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Research Interests

• Credit Derivatives, Counterparty Risk, Central Clearing, Credit Market Liquidity, Options, Hedge Funds


"Do Hedge Funds Possess Private Information about IPO Stocks? Evidence from Post-IPO Holdings," (pdf) with Hong Qian, Review of Asset Pricing Studies, forthcoming

"Does Dodd-Frank Affect OTC Transaction Costs and Liquidity? Evidence from Real-Time CDS Trade Reports," (pdf) with Y.C. Loon, Journal of Financial Economics, 119 (3), 645–672 (2016)

"Migrate or Not? The Effects of Regulation SHO on Options Trading Activities," (pdf) with Yubin Li and Chen Zhao, Review of Derivatives Research, 19 (2), 113–146 (2016)

"The Impact of Central Clearing on Counterparty Risk, Liquidity, and Trading: Evidence from the Credit Default Swap Market ," (pdf) with Y.C. Loon, Journal of Financial Economics, 112 (1), 91-115, (2014)

"Investing in Chapter 11 Stocks: Trading, Value, and Performance," (pdf) with Yuanzhi (Lily) Li, Journal of Financial Markets, 16 (1), 33–60, (2013)

"Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," (pdf) with Jing-zhi Huang, Journal of Real Estate Finance and Economics, 46 (1), 152–192, (2013)

"Seasoned Equity Issuers’ R&D Investments: Signaling or Over-Optimism," (pdf) with Hong Qian and Ke Zhong, Journal of Financial Research, 35 (4), 553–580, (2012)

"Pricing Credit Default Swaps with Option-Implied Volatility," (pdf) with Charles Cao and Fan Yu, Financial Analysts Journal, 67 (4), 67–76 (2011)

"The Information Content of Option-Implied Volatility for Credit Default Swap Valuation,"(pdf) with Charles Cao and Fan Yu, Journal of Financial Markets, 13 (3), 321-343 (2010)

Working Papers

"Funding Liquidity Shocks in a Quasi-Natural Experiment: Evidence from the CDS Big Bang,” (pdf) with Xinjie Wang, Yangru Wu, and Hongjun Yan, 2017, Under Revision for Resubmission to Review of Financial Studies

"Assessing Models of Individual Equity Option Prices," (pdf) with Gurdip Bakshi and Charles Cao, 2012, Under Revision for Resubmission to Management Science

"Do Financial Regulations Affect Liquidity? Evidence from the Co-movement of Stock, Bond and CDS Marketwide Liquidity," with Xinjie Wang and Yangru Wu, 2017

"Economic Policy Uncertainty, CDS Spreads, and CDS Liquidity Provision," (pdf) with Xinjie Wang and Weike Xu, 2017

"Price Discrimination against Retail Investors: Evidence from Mini Options," (pdf) with Yubin Li and Chen Zhao, 2017

"The Effects of Credit Default Swap Trading on Analyst Forecasts," with Suresh Govindaraj, Yubin Li, and Chen Zhao, 2017

"Combining Complementary Information in Option Price and Volume for Predicting Stock Returns,” with with Jian Chen, Yangshu Liu, and Chunchi Wu, 2017

"Are College Education and Job Experience Complements or Substitutes? Evidence from Hedge Fund Portfolio Performance," (pdf) with Byoung Uk Kang, Jin-Mo Kim, and Oded Palmon, 2015

"Why does Hedge Fund Alpha Decrease over Time? Evidence from Individual Hedge Funds," (pdf) 2012 (presented at the Western Finance Association Annual Meeting in Waikoloa, Hawaii, 2008)


"Educational Network and Hedge Fund Portfolio Allocation," with Jin-Mo Kim and Oded Palmon

"Option Bounds: A Review and Comparison," with Hongwei Chuang, C.F. Lee, and Tzu Tai

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