Housing Cycle and Exchange Rates, Forthcoming, Management Science (with Sai Ma)
Systemic Default and Return Predictability in the Stock and Bond Market, September 2023, Journal of Financial Economics (with Jack Bao and Kewei Hou). Lead Article.
How Inefficient is the 1/N Strategy for a Factor Investor? First Quarter 2023, Journal of Investment Management (with Kevin Khang, Antonio Picca, and Minzhi Zhu)
Dissecting Currency Momentum, April 2022, Journal of Financial Economics
Factor Construction Zoo: Are Factor Exposures Created Equal? January 2022, Journal of Portfolio Management
Toward Tax Efficient Low Volatility Investing, January 2022, Journal of Portfolio Management
Limited Risk Sharing and International Equity Returns, April 2021, Journal of Finance