“Our lives begin to end the day we become silent about things that matter.”
Martin Luther King, Jr.
Research interests: Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, computational economics, and capital markets research in accounting
[Research Summary: “Exploring asset pricing anomalies” in NBER Reporter (the 2014:1 issue), see also a more technical draft for the academic audience]
[See my Google Scholar page for a quick citation count]
Essays on the cross-section of returns, 2002, The Wharton School, University of Pennsylvania.
[see my SSRN page for early drafts of my work]
A comparison of new factor models (with Hou and Xue), 2015, to be presented at the ASU Sonoran Winter Finance Conference, FSU SunTrust Beach Conference, the Rodney L. White Center for Financial Research Conference on Financial Decisions and Asset Market at Wharton, the Seventh McGill Global Asset Management Conference, the 2015 Financial Intermediation Research Society Conference, and the 2015 SFS Finance Cavalcade | Internet appendix | Slides | Slides (abridged)
The Hou, Xue, and Zhang (2015) q-factor model outperforms the Fama-French (2015) five-factor model on both conceptual and empirical grounds.
A first stab at embedding the Diamond-Mortensen-Pissarides search model of unemployment into an equilibrium asset pricing framework.
A search and matching model with credible bargaining, when calibrated to the mean and volatility of unemployment in the postwar sample, can potentially explain the unemployment crisis in the Great Depression.
Solving the DMP model accurately (with Petrosky-Nadeau), 2014.
An accurate global algorithm is critical for solving the search model of unemployment; loglinearization understates the volatility of unemployment but overstates the unemployment-vacancy correlation.
The CAPM strikes back? An investment model with disasters (with Bai, Hou, and Kung), 2015. Slides
An investment-based asset pricing model augmented with rare disasters reproduces the failure of the CAPM in explaining the value premium in finite samples in which disasters are not materialized, as well as its relative success in samples in which disasters are materialized.
Anomalies, 2005, NBER working paper 11322. Not for publication. Runner-up, Best Paper Award at the 2005 Utah Winter Finance Conference.
An economic explanation for why investment and profitability play a fundamental role in the cross section of expected stock returns.
[All articles are the sole copyright of the respective publishers. Materials are provided for educational use only]
Digesting anomalies: An investment approach (with Hou and Xue), 2015, Review of Financial Studies, 28 (3), 650-705. Editor’s Choice, lead article | Internet appendix | Lecture notes | Oxford University Press blog | ETF.com blog by Swedroe
Do anomalies exist ex ante? (with Tang and Wu), 2014, Review of Finance 18 (3), 843-875, lead article.
Value versus growth: Time-varying expected stock returns (with Gulen and Xing), 2011, Financial Management 40 (2), 381-407.
Do time-varying risk premiums explain labor market performance? (with Chen), 2011, Journal of Financial Economics 99 (2), 385-399.
Does q-theory with investment frictions explain anomalies in the cross-section of returns? (with Li), 2010, Journal of Financial Economics 98 (2), 297-314. Lecture notes
The q-theory approach to understanding the accrual anomaly (with Wu and Zhang), 2010, Journal of Accounting Research 48 (1), 177-223.
Investment-based expected stock returns (with Liu and Whited), 2009, Journal of Political Economy 117 (6), 1105-1139. Internet appendix | Gauss programs and data | Matlab programs and data | Lecture notes
Momentum profits, factor pricing, and macroeconomic risk (with Liu), 2008, Review of Financial Studies, 21 (6), 2417-2448.
The new issues puzzle: Testing the investment-based explanation (with Lyandres and Sun), 2008, Review of Financial Studies 21 (6), 2825-2855. Runner-up, Barclays Global Investors Award for the Best Conference Paper at the 2005 European Finance Association Annual Meetings.