Research Summary: “Exploring asset pricing anomalies” in NBER Reporter (the 2014:1 issue)
[see also a more technical draft for the academic audience]
Research interests: Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, computational economics, and capital markets research in accounting.
[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 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.
A comparison of new factor models (with Hou and Xue), 2014.
The q-factor model outperforms the Fama-French five-factor model in summarizing the cross section of average stock returns.
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 Not for publication.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]
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.