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Curriculum Vitae

Curriculum Vitae (pdf)


Google Scholar Citations

Academic Degrees

    Ph.D. in Finance, Washington University; Bachelor and Master in Math, Wuhan University.

Research interest

    Behavioral Finance, Empirical Asset Pricing, FinTech, Corporate Finance, Media and Asset markets, Big Data and Machine Learning, Textual Analysis, Financial Econometrics, International Finance

Working papers

"Joint News, Attention Spillover, and Market Returns Predictability" With Li Guo, Lin Peng and Yubo Tao, Revise & Resubmit @ Review of Financail Studies

"The Cryptocurrency Participation Puzzle" With Ran Duchin, David H. Soloman, and Xi Wang

"In Search of Cryptocurrency Failure" With Donglian Ma and Zhaobo Zhu

"Media Climate Change Concern and Stock Returns" With Liya Chu and Luying Wang

"Keynes Meets Merton: Examining Risk and Return Relation Based on Fundamentals" With Liya Chu and Wenyun Shi

"Sentiment, Limited Attention and Mispricing" With Xinrui Duan, Li Guo and Weikai Li

"Cross-Cryptocurrency Return Predictability" With Li Guo, Bo Sang, and Yu Wang

"Analyst Sentiment and Market Returns" With Qianqian Du, Dawei Liang, and Jiawen Yan

"Topic Tones of Analyst Reports and Stock Returns: A Deep Learning Approach" With Hitoshi Iwasaki, Ying Chen and Qianqian Du

"Investor Sentiment Measures Purged" With Liya Chu and Qianqian Du


"Investor Sentiment and Paradigm Shifts in Equity Premium Forecasting" With Liya Chu, Kai Li and Tony Xue-zhong He, Management Science, forthcoming.

"Robust Measures of Earnings Surprises" With Chin-Han Chiang, Wei Dai, Jianqing Fan and Harrison Hong, The Journal of Finance 74 (2), 2019, 943-983 .

"Investor Sentiment Aligned: A Powerful Predictor of Stock Returns" With Dashan Huang, Fuwei Jinag and Guofu Zhou, Review of Financial Studies 28 (3), 2015, 791-837.

"Forecasting the Equity Risk Premium: The Role of Technical Indicators” (with Christopher J. Neely, David E. Rapach and Guofu Zhou), Management Science 60(7), 2014, 1772-1791.

"Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies” (with Guofu Zhou),   Journal of Financial Economics 99, 2011, 204--215.

"Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty” (with Guofu Zhou),  08/2010, Journal of Financial and Quantitative Analysis, 45 (4), 959 - 986.

"Is Regime Switching in Stock Returns Important in Portfolio Decisions?”   07/2010,  56,   Management Science, 1198-1215.

"Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation” (with Yongmiao Hong and Guofu Zhou),   09/2007 , 20 , 5, Review of Financial Studies, 1547-1581.

"Data-Generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions?” (with Guofu Zhou),   2004 , 72 , Journal of Financial Economics, 385-421.

Additional studies related to Textual Analysis, Machine Learning and Media

"Media Connection and Return Comovement" (with Zilin Chen and Li Guo), August 2021, Journal of Economic Dynamics and Control, forthcoming.

"Industry Return Predictability: A Machine Learning Approach" With David Rapach, Jack Strauss and Guofu Zhou (Current Version: 2019). Journal of Financial Data Science 1 (3), 2019, 9--28.

"Textual analysis and machine leaning: Crack unstructured data in finance and accounting" (with Guo Li and Feng Shi), The Journal of Finance and Data Science , Volume 2, Issue 3, September 2016, Pages 153-170.

Some studies related to China markets and other special topics

"Concept Links and Return Momentum" (with Qianqian Du, Dawei Liang, and Zilin Chen), Journal of Banking and Finance, forthcoming.

"Oil price shocks and stock market anomalies" (with Zhaobo Zhu, Licheng Sun, and Qiang Ji), Financial Management, forthcoming.

"Momentum and Reversal: The Role of Short Selling" (with Zhaobo Zhu, Xinrui Duan, and Licheng Sun), Journal of Economic Dynamics and Control, 2019, Vol. 104, 95-110.

"International Volatility Risk and Chinese Stock Return Predictability" (with Jian Chen, Fuwei Jinag and Yangshu Liu), Journal of International Money and Finance, 2017, Vol. 70, issue C, 183-203.

"Asset Allocation in Chinese Stock Market: The Role of Return Predictability" (with Jian Chen and Fuwei Jinag), Journal of Portfolio Management, 41, 2014, 110–126.

"Can US Economic Variables Predict Chinese Stock Market?" (with Jeremy Goh, Fuwei Jiang, and Yuchen Wang),   Pacific-Basin Finance Journal 22, April 2013, 69--87.

"How Predictable Is the Chinese Stock Market? ” (with Jiang Fuwei, David Rapach, Jack Strauss and Guofu Zhou),   Journal of Financial Research 9, 2011, 107-121.

Other Working papers

"Forecasting Stock Returns in Good and Bad Times: The Role of Market States" With Dashan Huang, Fuwei Jinag and Guofu Zhou

"Cost Behavior and Stock Returns" With Dashan Huang, Fuwei Jinag and Guofu Zhou

"Forecasting Bond Risk Premia Using Technical Indicators" With Jeremy Goh, Fuwei Jiang, and Guofu Zhou

Useful Links

  1. Interview questions/answers
  2. An Option Pricer: European and implied volatility
  3. CNBC Financial News
  4. Yahoo Finance
  5. Portfolio Optimization
  6. Harvard cases
Last modified: November 1st, 2016