Publications

( * indicates our supervised PhD student or postdoctoral fellow)

Finance

1. Deep Tangency Portfolio with Yizhi Song*, Liang Jiang, Junye Li, and Yuanzhi Wang* Accepted, Management Science (2026+).
   Portfolio choiceStochastic discount factorAsset pricingFinancial machine learning
2. Selecting and Testing Asset Pricing Models: A Stepwise Approach with Wei Lan, Hansheng Wang, and Jun Zhang* Accepted, Management Science (2026+).
   Asset pricingStochastic discount factorFactor zooModel comparison
3. Growing the Efficient Frontier on Panel Trees with Will Cong, Jingyu He, and Xin He* Journal of Financial Economics, 2025, 167, 104024. 2022 INQUIRE Europe Research Grant Award 2024 IQAM Research Prize
   Factor modelsPortfolio choiceStochastic discount factorFinancial machine learningAsset pricing
4. Deep Learning in Characteristics-Sorted Factor Models with Jingyu He, Nick Polson, and Jianeng Xu Journal of Financial and Quantitative Analysis, 2024, 59(7), 3001-3036. Unigestion Alternative Risk Premia Research Grant Award Second Prize, 2019 Crowell Prize 2019 INQUIRE Europe Research Grant Award Media Coverage: Chicago Booth Review, BNP PARIBAS, PR Newswire
   Factor modelsAsset pricingFinancial machine learningStochastic discount factor
5. Taming the Factor Zoo: A Test of New Factors with Stefano Giglio and Dacheng Xiu Journal of Finance, 2020, 75(3), 1327-1370. 2018 AQR Insight Award, First Prize PwC 3535 Finance Forum Annual Best Paper Award Media Coverage: Chicago Booth Review, Pensions & Investments, AQR Insight Award, 知乎
   Factor zooStochastic discount factorAsset pricingVariable selectionFinancial machine learning
6. Can news predict firm bankruptcy? with Siyu Bie*, Naixin Guo*, and Jingyu He Journal of Financial Markets, 2026, 79, 101002.
   LLM in FinanceTextual analysisFinancial machine learning
7. Institutional Granular Impact is Benign on Asset Sales and Price Efficiency with Yinghua Fan*, Xiao Qiao, and Sayad Baronyan Journal of Financial Markets, 2025, 75, 100987.
   Institutional investorsAsset pricingFinancial machine learning
8. Predicting Individual Corporate Bond Returns with Xin He*, Yanchu Wang, and Chunchi Wu Journal of Banking & Finance, 2025, 171, 107372.
   Return predictabilityFixed incomeFinancial machine learning
9. Does higher-frequency data always help to predict longer-horizon volatility? with Ben Charoenwong Journal of Risk, 2017, 19(5), 55-75.
   Volatility modelingHigh-frequency dataModel comparison

Econometrics & Statistics

1. Testing Alphas in Linear Factor Models: A Portfolio Approach with Jun Zhang*, Dan Pu, and Wei Lan Accepted, Journal of Business & Economic Statistics (2026+).
   Asset pricingModel comparisonHigh-dimensional inference
2. Regularized GMM for Time-Varying Models with Application to Asset Pricing with Liyuan Cui and Yongmiao Hong International Economic Review, 2024, 65(2), 851-883.
   GMMTime-varying parametersFactor modelsAsset pricing
3. Factor Investing: A Bayesian Hierarchical Approach with Jingyu He Journal of Econometrics, 2022, 230(1), 183-200.
   Bayesian methodsVariable selectionFactor modelsPortfolio choice
4. Regularizing Bayesian Predictive Regressions with Nicholas Polson Journal of Asset Management, 2020, 21(7), 591-608.
   Bayesian methodsVariable selectionReturn predictability
5. The Market for English Premier League (EPL) Odds with Nicholas Polson and Jianeng Xu Journal of Quantitative Analysis in Sports, 2017, 12(4), 167-178. Media Coverage: Chicago Booth Review
   ForecastingModel comparisonMachine learning