Professor of Finance
Duke Realty Chair
Krannert School of Management
403 West State Street
West Lafayette, IN 47907
Tel: (765) 496-7674
No-Arbitrage Restriction and Hedge Fund Performance Evaluation (with Haitao Li and Yuewu Xu), forthcoming, Journal of Financial and Quantitative Analysis.
The Information Content of The Sentiment Index (with Steve Sibley, Yanchu Wang and Yuhang Xing), Journal of Banking and Finance, 2016, 62, 164-179.
Shackling Short Sellers: The 2008 Shorting Ban (with Ekkehart Boehmer and Charles Jones), Review of Financial Studies, lead article, 2013, 26, 1363-1400.
This paper won Best Paper Award at16th Mitsui Finance Symposium, University of Michigan.
Aggregate Idiosyncratic Volatility (with Geert Bekaert and Robert Hodrick), Journal of Financial and Quantitative Analysis, lead article, 2012, 47, 1155-1185.
This paper won the William F. Sharpe Award for the best paper published in JFQA 2012.
Empirical Evaluation of Pricing Models: Arbitrage and Pricing Errors on Contingent Claims (with Zhenyu Wang), Journal of Empirical Finance, 2012, 19, 65-78.
Investing In Talents: Manager Characteristics and Hedge Fund Performances (with Haitao Li and Rui Zhao), Journal of Financial and Quantitative Analysis, 2011, 46, 59 82.
What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns? (with Yuhang Xing and Rui Zhao), Journal of Financial and Quantitative Analysis, 2010, 45, 641-662.
Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance (with Haitao Li and Yuewu Xu), Journal of Financial Economics, 2010, 97, 279-301.
International Stock Return Comovements (with Geert Bekaert and Robert Hodrick), Journal of Finance, 2009, 64, 2591-2626.
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Financial Economics, 2009, 91, 1-23.
Which Shorts Are Informed? (with Ekkehart Boehmer and Charles Jones), Journal of Finance, lead article, 2008, 63, 491-527. This paper won BSI Gamma Foundation Award.
The Cross-Section of Volatility and Expected Returns (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Finance, 2006, 61, 259-299.
Specification Tests of International Asset Pricing Models, Journal of International Money and Finance, 2006, 25, 275-307.
Evaluating the Specification Errors of Asset Pricing Models (with Robert Hodrick), Journal of Financial Economics, 2001, 62, 327-376.
Potential Pilot Problems: Treatment Spillovers in Financial Regulatory Experiments (with Ekkehart Boehmer and Charles Jones)