PUBLICATIONS

“Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance” (with Haitao Li and Yuewu Xu), Forthcoming at Journal of Financial Economics.

“International Stock Return Comovements” (with Geert Bekaert and Robert Hodrick), Forthcoming at Journal of Finance.

“What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?” (with Yuhang Xing and Rui Zhao), Forthcoming at Journal of Financial and Quantitative Analysis.

“Investing In Talents: Manager Characteristics and Hedge Fund Performances” (with Haitao Li and Rui Zhao), Accepted at Journal of Financial and Quantitative

Analysis.

“High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Financial Economics, 2009, 91, 1-23.

“Which Shorts Are Informed?” (with Ekkehart Boehmer and Charles Jones), Journal of Finance, lead article, 2008, 63, 491-527. This paper won BSI Gamma Foundation Award.

“The Cross-Section of Volatility and Expected Returns” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Finance, 2006, 61, 259-299.

“Specification Tests of International Asset Pricing Models”, Journal of International Money and Finance, 2006, 25, 275-307.

“Evaluating the Specification Errors of Asset Pricing Models” (with Robert Hodrick), Journal of Financial Economics, 2001, 62, 327-376.

WORKING PAPERS

“Shackling Short Sellers: The 2008 Shorting Ban” (with Ekkehart Boehmer and Charles Jones)

This paper won Best Paper Award at16th Mitsui Finance Symposium, University of Michigan

“Is There a Trend in Idiosyncratic Volatility?” (with Geert Bekaert and Robert Hodrick)

“Unshackling Short Sellers: The Repeal Of The Uptick Rule” (with Ekkehart Boehmer and Charles Jones)

“Bayesian Inference of HJ Measures of Pricing Errors and Applications” (with Zhenyu Wang)

“Hedge Fund Performance Evaluations: A Stochastic Discount Factor Approach” (with Warren Bailey and Haitao Li)