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Faculty Profile

Education

2013Ph.D. in Finance, Washington University in St. Louis, USA
2007-2008Postdoctoral Fellow, University of Waterloo, Canada
2007Ph.D. in Engineering, Kyoto University, Japan
2004M.A. in Management Science, Chinese Academy of Sciences, China
2002B.S. in Mathematics, Lanzhou University, China

Current Position(s) Held

2021 - NowAssociate Professor of Finance
Lee Kong Chian School of Business, Singapore Management University
2013 - 2021Assistant Professor of Finance
Lee Kong Chian School of Business, Singapore Management University

Awards, Recognition and Honors

  • CIRF/CFRI - Pacific-Basin Finance Journal Research Award, 2020
  • WRDS Best Paper Award at the 2018 AsianFA Annual Meeting
  • Best Paper Award at the 2014 International Conferene on Corporate Finance and Capital Market
  • Emerald Best Paper Award at the 2014 China Finance Review International Conference
  • Yihong Xia Best Paper Award at the 2012 China International Conference in Finance
  • Best Paper Award at the 5th International Conference on Information and Management Sciences, Chengdu, China, 2006
     

Research Interests

  • Asset Pricing
  • Behavioral Finance
  • Big Data
  • Machine Learning

Publications

  1. "Nominal Prices, Retail Investor Participation, and Return Momentum" with Jun Du, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, and Huacheng Zhang, Management Science 72, 2064-2089, 2026.
  2. "What Difference Do New Factor Models Make in Portfolio Allocation?" with Frank J. Fabozzi, Fuwei Jiang, and Jiexun Wang, Journal of International Money and Finance 140, 102997, 2024.
  3. "Are Bond Returns Predictable with Real-Time Macro Data?" with Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou. Journal of Econometrics 237, 105438, 2023.
  4. "Shrinking Factor Dimension: A Reduced-Rank Approach" with Ai He, Jiaen Li, and Guofu Zhou. Management Science 69, 5501-5522, 2023.
  5. "Presidential Economic Approval Rating and the Cross-Section of Stock Returns" with Zilin Chen, Zhi Da, and Liyao Wang. Journal of Financial Economics 147, 106-131, 2023.
  6. "Expected Return, Volume, and Mispricing" with Yufeng Han, Dayong Huang, and Guofu Zhou. Journal of Financial Economics 143, 1295-1315, 2022.
  7. "Scaled PCA: A New Approach to Dimension Reduction" with Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou. Management Science 68, 1678-1695, 2022.
  8. "Are Disagreements Agreeable? Evidence from Information Aggregation” with Jiangyuan Li and Liyao Wang, Journal of Financial Economics 141, 83-101, 2021.
  9. "Time-Series Momentum: Is it There?” with Jiangyuan Li, Liyao Wang, and Guofu Zhou, Journal of Financial Economics 135, 774-794, 2020.
  10. "Upper Bounds on Return Predictability" with Guofu Zhou, Journal of Financial and Quantitative Analysis 52, 401-425, 2017.
  11. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns" with Fuwei Jiang, Jun Tu,and Guofu Zhou. Review of Financial Studies 28, 791-837, 2015.

Research Advisor/ Co-research Advisor to