Journal Papers (*indicates our supervised PhD student or postdoctoral fellow)
Selected Publications:
- Growing the Efficient Frontier on Panel Trees
- with Will Cong, Jingyu He, and Xin He*.
- Forthcoming, Journal of Financial Economics. 2024.
- 2022 INQUIRE Europe Research Grant Award
- 2024 IQAM Research Prize
- Regularized GMM for Time-Varying Models with Applications to Asset Pricing
- with Liyuan Cui and Yongmiao Hong.
- International Economic Review, 2024, 65 (2), 851-883.
- Deep Learning in Characteristics-Sorted Factor Models
- with Jingyu He, Nicholas Polson, and Jianeng Xu.
- Forthcoming, Journal of Financial and Quantitative Analysis. 2023.
- Unigestion Alternative Risk Premia Research Grand Award
- Second Prize, 2019 Crowell Prize
- 2019 INQUIRE Europe Research Grant Award
- Media Coverage: Chicago Booth Review, BNP PARIBAS, PR Newswire
- Factor Investing: A Bayesian Hierarchical Approach
- with Jingyu He
- Journal of Econometrics, 2022, 230(1): 183-200.
- Taming the Factor Zoo: A Test of New Factors
- with Dacheng Xiu and Stefano Giglio
- Journal of Finance, 2020, 75(3): 1327-1370.
- First Prize Winners, 2018 AQR Insight Award
- Media Coverages: Chicago Booth Review, Pensions&Investments, Executive Summary from AQR Insight Award, 知乎
Working Papers:
- Mosaics of Predictability
- with Will Cong, Jingyu He, and Yuanzhi Wang*. Nov. 2024.
- Currency Return Dynamics: What is the Role of U.S. Macroeconomic Regimes?
- with Jingyu He, Junye Li, Lucio Sarno, and Qianshu Zhang*. Nov. 2024.
- Uncommon Factors and Asset Heterogeneity in the Cross Section and Time Series
- with Will Cong, Jingyu He, and Junye Li. Nov. 2024.
- Best paper award, 2024 China Fintech Research Conference
- Time-Varying Factor Selection: A Sparse Fused GMM Approach
- with Liyuan Cui, Yongmiao Hong, and Jiangshan Yang*. Nov. 2024.
- Reject & Resubmit, Journal of the American Statistical Association
- Deep Tangency Portfolio
- with Liang Jiang, Junye Li, and Yizhi Song*. Nov. 2024.
- R&R, Management Science
- Anomaly or Risk Factor? A Stepwise Evaluation
- with Lan Wei, Hansheng Wang, and Jun Zhang*. Sep. 2024.
- Reject & Resubmit, Management Science
- Predicting Individual Corporate Bond Returns
- with Xin He*, Yanchu Wang, and Chunchi Wu. Sep. 2024.
- R&R, Journal of Banking and Finance
- Institutional Granular Impact is Benign on Asset Sales and Price Efficiency
- with Yinghua Fan* and Sayad Baronyan. July. 2024.
- R&R, Journal of Financial Markets
- Can news predict firm bankruptcy?
- with Siyu Bie*, Naixin Guo*, Jingyu He. Nov. 2024
- Corporate Bond Pricing via Benchmark Combination Model
- with Xin He*, Junbo Wang, and Chunchi Wu. Dec. 2022.
Other Publications:
- Regularizing Bayesian Predictive Regressions
- with Nicholas Polson
- Journal of Asset Management, 21.7 (2020): 591-608.
- Does higher-frequency data always help to predict longer-horizon volatility?
- with Ben Charoenwong
- Journal of Risk, 19.5 (2017): 55-75.
- The Market for English Premier League (EPL) Odds
- with Nicholas Polson and Jianeng Xu
- Journal of Quantitative Analysis in Sports, 12.4 (2017): 167-178.
- Media Coverage: Chicago Booth Review