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Last Update: 2/2/2010 |
Curriculum
Vitae
Research Interests:
What drives asset return in both short-term (liquidity shock, investor sentiment, limited attention, etc.) and long-term (cashflow and discount rate news)
Publications:
"Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds"(with Pengjie Gao and Ravi Jagannathan), accepted at Review of Financial Studies
Online Appendix
Presented at IU, UIUC, Michigan, Barclays Global Investors, FRA 2007 annual meeting, NBER AP meeting 2008, AFA 2009 and by coauthor at Tilburg University, the 4th Vienna Symposium on Asset Management, Chicago Fed, WFA 2008, previously circulated under the title "When Does a Mutual Fund's Trade Reveal its Skill?"
“Cashflow Risk, Systematic Earnings Revisions, and the
Cross-Section of Stock Returns” (with Mitch Warachka), Journal of Financial Economics, Vol 94, 448-468 (2009)
Presented at University of Notre Dame and by coauthor at Nanyang Technological University, the 2008 China International Conference in Finance and FMA2008.
"Relative Valuation and Analyst Target Price Forecasts" (with Ernst Schaumburg), forthcoming, Journal of Financial Markets
Presented at AFA 2007, Northwestern University, University of Notre Dame, Vanguard, Singapore Management University, and by coauthor at 2006 China
International Conference in Finance, Goldman Sachs Asset Management, HEC Montreal, Loyola University, the 2006
NBER Asset Pricing Workshop, UIC and USC Marshall
School of Business, previously circulated under the title "Target Prices, Relative Valuations and the Compensation for Liquidity Provision"
"Clientele Change, Liquidity shock, and the Return on Financially Distressed Stocks" (with Pengjie Gao), forthcoming at Journal of Financial and Quantitative Analysis
Preseneted at Lehman Brothers, University of Notre Dame, NYU Stern, UC-Irvine, UT-Austin, Columbia GSB, Wharton, Vanderbilt University, Arizona State University, FMA 2006, AFA 2007, Moody's KMV (by co-author) and 2006 NBER market microstructure meeting (by co-author)
"Cash Flow, Consumption Risk and Cross Section of Stock Returns"
Journal of Finance, Vol 64,
No. 2, 923-956 (2009).
Supplementary Material, (Older Version with Technical Details)
Presented at Washington University, Lehman Brothers, NY Fed, EFA 2006 and WFA 2006
"Pricing Options using Implied Trees: Evidence from FTSE-100 Options" (with Kiam Guan Lim) Journal of Futures Markets, Vol. 22, No.7, 601-626 (2002)
Working Papers:
“In Search of Attention” (with Joey Engelberg and Pengjie Gao), revising for resubmitting to Journal of Finance
First Prize Winner, 2009 Chicago Quantitative Alliance (CQA) Academic Competition
Presented at Macquarie Global Quant Conference, Singapore Management University, Purdue University, CQA Academic Competition, HEC Montreal and by coauthors at University of Notre Dame, UNC, UC-Irvine, University of Georgia, Fifth Yale Behaviroal Science Conference, NBER market microstructure meeting and AFA 2010.
“Dividend Smoothing and Predictability” (with Long Chen and Richard Priestley), under review
Presented at University of Notre Dame, University of Houston, UIC and Indiana University, FRA 2009 annual meeting, and by coauthor at Washington University -St. Louis
"The Disparity between Long-term and Short-term Forecasted Earnings Growth" (with Mitch Warachka), revising for resubmitting to Journal of Financial Economics
Presented at University of Notre Dame and by coauthor at Singapore Management University, University of Florida, FMA 2008, Nippon Finance Association 2008 International Conference and AFA 2010. This paper supersedes "Long-Term Earnings Growth Forecasts, Limited Attention, and Return Predictability." Many results in this working paper were presented in an earlier version entitled "Analyst Forecast Biases and Stock Returns".
“CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence” (with Re-Jin Guo and Ravi Jagannathan), under revision
Presented at WFA 2009, 20th FEA conference and by coauthors at Nanyang Technological University, Singapore Management University, Minnesota Macro-Finance Conference, University of British Columbia, UIC , University of Minnesota and FIRS 2009 Prague meetings
“The Pricing of Volatility Risk across Asset Classes and the Fama-French Factors” (with Ernst Schaumburg), under revision
Presented at University of Notre Dame, Caesarea Center Sixth Annual Academic Conference in Israel and by coauthor at 2006 McGill University / IFM2 -Risk Management Conference, 2007 China
International Conference in Finance, Chicago Fed and New York Fed, previously circulated under the title "Factor Structure on Realized Volatility and its Restriction on Option Prices"
“Clientele Change, Persistent Liquidity Shock, and Bond Return Reversal After Rating Downgrades” (with Pengjie Gao), under revision using a better bond holding dataset
“What Moves Investment?” (with Long Chen
and Borja Larrain)
Presented by coauthor at City U of HK international conference and the 2010 Jackson Hole Finance Conference
“What Drives Stock Price Movement? Short-term and Long-term Cash Flows and Implied Expected Rates of Return” (With Peter Easton and Keejae Hong)
presented at University of Notre Dame and by coauthors at Michigan State University and UIC
“The Sum of All FEARS: Investor Sentiment, Noise Trading and Aggregate Volatility” (with Joey Engelberg and Pengjie Gao)
presented at Purdue University and by coauthor at University of Notre Dame
“Decomposing the Short-term Return Reversal” (with Qianqiu Liu and Ernst Schaumburg)
Work in Progress:
“Empirical Analysis of Fund Liquidity and Market Liquidity” (with Pengjie Gao and Xueping Wu)
“Analyst Target Price Decomposition” (with Keejae Hong and Sangwoo Lee)
“In Search of Earnings Predictability” (with Joey Engelberg and Pengjie Gao)
Course Taught @ Mendoza:
Debt Instruments --- FIN 40660
Teaching Materials:
“Convertible Bonds of Countrywide Financial Corporation” (with Ravi Jagannathan), Harvard Business School Case, Prod # KEL323-PDF-ENG
Teaching Notes Prepared for FINC 460 (MBA Investment), Kellogg School of Management
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