Selected Publications

"Post-FOMC Announcement Drift in Government Bond Futures" (with Ivan Indriawan and Yiuman Tse) - accepted for publication at Journal of Banking and Finance

"Price Disparity between Chinese A- and H-Shares: Dividends, Currency Values, and the Interest Rate Differential" (with Qingfu Liu, Yiuman Tse and Zhiqin Wang) - accepted for publication at Global Finance Journal

Global Liquidity Provision and Risk Sharing (with Sergei Sarkissian) - forthcoming at Journal of Financial and Quantitative Analysis

Cross-Listings and the Dynamics between Credit and Equity Returns (with Patrick Augustin, Sergei Sarkissian and Michael Schill), Review of Financial Studies, 2020, 33 (1), 112-154.

The Impact of the US Stock Market Opens on Price Discovery of Government Bond Futures (with Ivan Indriawan and Yiuman Tse), Journal of Futures Markets, 2019, 39 (7), 779-802.

Operating Leverage and Underinvestment (with Chuanqian Zhang, Michi Nishihara), Journal of Financial Research, 2019, 42 (3), 553-587

Seeing or Believing? Cross-listing and the Earnings Response (with Madhurima Bhattacharyay), Managerial Finance, 2019, 45 (5), 671-685.

Working Paper

"Forward Premium Puzzle and Heterogeneous Beliefs" (with Benjamin Croitoru and Lei Lu)

  • MFA 2020, NZFM 2019, FMA 2021 (Scheduled)

"Lumpy Investment and Credit Risk" (with Chuanqian Zhang)

  • FMA 2020, MFA 2021

  • Revision requested by Journal of Banking and Finance

"Cross-listings and Liquidity Risk Diversification"

  • MFA 2015, SFA 2016, FMA 2015

"Liquidity Picking and Fund Performance" (with Sergei sarkissian and David Schumacher)