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.

            Dynamic-agency-based asset pricing theory that generates endogenously uninsurable risks in general equilibrium. Last update: February, 2017.

• Financial intermediation and capital reallocation, with Kai Li and Fang Yang.

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

• Firm dynamics under limited commitment, with Dana Kiku and Rui Li.

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

• Quantifying the impact of 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 collatateralizability premium, with Kai Li, Jun Li, and Christian Schlag.

            Asset pricing implications of financial market frictions.

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

• Risk preferences and the macro announcement premium, with Ravi Bansal, forthcoming, 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.