PROGRAMS

ADMISSIONS

FACULTY & RESEARCH

STUDENT

ALUMNI

INTERNATIONAL

NIFR

ABOUT

Chinese

Full-time Faculty

Faculty CV

ACADEMIC EXPERIENCE    

2014- Present   Assistant Professor, PBC School of Finance, Tsinghua University

2016- Present   Minsheng Wealth Management Research Center, Deputy Director

                             Tsinghua University PBCSF-NIFR



EDUCATION       

2009-2014     Ph.D. in Finance, Kellogg School of Management, Northwestern University

2007-2009     M.A. in Economics, Duke University

2003-2007     B.E. in Engineering Structure Analysis, B.A. in Economics, Peking University


RESEARCH INTERESTS              

Empirical Asset Pricing

Financial Market Frictions

Financial Econometrics

Quantitative Portfolio Management 


PUBLICATIONS
[1]  A Performance Comparison of Large-n Factor Estimators (with Gregory Connor and Robert Korajczyk), Review of Asset Pricing Studies, conditional acceptance
[2]  Empirical Investigation of an Equity Pairs Trading Strategy (with Huafeng Chen, Shaojun Chen, and Feng Li), Management Science, forthcoming
[3]  Seeing the Unobservable from the Invisible: The Role of CO2 in Measuring Consumption Risk (with Andrea Lu), Review of Finance, forthcoming
[4]  Growing Pains: International Instability and Equity Market Returns (with Andrea Lu and Zhuqing Yang), Financial Management 46 (1), Spring 2017, pp. 59-87
[5]  Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets (with Andrea Lu), Journal of Banking and Finance 75, February 2017, pp. 98-108


WORKING PAPERS   
[1]  The Financing of Local Government in China: Stimulus Loan Waves and Shadow Banking Waxes (with Zhiguo He and Chun Liu), March 2017
[2]  A Market-based Funding Liquidity Measure (with Andrea Lu), March 2017
[3]  Carbon Dioxide Emissions and Asset Pricing (with Andrea Lu), May 2013

WORKING IN PROGRESS

[1]  Decoding Leveraged Trading (with Pengfei Li, Zhengwei Wang, and Bohui Zhang), March 2016


HONORS AND AWARDS     

PanAgora Crowell Memorial Prize Finalist 2014  

Chicago Quantitative Alliance (CQA) Academic Competition Second Prize 2013  

The 26th Australasian Finance and Banking Conference PhD Forum Second Prize 2013  

The 26th Australasian Finance and Banking Conference PhD Forum Travel Grant 2013   

The 9th International Conference on Asia-Pacific Financial Markets Best Paper Award 2014

AFA Student Travel Grant 2013  

The 25th Australasian Finance and Banking Conference PhD Forum Travel Grant  2012

Kellogg School of Management Fellowship 2009-2014

Duke University Partial Tuition Waiver Fellowship 2007-2009  

Peking University Dean’s List 2006  

Peking University Canon Grants for Elite Students 2006  

Lee-Shiu Travel Scholarship 2006


ACADEMIC PARTICIPATIONS (*indicates presentation by co-author)  

The Financing of Local Government in China: Stimulus Loan Waves and Shadow Banking Waxes

Conferences:

China International Conference in Finance, 2017

Asian Bureau of Finance and Economic Research 5th Annual Conference*, 2017

NBER Chinese Economy Working Group Meeting*, 2017

The Nankai University School of Finance Annual Conference*, 2016

Seminars:

Shanghai University of Finance and Economics*, 2016

Renmin University of China (Hanqing), 2016

Central University of Finance and Economics (School of Finance), 2016


Decoding Leveraged Trading

Conferences:

FMA Asia-Pacific Meeting*, 2017

The 11th International Conference on Asia-Pacific Financial Markets*, 2016

The 29th Australasian Finance and Banking Conference*, 2016

China Financial Research Conference*, 2016

The 9th International Accounting and Finance Doctoral Symposium*, 2016

Seminars:

Seminar Series at Centre for Asian Business and Economics, University of Melbourne, 2016


A Market-Based Funding Liquidity Measure 

Conferences

The 8th Paris Hedge Fund Research Conference*, 2016

Paris December Finance Meeting, 2015

Western Finance Association Annual Conference*, 2015

Asian Bureau of Finance and Economic Research 3rd Annual Conference, 2015

The 9th International Conference on Asia-Pacific Financial Markets, 2014

Northern Finance Association Conference, 2014

ESMT Asset Management Conference, 2014

China International Conference in Finance, 2014

Financial Intermediation Research Society*, 2014

The 5th Risk Management Conference in Mont Tremblant, 2014

The 26th Australasian Finance and Banking Conference PhD Forum, 2013

The 26th Australasian Finance and Banking Conference, 2013

FDIC/JFSR 13th Bank Research Conference, 2013

Seminars: 

Central University of Finance and Economics, 2015

Renmin University of China School of Business, 2015

Cheung Kong Graduate School of Business, 2015

Nanjing University Business School, 2015

Peking University (GSM), 2014

Arizona State University (Carey), 2014

Purdue University (Krannert), 2014

PanAgora Asset Management, 2014

Citadel LLC, 2014

Moody's Analytics, 2014

Georgetown University (McDonough), 2014

City University of Hong Kong, 2014

Shanghai Advanced Institute of Finance, 2014

Tsinghua University (PBC), 2014

Northwestern University (Kellogg), 2013

Slow Diffusion of Information and Price Momentum in Stocks: Evidence from Options Markets 

Conferences: 

The 9th International Conference on Asia-Pacific Financial Markets, 2014 

The 3rd International Conference on Futures and Derivatives Markets, 2014 

Northern Finance Association Conference, 2014  

Financial Management Association Doctoral Student Consortium, 2013 

Chicago Quantitative Alliance Academic Competition*, 2013 

PKU-Tsinghua-Stanford Conference in Quantitative Finance, 2013 

Seminars: 

PanAgora Crowell Prize Presentation*, 2014 

Northwestern University (Kellogg), 2013 


Seeing the Unobservable from the Invisible: The Role of CO2 in Measuring Consumption Risk 

Conferences: 

China International Conference in Finance*, 2014  

The 26th Australasian Finance and Banking Conference PhD Forum*, 2013 

The 26th Australasian Finance and Banking Conference*, 2013 

Financial Management Association Conference*, 2013 

European Finance Association Conference*, 2013 

Seminars: 

Tsinghua University PBC School of Finance*, 2014 

INSEAD*, 2014 

The University of Melbourne*, 2014 

University of New South Wales*, 2014 

Cornerstone*, 2014 

Georgetown University (McDonough)*, 2014 

Northwestern University (Kellogg)*, 2013 


Growing Pains: International Instability and Asset Pricing 

Conferences: 

The 3rd Luxembourg Asset Management Summit, 2014 

China International Conference in Finance, 2014 

The 24th Annual Conference on Financial Economics and Accounting*, 2013 

Financial Management Association Conference, 2013 

Financial Management Association Doctoral Student Consortium*, 2013 

Midwest Finance Association, 2013 

The 25th Australasian Finance and Banking Conference PhD Forum*, 2012 

The 25th Australasian Finance and Banking Conference*, 2012 

Seminars: 

Northwestern University, 2012 


A Performance Comparison of Large-n Factor Estimators 

Conferences: 

Multinational Finance Society Conference*, 2014 

SoFiE Large-Scale Factor Models in Finance Conference*, 2013 


Carbon Dioxide Emissions and Asset Pricing 

Conferences: 

Midwest Finance Association Conference*, 2013 

The 25th Australasian Finance and Banking Conference*, 2012 

Seminars: 

Northwestern University (Kellogg)*, 2012 


Invited Discussions: 

"Implicit Guarantee and Shadow Banking: the Case of Trust Products,” Franklin Allen, Xian Gu, Jun “QJ” Qian, and Yiming Qian, Central University of Finance and Economics School of Finance Workshop, 2017

“Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance”, by Patrick Gagliardini and Diego Ronchetti, Paris December Finance Meeting, 2015

“Tail Risk Hedging and Regime Switching,” by Markus Huggenberger, Peter Albrecht, and Alexandr Pekelis, China International Conference in Finance, 2015

“The Causal Effects of Margin Trading and Short Selling on Earnings Management: A Natural Experiment from China,” by Zhaojing Chen, Nathan Dong, and Ming Gu, China International Conference in Finance, 2015

“Fire Sales and Liquidity Provision in the Corporate Bond Market,” by Jay Wang, Hanjiang Zhang, and Xinde Zhang, China International Conference in Finance, 2015

“General Purpose Technologies, International Technology Diffusion, and the Cross Section of Stock Returns,” by Po- Hsuan Hsu and Wei Yang, China International Conference in Finance, 2015

“Cross-sectional Asset Pricing with Individual Stocks: Betas versus Characteristics,” by Tarun Chordia, Amit Goyal, and Jay Shanken, Asian Bureau of Finance and Economic Research 3rd Annual Conference, 2015

“Did  the Profitability of  Momentum and  Reversal  Strategies  Decline  with  Arbitrage  Costs  After  the  Turn  of  the Millennium,” by Jieun Lee and Joseph Ogden, The 9th International Conference on Asia-Pacific Financial Markets, 2014

“Institutional Investors and Stock Return Anomalies,” by Roger Edelen, Ozgur Ince, and Gregory Kadlec, The 3rd Luxembourg Asset Management Summit, 2014

“Jump Risk and Option Liquidity in an Incomplete Market,” by Pei-Lin Hsieh and Ya-Jun Wang, The 3rd International Conference on Futures and Derivatives Markets, 2014

“Funding Liquidity Risk and the Cross-Section of Stock Returns,” by Jean-S𝑒́bastien Fontaine bastien Fontaine, Ren𝑒́ Garcia, and SermiGungor, Bank of Canada Conference on Collateral, Liquidity and Central Bank Operations, 2014

“Measuring Liquidity Mismatch in the Banking Sector,” by Jennie Bai, Arvind Krishnamurthy, and Charles-Henri Weymuller, China International Conference in Finance, 2014

“Systemic Risk and Market Liquidity,” by Kebin Ma, China International Conference in Finance, 2014

“Carry,” by Ralph Koijen, Tobias  Moskowitz,  Lasse  Pedersen,  and  Evert  Vrugt,  European  Finance  Association Conference, 2013

“Deception and Managerial Structure: A Joint Study of Portfolio Pumping and Window Dressing Practices,” by Saurin Petel and Sergei Sarkissian, European Finance Association Conference, 2013

“Long/Short Equity Hedge Funds and Systematic Ambiguity,” by Rajna Gibson and Nikolay Ryabkov, Midwest Finance Association Conference, 2013


PROFESSIONAL SERVICE

Ad-hoc referee:

Review of Financial Studies, Management Science, Journal of Empirical Finance, Journal of Banking and Finance, International Review of Finance, Finance Research Letters, China Economic Review

Program committee member:

2017 FMA Asia-Pacific Meeting

TEACHING EXPERIENCE       

PhD Empirical Asset Pricing, Tsinghua University

Corporate Finance, Tsinghua University

ECON 360-1 – Foundations of Corporate Finance Theory, Northwestern University


ADVISING STUDENTS (Name, Year, Placement)      

Xing Liu, 2017, UBC PhD Program in Finance

Huang Huang, 2017, HKUST PhD Program in Finance

Yuan Gao, 2017, Georgia State University PhD Program in Finance

Suiheng Guo, 2016, Georgia State University PhD Program in Finance


INDUSTRY EXPERIENCE

Intern, CITIC Securities, Product and Strategy Division, Summer 2012

Intern, Citigroup, Investment Banking Division, Summer 2010

PROFESSIONAL AFFILIATIONS     

American Finance Association, European Finance Association, Financial Management Association

Programs

>Tsinghua National Institute of Financial Research