Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital, with Mariano Croce and Kai Li, 2013, Review of Financial Studies, 26 (2), 491-530.

Options are less risky in a neoclassical production economy with long-run risks. We study the dynamics of macroeconomic quantities and asset prices in general equilibrium production economy. We model intangible capital as growth options.

Growth to Value: Option Exercise and the Cross-Section of Equity Returns, with Dana Kiku, Journal of Financial Economics, 2013, Vol. 107, Issue 2, 325-349.

Growth options are exchange options. They are less risky because the cost of option exercise is pro-cyclical. A general equilibrium model with long-run risks and heterogenous firms.

Volatility Risks and Growth Options, with Dana Kiku, Management Science, 2016, vol. 62, No. 3, 741-763.

We propose a volatility-based measure of growth options and we show that growth-option intensive firms on average earn a lower return.

News shocks and production-based term structure of equity returns, with Max Croce, Anthony Diercks, and Kai Li, Review of Financial Studies, Volume 31, Issue 7, July 2018, Pages 2423–2467. Review of Financial Studies

A production economy with long-run risks and learning that generates a time-varying slope of the term structure of equity returns.

The collatateralizability premium, with Kai Li, Jun Li, and Christian Schlag, Review of Financial Studies, Volume 33, Issue 12, December 2020, Pages 5821–5855. 

Collateral capital hedges against macroeconomic risk and makes firms less risky.

The cross-section of monetary policy announcement premium, with Leyla Jianyu Han, Xuhui Pan, and Lai Xu, Journal of Financial Economics, 2022, Volume 143, Issue 1, 247-276.

 Stocks that are more sensitive to monetary policy announcements require a higher risk compensation.

Equilibrium profitability and value premium, with Jun E Li and Jincheng Tong. Slides

A production-based GE model that jointly explain the value and the profitability puzzles.