Working Papers

( * indicates our supervised PhD student or postdoctoral fellow)

Finance

1. Mosaics of Predictability with Will Cong, Jingyu He, and Yuanzhi Wang*. Apr. 2026
   Return predictabilityAsset pricingFactor modelsFinancial machine learning
2. Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes? with Jingyu He, Junye Li, Lucio Sarno, and Qianshu Zhang*. Mar. 2026
   Return predictabilityRisk premiaCurrencyTime-varying parameters
3. Schrödinger’s Sparsity in the Cross Section of Stock Returns with Doron Avramov, Jingyu He, and Shuhua Xiao*. Dec. 2025
   Asset pricingFactor zooVariable selection
4. Beyond Beta Pricing: SDF Selection from Euler-Restricted Traded–Nontraded Factor-Return Models with Siddhartha Chib, Jingyu He, and Qianshu Zhang*. May 2026 Major Revision, Management Science
   Factor zooStochastic discount factorAsset pricingModel comparison
5. Growing Mimicking Portfolios: Estimating Nontraded Factor Risk Premia with Jingyu He, Jianxin Ma*, and Cesare Robotti. Nov. 2025 Revised & Resubmit, Review of Asset Pricing Studies
   Portfolio choiceStochastic discount factorRisk premiaFinancial machine learning
6. Modeling Institutional Investors in China with Dashan Huang and Yinghua Fan*. Apr. 2026
   Institutional investorsAsset pricingFinancial machine learning
7. One News, Two Markets: LLM-Derived Sentiment and Trading Volume with Siyu Bie*, Naixin Guo*, and Jingyu He. Dec. 2025
   LLM in FinanceTextual analysisFinancial machine learning
8. Do asset pricing models change over time? with Liyuan Cui, Yongmiao Hong, and Jiangshan Yang*. Mar. 2026
   Stochastic discount factorAsset pricingTime-varying parametersModel comparison
9. Breaks and Trends in Factor Premia with Liyuan Cui, Jianxin Ma*, and Yinan Su. Apr. 2026 2026 INQUIRE Europe Research Grant Award
   Risk premiaStochastic discount factorTime-varying parametersModel comparison
10. Asset Heterogeneity and Uncommon Factors with Will Cong, Jingyu He, Junye Li, and Qianshu Zhang*. Apr. 2026
    Asset pricingFactor zooStochastic discount factorFinancial machine learning

Econometrics & Statistics

1. Sparse Modeling Under Grouped Heterogeneity with Applications to Asset Pricing with Will Cong, Jingyu He, and Junye Li. Dec. 2025 Best Paper Award, 2024 China Fintech Research Conference
   Variable selectionBayesian methodsAsset pricing
2. Testing Asset Pricing Factor Models: An Out-of-Sample Perspective with Jun Zhang*, Wei Lan, and Long Feng. May 2026 Major Revision, Journal of Econometrics
   Model comparisonFactor modelsAsset pricing
3. Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach with Liyuan Cui and Jiangshan Yang*. Apr. 2026 Major Revision, Journal of Econometrics
   GMMVariable selectionReturn predictability
4. Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach with Yinghua Fan*, Andras Fulop, and Junye Li. Jan. 2026 Minor Revision, Journal of Financial Econometrics
   Fixed incomeReturn predictabilityMachine learningTime-varying parameters
5. Estimation of Coupled Vector-Tensor Group Factor Model with Liyuan Cui, Yuefeng Han, and Jiayan Li*. May 2026
   High-dimensional inferenceFactor modelsVariable selection