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

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

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

• Equilibrium profitability and value premium, with Jun E Li and Jincheng Tong, R&R. Journal of Finance.

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

• Information Acquisition and the Pre-Announcement Drift, with Ravi Bansal and Leyla Han.

            A dynamic noisy rational expectations equilibrium model explains the pre-FOMC announcement drift.

• Information-driven volatility, with Lai Xu and Leyla Jianyu Han.

            An information-based model of stochastic volatility that explains several volatility-related puzzles.

• A comment on Announcement risk premium reconsidered, with Ravi Bansal

           Comments on a recent paper by Toomas Laarits, titled ``Announcement Risk Premium Reconsidered'' which mistakenly claims that              a result from Ai and Bansal (2018) contains an error.​​

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

• A Quantitative Model of Dynamic Moral Hazard, with Dana Kiku, and Rui Li, Review of Financial Studies, 2023, Volume 36, Issue 4, 1408-1463.
• 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. 
• Asset pricing with endogenously uninsurable tail risk, with Anmol Bhandari, Econometrica, 2021, Volume 89, Issue 3, 1471-1505.
• A unified model of firm dynamics with limited commitment and assortative matching, with Dana Kiku, Rui Li, and Jincheng Tong,  Journal of Finance, Volume76, Issue1, February 2021, Pages 317-356. Online appendix.​
• Financial intermediation and capital reallocation, with Kai Li and Fang Yang, Volume 138, Issue 3, December 2020, Pages 663-686, Journal of Financial Economics. Online appendix.
• The collatateralizability premium, with Kai Li, Jun Li, and Christian Schlag, Review of Financial Studies, Volume 33, Issue 12, December 2020, Pages 5821–5855. Online appendix.
• Risk preferences and the macro announcement premium, with Ravi Bansal, Econometrica​, Volume86, Issue4, 
  July 2018, Pages 1383-1430. Download supplementary material
• A tractable model of limited enforcement and the life-cycle dynamics of firms, with Rui Li, Economic Letters, Volume 163, February 2018, Pages 136-140. Online appendix.
• 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.
• 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.​

Published book chapter

• The Trade-off Theory of Corporate Capital Structure with Murray Frank and Ali Sanati, Oxford Research Encyclopedia of Economics and Finance, 2021.