Research by topic (Link to google scholar)

• Preferences, information, and asset pricing
• Quantitative dynamic agency
• General equilibrium models of cross-section of expected returns
• Financial market frictions

Active working papers

• Asset pricing with endogenously uninsurable tail risks, with Anmol Bhandari, R&R, Econometrica.

            Dynamic-agency-based asset pricing theory that generates endogenously uninsurable risks in general equilibrium. Last update: August, 2018.​

• A Quantitative model of dynamic moral hazard, with Dana Kiku and Rui Li.

            A quantitative dynamic moral hazard model that accounts for the cross-sectional and time-series properties of CEO pay and firm investment.

• The cross-section of monetary policy announcement premium, with Jianyu Leyla Han, Xuhui Pan, and Lai Xu.

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

• Identifying preference for early resolution from asset market data, with Ravi Bansal, Hongye Guo, and Amir Yaron.

               A revealed preference theory for preference for early resolution of uncertainty and empirical evidence.

• The macroeconomics of announcement premium, with Ravi Bansal, Jay Im, and Chao Ying.

            A production-based model that matches the response to macroeconomic quantites and asset prices to macroeconomic announcements.

• Capital misallocation and risk sharing, with Anmol Bhandari, Yuchen Chen, and Chao Ying.

​             Persistence of productivity leads to more capital misallocation in complete markets.

Work in progress

• A theory of capital structure and endogenous bankcruptcy, with Barney Hartmand Glaser and Rui Li.
• Moral hazard and investment-cash flow sensitivity, with Kai Li and Rui Li.
  

Published and forthcoming papers

• Financial intermediation and capital reallocation, with Kai Li and Fang Yang, conditional acceptance, Journal of Financial Economics.
  

            A model in which financial intermediation frictions affect business cycle and asset pricing through capital reallocation.

• A unified model of firm dynamics with limited commitment and assortative matching, with Dana Kiku, Rui Li, and Jincheng Tong, forthcoming, Journal of Finance.

            A limited commitment model generates power laws in firms size and CEO pay.

• The collatateralizability premium, with Kai Li, Jun Li, and Christian Schlag, conditional acceptance, Review of Financial Studies

            Asset pricing implications of financial market frictions.

• Risk preferences and the macro announcement premium, with Ravi Bansal, Econometrica. Download supplementary material
• A tractable model of limited enforcement and the life-cycle dynamics of firms, with Rui Li, Economic Letters, forthcoming. Online appendix.
• News shocks and production-based term structure of equity returns, with Max Croce, Anthony Diercks, and Kai Li, forthcoming, Review of Financial Studies.
• Investment and CEO Compensation under Limited Commitment, with Rui Li, Journal of Financial Economics, 2015, vol. 116, issue 3, 452-472.
• Volatility Risks and Growth Options, with Dana Kiku, Management Science, 2016, vol. 62, No. 3, 741-763.
• 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.
• 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.
• Information Quality and Long-run Risk: Asset Pricing Implications, Journal of Finance, 2010, vol. 65, Issue 4, 1333-1367.