksel