Research by topic (Link to google scholar)

Active working papers

           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.             Dynamic-agency-based asset pricing theory that generates endogenously uninsurable risks in general equilibrium. Last update: August, 2018.​             A quantitative dynamic moral hazard model that accounts for the cross-sectional and time-series properties of CEO pay and firm investment.                Stocks that are more sensitive to monetary policy announcements require a higher risk compensation.                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. ​             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

            A model in which financial intermediation frictions affect business cycle and asset pricing through capital reallocation.             A limited commitment model generates power laws in firms size and CEO pay.             Asset pricing implications of financial market frictions. Online appendix            Download supplementary material