RESEARCH
Published and Forthcoming Articles
Charting By Machines. Journal of Financial Economics, Volume 153, 2024 (with Yusen Xia and Houping Xiao).
The Bond Pricing Implications of Rating-Based Capital Requirements. Journal of Financial and Quantitative Analysis, Volume 57, Number 6, Pages 2177-2207, 2022 (with Stanislava Nikolova).
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Presented at the 2020 American Finance Association (AFA) Annual Meeting
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Best Paper Aware at 2018 INQUIRE UK and INQUIRE Europe Joint Seminar
Bear Beta. Journal of Financial Economics, Volume 131, Number 3, Pages 736-760, 2019 (with Zhongjin Lu).
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Finalist for 2017 AQR Insight Award
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Best Paper Award at 2017 INQUIRE UK and INQUIRE Europe Joint Seminar
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Honorable Mention (top 3 papers) at 2017 Asia Pacific Association of Derivatives Conference
A Lottery Demand-Based Explanation of the Beta Anomaly. Journal of Financial and Quantitative Analysis, Volume 52, Number 6, Pages 2369-2397, 2017 (with Turan G. Bali, Stephen J. Brown, and Yi Tang).
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Winner of 2014 Jack Treynor Prize given by the Q-Group
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? Journal of Financial and Quantitative Analysis, Volume 48, Number 4, Pages 1145-1171, 2013 (with Turan G. Bali).
A Margin Requirement Based Return Calculation for Portfolios of Short Option Positions. Managerial Finance, Volume 39, Number 6, Pages 550-568, 2013.
Book
Empirical Asset Pricing: The Cross Section of Stock Returns. John Wiley & Sons, Inc., 2016 (with Robert F. Engle and Turan G. Bali)
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Endorsements
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Table of Contents
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References
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Chinese Translation by Renmin University Press in Progress
Working Papers
Betting Against Other Betas
A Factor Model for Stock Returns Based on Option Prices (with Turan G.Bali and Fousseni Chabi-Yo)
Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns (with Turan G. Bali and Jianfeng Hu)
The Information Content of Option Prices Regarding Future Stock Return Serial Correlation