PUBLICATION

1. “Risks and Returns of Cryptocurrency“, with Aleh Tsyvinski

Review of Financial Studies, 2021 

   RFS Editor’s Choice Article

2. “Common Risk Factors in Cryptocurrency”, with Aleh Tsyvinski and Xi Wu

Journal of Finance, 2022  [3-Factor Data]

3. “Long Run Risk: Is It There?”, with Ben Matthies

Journal of Finance, 2022  [N-index Data] 

Reply to a critique of the paper

4. “How Does Shareholder Governance Affect the Cost of Borrowing? Evidence from the Passage of Anti-Takeover Provisions”, with Xi Wu

Journal of Accounting and Economics, 2023

 

Accepted/Conditional Accepted

5. “Institutional Investor Attention”, with Alan Kwan and Ben Matthies

Journal of Finance

6. “Labor Links, Comovement and Predictable Returns”, with Xi Wu

Journal of Financial and Quantitative Analysis

   Winner of Q-Group Jack Treynor Prize

   WFA Cubist Systematic Strategies Award for Outstanding Research

   Best Paper Award of TAMU Young Scholars Finance Consortium

   Chicago Quantitative Alliance Annual Academic Competition (Second Prize) 

Working paper

1, “Forward Selection Fama-MacBeth Regression with Higher-Order Asset Pricing Factors,” with Nicola Borri, Denis Chetverikov, and Aleh Tsyvinski

2. “One Factor to Bind the Cross Section of Returns,” with Nicola Borri, Denis Chetverikov, and Aleh Tsyvinski (R&R, Journal of Finance)

3. “Supply Chain Disruptions, Supplier Capital, and Financial Constraints,” with Ernest Liu, Vladimir Smirnyagin, and Aleh Tsyvinski

4. “Cryptocurrency: Coming of Age as an Investable Asset Class,” with Nicola Borri, Aleh Tsyvinski, and Xi Wu (Annual Review of Financial Economics, prepare for volume (18) 2025)

5. “False Information in Advertising and Consumer Participation in High-Interest Loan Markets,” with Yufeng Huang, Bowen Luo, and Xi Wu

6. “Weighted-Average Quantile Regression,” with Denis Chetverikov and Aleh Tsyvinski (R&R, Journal of Econometrics)

7. “The Economics of Non-Fungible Tokens,” with Nicola Borri and Aleh Tsyvinski

8. “Accounting for Cryptocurrency Value,” with Aleh Tsyvinski and Xi Wu (R&R, Journal of Accounting Research)

9. “Identifying Shocks to Systematic Risk in Times of Crisis,” with Jacob Boudoukh, Toby Moskowitz, and Matthew Richardson

10. “How Do Investors Value Technology in Cryptocurrency? Evidence from Textual Analysis,” with Jinfei Sheng and Wanyi Wang

   AMTD FinTech Center Prize

11. “Labor-Based Asset Pricing”

   Winner of Blackrock Applied Research Award