Research Interests
- Empirical Asset Pricing, Macro-Finance, Empirical Corporate Finance, Short Selling, Credit Default Swap, Machine Learning
Research Publications
- 1. “Economic Policy Uncertainty, CDS Spreads, and CDS Liquidity Provision” (with Xinjie Wang and Zhaodong Zhong), Journal of Futures Markets, April 2019, Volume 39, 461-480.
- 2. “Economic Policy Uncertainty and Momentum” (with Ming Gu, Minxing Sun and Yangru Wu), Financial Management, Spring 2021, Volume 50, 237-259.
- 3. “The COVID-19 Pandemic and Sovereign Credit Risk” (with Wei-Fong Pan, Xinjie Wang, and Ge Wu), China Finance Review International, 2021, Volume 11, 287-301.
- 4. “Changes in Ownership Breadth and Capital Market Anomalies” (with Yangru Wu), Journal of Portfolio Management, 2022, Volume 48, 185-198.
- 5. "The Causal Relationship between Social Media Sentiment and Stock Return: Experimental Evidence from an Online Message Forum" (with Xinjie Wang, Zhiqiang Xiang, and Peixuan Yuan), Economics Letters, Forthcoming.
- Selected working papers:
- 1. “Geopolitical Risk and Investment” (with Xinjie Wang and Yangru Wu), R&R.
- 2. “The Effect of Economic and Political Uncertainty on Sovereign CDS Spreads” (with Wei-Fong Pan, Xinjie Wang, Yaqin Xiao and Jinfan Zhang), R&R.
