My research interest: empirical asset pricing and financial econometrics.

Please send me your comments, suggestions and criticisms by e-mail: pg297 [at]

Published and Forthcoming Papers

Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective (with Yasin Alan and Vishal Gaur) Management Science
Inventory management is critical for retailers. Operationally efficient retailers (with high inventory productivity) earn high abnormal returns.

Working Papers

Subjective Belief, Crash Perception, and Cross-Sectional Stock Return (with Zhaogang Song and Liyan Yang)
Investors form incorrect beliefs about stock market crash. Such biased beliefs have strong pricing implications on cross-sectional expected returns.

Rare Disaster Concerns Everywhere (with Zhaogang Song)
The ex ante perception of rare disasters on global financial markets drives asset returns both within and across asset classes.

Award Winner of the GARP Risk Management Research Program, 2013

The Chinese Finance Association (TCFA) Best Paper Award, 2014

Do Hedge Funds Exploit Rare Disaster Concerns? (with Paul Gao and Zhaogang Song) [Data]
We measure hedge fund skills on exploiting rare disaster concerns (SED). High SED funds strongly outperform low SED funds during both normal and stressful market times.

Award Winner of the Institute for Quantitative Investment Research (the Q Group) Research Program, 2013

The Sound of Silence: What Do We Know When Insiders Do Not Trade? (with Qingzhong Ma)
Insider silence, a frequent phenomenon in corporate insider trading, has strong information content for future stock performance.

Institutional Ownership and Return Predictability Across Economically Unrelated Stocks (with Pam Moulton and David Ng) [Internet Appendix]
Institutional portfolio reallocations can induce strong weekly return predictability among otherwise unrelated stocks (e.g., a copper wire firm and a funeral service firm).

Pre-Earnings Announcement Drift (with Peter Easton and Paul Gao)
A predictable drift in stock prices before the earnings announcements of firms that announce their earnings later than other firms in their industry.

Working in Progress

Macro News, Micro News, and Institutional Investors (with Paul Gao, Dongxin Li, and Yongxiang Wang)

Securities Transaction Tax, Trading Behavior, and Market Quality (with Paul Gao and Yonxiang Wang)

PhD Dissertation at Chicago Booth

ProQuest/UMI Dissertations and Theses

Chapter 1: Firm Characteristics, Covariance, and Portfolio Optimization
The (abnormal) return covariance pattern of S&P 500 stocks is explicitly linked to firm characteristics.

Chapter 2: Characteristic-Based Covariances and Cross-Sectional Expected Returns
I propose a characteristic-based covariance model that directly links the predetermined firm characteristics to time-varying covariance risk.

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