PUBLICATIONS

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

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

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

“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.

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

“International Stock Return Comovement” (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.

WORKING PAPERS

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

“Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance” (with Haitao Li and Yuewu Xu)

“Investing In Talents: Manager Characteristics and Hedge Fund Performances” (with Haitao Li and Rui Zhao)