Research

Selected Publications

The SOFR and the Fed’s Influence over Market Interest Rates (with Ivan Indriawan and Yiuman Tse) - accepted for publication at Economics Letters

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

The FOMC announcement returns on long-term US and German Bond Futures (with Ivan Indriawan and Yiuman Tse). Journal of Banking and Finance, 2021, 122, 106027

Global Liquidity Provision and Risk Sharing (with Sergei Sarkissian), Journal of Financial and Quantitative Analysis, 2021, 56(5), 1844-1876.

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

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

  • FMA 2020, MFA 2021

"Cross-listings and Liquidity Risk Diversification"

  • MFA 2015, SFA 2016, FMA 2015

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