Research



Publications:

  • A Market-Based Study of the Cost of Default, with Sergei Davydenko and Ilya Strebulaev, Review of Financial Studies, Vol. 25, No. 10, October 2012.
  • Do Jumps Contribute to the Dynamics of the Equity Premium?, with John Maheu and Tom McCurdy, Journal of Financial Economics, Vol. 110, No. 2, November 2013.
    • Presented at: AFA 2013; NFA 2012; SoFiE 2012; MFA 2012; CFEA 2011.
  • Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings, Management Science, Vol. 63, No. 5, May 2017.
    • Winner of 2012 Crowell Memorial Prize (third prize), Paper Competition, PanAgora Asset Management
    • Presented at: EFA 2014; FARS 2015; EFA 2012 DT; NFA 2012; PanAgora Asset Management; Eastern FA 2012 (Winner of Best PhD Student Paper Award); MFA 2012. Previously titled as “Does Information Intensity Matter for Stock Returns? Evidence from SEC Current Report Filings” and “Information Intensity and the Cross-Section of Stock Returns”.
  • Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor, with Frederico Belo, Jun Li, and Xiaoji Lin, Review of Financial Studies, Vol. 30, No. 10, October 2017.
    • Presented at: WFA 2015; SFS 2015; SED 2014.
    • Industry level labor skill data here.
  • The Elephant in the Room: The Impact of Labor Obligations on Credit Markets, with Jack Favilukis and Xiaoji Lin, American Economic Review, Vol. 110, No. 6, June 2020.
    • Presented at: 2018 NBER Summer Institute on Capital Markets and the Economy; Drexel-PFED Conference on Credit Markets and the Macroeconomy; SED 2017; 2017 Mitsui Finance Symposium on Labor and Corporate Finance; WFA 2016; SFS 2016; 2016 Adam Smith Asset Pricing Workshop; 2016 Econometric Society Winter Meetings.
  • Why Are Bidder Termination Provisions Included In Takeovers?, with Zhiyao Chen, Hamed Mahmudi, and Aazam Virani, Journal of Financial and Quantitative Analysis, Vol. 57, No. 7, November 2022.
    • Winner of CELS 2016 Theodore Eisenberg Poster Prize
    • Presented at: 2016 Journal of Law, Accounting, and Finance (JLFA) Conference at Northwestern; Conference on Empirical Legal Studies 2016 at Duke; Northern Finance Association 2013; Midwest Finance Association 2013; Toronto (Rotman); Oklahoma (Price).
  • News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies, with Yoontae Jeon and Tom McCurdy, Journal of Financial Economics, Vol. 145, No. 2, August 2022, lead article.
    • Presented at: European Finance Association 2019 Meetings; Northern Finance Association 2019 Meetings; 2019 Risk Management and Financial Innovation Conference; CAAA 2019 Meetings.
  • It Depends on When You Search, with Jun Li, Xianwei Liu, Qiang Ye, and Feng Zhao, MIS Quarterly, Vol. 47, No. 1, March 2023.
  • The Opposing Effects of Complexity and Information Content on Uncertainty Dynamics: Evidence from 10-K Filings, with Joon Woo Bae, Frederico Belo, Jun Li, and Xiaoji Lin, Management Science, Vol. 69, No. 10, October 2023.
    • Winner of 2015 Crowell Memorial Prize (second prize), Paper Competition, PanAgora Asset Management
    • Presented at: Cubist Systematic Strategies; University of Oklahoma; University of Waterloo; PanAgora Asset Management; 2015 Lone Star Finance Conference; Midwest Finance Association 2016 Meetings; 2016 Mid-Atlantic Research Conference (MARC) in Finance; 2016 China International Conference in Finance; Financial Management Association 2016 Meetings; American Finance Association 2017 Meetings.
  • Accounting Information Completeness and Firm Default Risk, with Yaqin Hu, Quarterly Journal of Finance, Vol. 13, No. 1, March 2023.
  • Neglected Risks in the Communication of Residential Mortgage-Backed Security Offerings, with Harold H. Zhang and Feng Zhao, Journal of Finance, Vol. 79, No. 1, February 2024.
    • Presented at: University of Waterloo; Erasmus University; Second Annual (2015) Conference on Financial Market Regulation (SEC, Washington DC); 2015 China International Conference in Finance; Financial Management Association 2015 Meetings; 2016 Fixed Income and Financial Institutions Conference; 2016 Annual Conference on Financial Economics and Accounting (CFEA) at University of Toronto; The Future of Financial Information Conference 2019; 2019 CAAA Meetings; 2020 Georgetown University Global Virtual Seminar Series on Fintech (Natural Language Processing Day).
  • Disclosure Mandate, Trust, and Asset Securitization, with Lantian Liang, Harold H. Zhang, and Feng Zhao, Journal of Financial Intermediation, forthcoming.
    • Presented at: 2024 JFI-CFAR-UNC-Gothenburg Conference on Frontier Risks, Financial Innovation and Prudential Regulation of Banks, 2024 HEC Paris Banking in The Age of Challenges Conference, 2024 FMA European Conference.

Working Papers:

  • Remote Work and Asset Prices: The Importance of ICT Human Capital, with Jack Favilukis, Jing Gao, Xiaoji Lin, and Ali Sharifkhani.
    • Presented at: SFS Cavalcade Asia-Pacific 2024, 2023 Remote Work Conference at Stanford University, 2024 AEA Annual Meetings, 2024 CIRF & CFRI Joint Conference, George Mason University, University of Minnesota.
    • ICT Human Capital data here.
  • Labor Market Networks, Fundamentals, and Stock Returns, with Joon Woo Bae, Turan Bali, and Ali Sharifkhani.
    • Winner of 2023 Chicago Quantitative Alliance (CQA) Annual Academic Competition (third place)
    • Finalist of 2022 Crowell Memorial Prize, Paper Competition, PanAgora Asset Management
    • Presented at: 2024 Wolfe Research QES Conference, 2023 CQA Fall Conference, American Finance Association 2022, Australian National University, Hanyang University, Lehigh University, McMaster University, George Mason University, Man Group, 2021 China International Conference in Finance, Eastern Finance Association 2021, Northeastern University, Ohio University, PanAgora Asset Management, Peking University, Southern Methodist University.
  • Do Bankers Matter for Main Street? The Financial Intermediary Labor Channel, with Yuchen Chen, Jack Favilukis, and Xiaoji Lin.
    • 2022 CIRF-CFRI Research Excellence Award
    • Presented at: American Economic Association 2024, Midwest Finance Association 2023, American Finance Association 2022, China International Risk Forum 2022, SFS Cavalcade 2022, China International Conference in Finance 2022, Midwest Finance Association 2020, University of Minnesota, Norwegian Business School, Texas A&M University, University of Texas at Austin.
  • Cheap Talk in the Mortgage-Backed Securities Offerings, with Harold H. Zhang and Feng Zhao.
  • The Role of “Expert Reviewers” in Private Capital Markets, with Reena Aggarwal and Kathleen Hanley.
    • 2021 PBFJ-CIRF Research Excellence Award
    • Presented at: American Finance Association 2022, China International Risk Forum 2021, SEC, University of Nebraska-Lincoln, George Mason University, Georgetown University, La Trobe University, Michigan State University, University of Delaware, University of New South Wales.
  • Risk Disclosure and the Pricing of Corporate Debt Issues in Private and Public Markets, with Kelly Cai, Kathleen Hanley, and Alan Huang.
    • Best Paper Award, CIRF/CFRI 2020 Joint Conference
    • Presented at: Eighth Annual Conference on Financial Market Regulation (2021), Midwest Finance Association 2020, 2020 CIRF and CFRI Joint Conference, UC Berkeley, Louisiana State University.
  • Does Infotopia Reduce Information Asymmetry in Financial Markets? Evidence from Wikipedia and Insider Trading, with Alfred Liu, Sean Xu, and Michael Zhang.
    • Presented at: Erasmus University; Georgia State University; George Washington University; MIT; University of Connecticut; University of Georgia; the European Centre for Economic Research (ZEW); 2014 NYAFF conference; 2015 FARS mid-year conference; 2015 CAAA meeting.
  • The Power of Economic Networks: Investor Recognition Through Supply-Chain Relationships, with Erfan Danesh and Chayawat Ornthanalai.
    • Presented at: 2015 London Business School Trans-Atlantic Doctoral Conference; European Finance Association 2015 Meetings; Northern Finance Association 2015 Meetings; 2015 Annual Conference on Financial Economics and Accounting (CFEA) at Rutgers University; 2016 China International Conference in Finance.
  • The Impact of Labor Frictions on Corporate Liquidity Management, with Jack Favilukis, Xiaoji Lin, and Neng Wang. Work in Progress.