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Recent Publications and Working Papers
Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns, with G. X. Hu, J. Pan and H. X. Zhu, 2020.
The Dark Side of Circuit Breakers, with H. Chen and A. Petukhov, 2019.
Chinese Capital Market: An Empirical Overview, with G. X. Hu and J. Pan, Critical Finance Review, forthcoming.
Trading and Information in Futures Markets,
with G. Llorente, Journal of Futures Markets 40: 1231-1263, 2020.
Tri-Party Repo Pricing,
with G. X. Hu and J. Pan, Journal of Financial and Quantitative Analysis, 1-35, 2019.
Dynamic Portfolio Execution, with G. Tsoukalas and K. Giesecke, Management Science 65, 1949-2443, 2019.