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Faculty Profile

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Education

2006 — 2011Ph.D. in Economics (concentration in Finance), Cornell University, U.S.
1998 — 2006B.A. in Management Science and Engineering, and M.A. in Finance, Shandong University, China

Current Position(s) Held

January 2026 - Now Professor of Finance
Lee Kong Chian School of Business, Singapore Management University

Awards, Recognition and Honors

  • Keynote speaker, Asset Pricing and FinTech Workshop at Hunan University, 2024-2025
  • Keynote speaker, the second Asia-Pacific Search and Matching Online Workshop, 2023
  • The Outstanding Paper in Fixed-Income Award for JFDS, 2022
  • Carey Supplemental Research Support Award, 2018 - 2019, 2021 - 2022
  • Outstanding Referee for the Journal of Banking and Finance, 2017 - 2018
  • Outstanding Referee for the Journal of Empirical Finance, 2017 - 2018
  • Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics in 2015 - 2016
  • Dean's Award for Faculty Excellence, The Johns Hopkins Carey Business School, 2017 - 2020
  • NASDAQ Best Paper Award in Market Microstructure - Financial Management Association 2016
  • TCFA Best Paper Award, Chinese Finance Association, 2014
  • Q-Group Research Award, 2013
  • IFSID Research Award, Montreal Institute of Structured Products and Derivatives, 2013
  • GARP Research Award, Global Association of Risk Professionals,  2013
  • Best Paper Award (first prize), China Finance Review International Conference, 2013
  • Best Paper Award, International Symposium on Risk Management and Derivatives, 2012
  • Outstanding Teaching Assistant Award, Cornell University, 2009-2010
  • Sage Foundation Graduate Fellowship, Cornell University, 2006-2008
  • Third Prize, China National Mathematics Olympiad, 1998

Research Interests

  • Fixed-Income Markets
  • Financial Intermediaries
  • Monetary Policy
  • Real Estate Finance

Journal Articles (Refereed)

  1. “Agency MBS as Safe Assets”, (with Zhiguo He)
    - Review of Financial Studies (2026)
    - Practitioner Coverage: Inside Mortgage Finance
  2. “TBA Trading and Security Issuance in the Agency MBS Market”, (with Yu An, Wei Li) 
    - Real Estate Economics (2025)
  3. “Monetary Transmission and Government Investment in China” (with Qian Han, Yufei Yuan, Yuanhang Zhao)
    - China Economic Review (2023)
  4. “Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?” (with Yu An)
    - Review of Financial Studies (2023)
  5. “Asset Pricing with Cohort-Based Trading in MBS Markets", (with Nicola Fusari, Wei Li, Haoyang Liu)
    - Journal of Finance (2022)
  6. “Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress”, (with Zhiguo He, Paymon Khorrami)
    - Review of Financial Studies (2022)
  7. “Treasury Inconvenience Yields during the COVID-19 Crisis," (with Zhiguo He, Stefan Nagel) 
    - Journal of Financial Economics (2022)
    - Policy/Practitioner Coverage: Report of U.S. Government Accountability Office     
  8. “Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises", (with Gustavo Cortes, George Gao, Felipe Silva)
    - Journal of International Money and Finance (2022)
    - The most cited articles published since 2020 
  9. "Disagreement Beta" (with George Gao, Xiaomeng Lu, Hongjun Yan)   
    - Journal of Monetary Economics (2019)
    - Practitioner Coverage: Refinitiv White Papers 
  10. "Tail Risk Concerns Everywhere", (Data), (with George Gao, Xiaomeng Lu)
    - Management Science (2019)         
    - 2013 GARP Research Award
    - 2014 TCFA Best Paper Award 
  11. "Mortgage Dollar Roll” (with Haoxiang Zhu)   
    - Review of Financial Studies (2019)
    - Media/Practitioner Coverage: Mortgage News Daily, Goldman Sachs   
  12. "Transparency and Dealer Networks: Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market", (with Paul Schultz)
    - Journal of Financial Economics (2019)
  13. “Do Hedge Funds Exploit Rare Disaster Concerns?” (Data), (with George Gao, Pengjie Gao) 
    - Review of Financial Studies (2018)
    - 2013 Q Group Research Award     
  14. "Quantitative Easing Auctions of Treasury Bonds” (with Haoxiang Zhu)   
    - Journal of Financial Economics (2018)
    - Media/Practitioner Coverage: FORTUNE, BloombergView 
  15. "Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the MBS MBSMBSS Market”, (with Pengjie Gao, Paul Schultz)
    - Journal of Finance (2017)
    - Media/Practitioner Coverage: PIMCO on Liquidity
  16. "The Value of Trading Relations in Turbulent Times” (with Marco Di Maggio, Amir Kermani)
    - Journal of Financial Economics (2017)
    - NASDAQ Best Paper Award in Market Microstructure
    - Media/Policy Coverage: VOX, SEC’s 2017 Report to Congress  
  17. "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk” (with Dacheng Xiu)
    - Journal of Econometrics (2016)
    - Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics
    - Best Paper Award in Derivatives - 2012 International Symposium on Risk Management and Derivatives    
  18. "Testing Whether the Underlying Continuous-Time Model Follows a Diffusion: an Infinitesimal Operator-Based Approach” (with Bin Chen)
    - Journal of Econometrics (2013)
  19. "A Martingale Approach for Testing Diffusion Models Based on Infinitesimal Operator”
    - Journal of Econometrics (2011)