Working Papers

1. "Information in the A-H Premium" (with Jennifer Carpenter and Dongchen Zou)
2. "The Economics of Asset Management" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton) formerly "Valuing Mutual Fund Companies"

Published Papers

1. "Government Bond Risk and Return in the US and China" (with Jennifer Carpenter and Fangzhou Lu), 2025, Journal of Financial Economics, accepted.
2. "Capital Structure Priority Effects in Durations, Stock-Bond Comovements and Factor-Pricing Models" (with Jaewon Choi and Matthew Richardson), 2022, Review of Asset Pricing Studies, Vol. 12. No. 3, pp. 706-753.
3. "The Real Value of China's Stock Market" (with Jennifer Carpenter and Fangzhou Lu), 2021, Journal of Financial Economics, Vol. 139, No. 3, pp. 679-696.
4. "A Flatter SML and Margin Constraints—An Empirical Test in China's Stock Market" (with Tiange Ye and Kangni Yu), 2019, Economic Theory and Business Management, Vol. 38, No. 6, pp. 39-54. (in Chinese)
5. "The Development of China's Stock Market and Stakes for the Global Economy" (with Jennifer Carpenter), 2017, Annual Review of Financial Economics, Vol. 9, pp. 233-257.
6. "Comovement Revisited" (with Honghui Chen and Vijay Singal), 2016, Journal of Financial Economics, Vol. 121, No. 3, pp. 624-644.
7. "New Evidence on the Forward Premium Puzzle" (with Jacob Boudoukh and Matthew Richardson), 2016, Journal of Financial and Quantitative Analysis, Vol. 51, No. 3, pp. 875-897.
8. "Hedge of Least Regret: Benefits of Managing Equity Currency Risk with a 50-Percent Hedging Strategy" (with Salvatore Bruno), March/April 2016, Investments and Wealth Monitor, pp. 35-41.
9. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?" (with Turan Bali and Nusret Cakici), 2014, Review of Asset Pricing Studies, Vol. 4, No. 2, pp. 206-246.
10. "An Alternative Method to Construct Levered Indexes" (with Salvatore Bruno and Ludwig Chincarini), 2014, Journal of Index Investing, Vol. 5, No. 2, pp. 34-47.
11. "Selecting a Hedge Fund Replication Approach" (with Salvatore Bruno), 2012, Journal of Indexes, Vol. 15, No. 3, pp. 40-47.
    
12. "Time-Varying Sharpe Ratios and Market Timing" (with Yi Tang), 2011, Quarterly Journal of Finance, Vol. 1, No. 3, pp. 465-493.
13. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns" (with Turan Bali and Nusret Cakici), 2011, Journal of Financial Economics, Vol. 99, No. 2, pp. 427-446.
14. "Consumer Finance Protection" (with Thomas Cooley, Xavier Gabaix, Samuel Lee, Thomas Mertens, Vicki Morwtiz, Shelle Santana, Anjolein Schmeits, and Stijn Van Nieuwerburgh), 2011, Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson, and Ingo Walter (eds.), Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance, John Wiley & Sons, Hoboken, New Jersey.
15. "A Mulifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility" (with Jacob Boudoukh, Christopher Downing, Matthew Richardson, and Richard Stanton), 2010, in Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson (eds.), Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, Oxford University Press, New York.
16. "The Myth of Long-Horizon Predictability" (with Jacob Boudoukh and Matthew Richardson), 2008, Review of Financial Studies, Vol. 24, No. 4, pp. 1577-1605.
17. "Hedge Funds for the Rest of Us" (with Sujeet Banerjee), 2007, Journal of Indexes, Vol. 10, No. 4, pp. 10-15.
18. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the FCOJ Market" (with Jacob Boudoukh, Matthew Richardson, and YuQing Shen), 2006, Journal of Financial Economics, Vol. 83, No. 2, pp. 397-412.
19. "Uncovering the Risk-Return Relation in the Stock Market" (with Hui Guo), 2006, Journal of Finance, Vol. 61, No. 3, pp. 1433-1463.
20. "Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets" (with Eli Ofek and Matthew Richardson), 2004, Journal of Financial Economics, Vol. 74, No. 2, pp. 305-342.
21. "MaxVaR: Long Horizon Value at Risk in a Mark-to-Market Environment" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 2004, Journal of Investment Management, Vol. 2, No. 3, pp. 14-19.
22. "Stale Prices and Strategies for Trading Mutual Funds" (with Jacob Boudoukh, Matthew Richardson, and Marti Subrahmanyam), 2002, Financial Analysts Journal, Vol. 58, No. 4, pp. 53-71.
23. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations" (with Dong-Hyun Ahn, Jacob Boudoukh, and Matthew Richardson), 2002, Review of Financial Studies, Vol. 15, No. 2, pp. 655-689.
24. "News or Noise? Internet Postings and Stock Prices" (with Robert Tumarkin), 2001, Financial Analysts Journal, Vol. 57, No. 3, pp. 41-51.
25. "Stock Market Risk and Return: An Equilibrium Approach" 2000, Review of Financial Studies, Vol. 13, No. 3, pp. 521-547.
26. "The Pricing and Hedging of Mortgage-Backed Securities" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 2000, in Narasimhan Jegadeesh and Bruce Tuckman (eds.), Advanced Fixed-Income Valuation Tools, John Wiley & Sons, New York.
27. "Ex Ante Bond Returns and the Liquidity Preference Hypothesis" (with Jacob Boudoukh, Matthew Richardson, and Tom Smith), 1999, Journal of Finance, Vol. 54, No. 3, pp. 1153-1167.
28. "Optimal Risk Management Using Options" (with Dong-Hyun Ahn, Jacob Boudoukh, and Matthew Richardson), 1999, Journal of Finance, Vol. 54, No. 1, pp. 359-375.
29. "The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk" (with Jacob Boudoukh and Matthew Richardson), 1998, Risk, Vol. 11, No. 5, pp. 64-67.
30. "Hedging the Interest Rate Risk of Bradys: The Case of Argentinian Fixed and Floating Rate Bonds" (with Dong-Hyun Ahn, Jacob Boudoukh, and Matthew Richardson), 1998, in Richard M. Levich, ed.: Emerging Market Capital Flows (Kluwer Academic Publishers, Boston).
31. "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 1997, Review of Financial Studies, Vol. 10, No. 2, pp. 405-446.
32. "Investigation of a Class of Volatility Estimators" (with Jacob Boudoukh and Matthew Richardson), 1997, Journal of Derivatives, Vol. 4, No. 3, pp. 63-71.
33. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure" (with Jacob Boudoukh and Matthew Richardson), 1997, Management Science, Vol. 43, No. 3, pp. 371-385.
34. "A New Strategy for Dynamically Hedging Mortgage-Backed Securities" (with Jacob Boudoukh, Matthew Richardson, and Richard Stanton), 1995, Journal of Derivatives, Vol. 2, No. 4, pp. 60-77.
35. "Expect the Worst" (with Jacob Boudoukh and Matthew Richardson), 1995, Risk, Vol. 8, No. 9, pp. 100-101.
36. "Industry Returns and the Fisher Effect" (with Jacob Boudoukh and Matthew Richardson), 1994, Journal of Finance, Vol. 49, No. 5, pp. 1595-1615.
37. "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns" (with Jacob Boudoukh and Matthew Richardson), 1994, Review of Financial Studies, Vol. 7, No. 3, pp. 539-573.
38. "Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns" 1994, Journal of Finance, Vol. 49, No. 2, pp. 515-541.
39. "Liquidity as a Choice Variable: A Lesson From the Japanese Government Bond Market" (with Jacob Boudoukh), 1993, Review of Financial Studies, Vol. 6, No. 2, pp. 265-292.
40. "The Benchmark Effect in the Japanese Government Bond Market" (with Jacob Boudoukh), 1991, Journal of Fixed Income, Vol. 1, No. 2, pp. 52-59.

Op-Eds

1. "The Dual Role of China’s Stock Market: Capital Allocator and Platform for Global Diversification" (with Jennifer Carpenter), Aug. 9, 2017, VoxChina.org.
2. "China's Stock Market Crash and Beijing's Worst Impulses" (with Jennifer Carpenter), Aug. 26, 2015, ForeignPolicy.com.
3. "What Can We Learn from the Chinese Stock Market Crash?" (with Jennifer Carpenter), Aug. 5, 2015, ForeignPolicy.com.
4. "Hands Off China's Stock Market" (with Jennifer Carpenter), Jul. 8, 2015, CNBC.com.
5. "China's Stock Market is Not in a Bubble" (with Jennifer Carpenter), Jan. 7, 2015, CNBC.com.

Co-Authors

Check out the other research of my co-authors:

• Dong-Hyun Ahn
• Turan Bali
• Kobi Boudoukh
• Sal Bruno
• Nusret Cakici
• Jennifer Carpenter
• Honghui Chen
• Ludwig Chincarini
• Jaewon Choi
• Hui Guo
• Fangzhou Lu
• Eli Ofek
• Matt Richardson
• YuQing(Jeff) Shen
• Vijay Singal
• Tom Smith
• Richard Stanton
• Marti Subrahmanyam
• Yi Tang
• Robert Tumarkin