Selected Working Papers:
- Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, (joint with Robert Stambaugh and Yu Yuan), January 2013
- Investor Sentiment and Economic Forces, (joint with Junyan Shen), December 2012
- Asset Pricing with Extrapolative Expectations and Production (joint with David Hirshleifer), March 2013
- Dissecting the Profitability Premium, (joint with Huijun Wang), April 2013
- An Empirical Assessment of Models of the Value Premium, (joint with Huijun Wang), December 2012
- Optimal Long-term Contracting with Learning, (joint with Zhiguo He and Bin Wei), March 2013
2012 Chicago Quantitative Alliance Academic Competition (First Prize)
2013 Crowell Memorial Prize (Third Prize), PanAgora Asset Management
Publications:
- Investor Sentiment and the Mean-Variance Relation, (joint with Yu Yuan), Journal of Financial Economics 100, May 2011, pp. 367-381
- The Short of It: Investor Sentiment and Anomalies, (joint with Robert Stambaugh and Yu Yuan), Journal of Financial Economics 104, May 2012, pp. 288-302
- Investor Attention, Psychological Anchors, and Stock Return Predictability, (joint with Jun Li), Journal of Financial Economics 104, May 2012, pp. 401-419
- Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models, Review of Economic Dynamics 15, July 2012, pp. 317-335 Extended Appendix
- Technological Growth and Asset Pricing, (joint with Nicolae Garleanu and Stavros Panageas), Journal of Finance 67, August 2012, pp. 1265-1292, Extended Appendix
- Government Investment and the Stock Market (joint with Frederico Belo), Journal of Monetary Economics 60, April 2013, pp.325-339, Extended Appendix
- A Sentiment-based Explanation of the Forward Premium Puzzle, Journal of Monetary Economics, 60, May 2013, pp.474-491 Extended Appendix
- Uncertainty, Risk, and Incentives: Theory and Evidence, (joint with Zhiguo He, Si Li and Bin Wei), February 2013, Management Science, forthcoming
2012 AQR Insigtht Award (Honorable mention)
2011 RWC Marshall Blume Prize (Honorable mention)
Winner of the 2012 Smith Breeden Prize (First Prize)
Winner of The Chinese Finance Association 2012 Best Paper Award