PROGRAMS

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FACULTY & RESEARCH

STUDENT

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ABOUT

Chinese

Full-time Faculty

Faculty CV

Academic Experience

Tsinghua University, PBC School of Finance

        Assistant Professor of Finance, 09/2014-Current

National Institute of Financial Research, Minsheng Wealth Management Research Center

        Associate Director, 11/2016-Current

 

Education

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

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

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

 

Research Interests

Chinese Financial Markets, Empirical Asset Pricing, Financial Market Frictions, Quantitative Portfolio Management

 

Publications

       1.        A Performance Comparison of Large-n Factor Estimators (with Gregory Connor and Robert Korajczyk), Review of Asset Pricing Studies, forthcoming

       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), November 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

 

Work in Progress

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

 

Honors and Awards

 The Second China Financial Research Conference Best Paper Award 2017                                                   

 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                                   

 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 Presentations (* indicates presentation by co-author)

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

Conferences:

·         Conference on Globalization, Development, and Economic and Financial Stability*, 2017

·         HKUST Finance Symposium*, 2017

·         SFS Cavalcade Asia-Pacific*, 2017

·         Summer Institute of Finance, 2017

·         China Financial Research Conference, 2017

·         China International Conference in Finance*, 2017

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

·         The 2nd IMF-Atlanta Fed Research Workshop*, 2017

·         NBER Chinese Economy Working Group Meeting*, 2017

·         The Nankai University School of Finance Annual Conference*, 2016

   Seminars:

·         University of International Economics and Business School of Finance, 2017

·         Fudan University School of Economics*, 2017

·         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:

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

·         Renmin University of China (Hanqing), 2016

·         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 Equity Market Returns

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:

·         “Better Bond Indices and Liquidity Gaming the Rest,” Adriana Robertson and Matthew Spiegel, SFS Cavalcade Asia-Pacific, 2017

·         “Industry Competition, Credit Spreads, and Levered Equity Returns,” Alexandre Corhay, China International Conference in Finance, 2017

·         “Prospective Book-to-Market Ratio and Expected Stock Returns,” Kewei Hou, Yan Xu, and Yuzhao Zhang, China International Conference in Finance, 2017

·         “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-Sbastien Fontaine, Ren Garcia, and Sermin Gungor, 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 Economic Studies, 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

Tian Ye, 2017, Columbia University Master Program in Financial Engineering

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