Asset Pricing Research
- 2012, Diagnosing affine models of options pricing: evidence from VIX,
Journal of Financial Economics, forthcoming. (with G. Li)
- 2011, Why are derivative warrants more expensive than options? an empirical study,
Financial and Quantitative Analysis, 46, 275-297. (with G. Li)
- 2010, On the number of state variables
in options pricing, Management Science, 55, 2058-2075. (with G. Li)
- 2010, A re-examination of
the causes of time-varying stock return volatilities, Journal
of Financial and Quantitative Analysis, 45, 663-684.
- 2009, Testing the APT with the maximum Sharpe ratio of extracted factors, Management Science, 55, 1255-1266.
- 2009, On the explanatory power of firm-specific variables in cross-sections of expected returns, Journal of Empirical Finance, 16, 306-317.
- 2006, Why did individual stocks become more volatile?, Journal of Business, 79, 259-292, (with S.X. Wei)
- 2005, Idiosyncratic risk does not matter: A re-examination of the relationship between average
returns and average volatilities, Journal of Banking and
Finance, 29, 603-621. (with S.Wei)
- 2003, Statistical and economic significance of stock return predictability: A mean-variance
analysis, Journal of Multinational Financial Management, 13,
443-463. (with S. Wei)
- 1999, Asset pricing
specification errors and performance evaluation, European
Finance Review, 3, 205-232. (with J. He and L. Ng)
- 1999, GMM tests of stochastic discount factor models with useless factors, Journal of Financial Economics, 54, 103-127. (with R. Kan)
- 1999, Two-pass tests of asset pricing models with useless factors, Journal of Finance, 54, 203-235. (with R. Kan)
- 1999, Market reactions
to the Financial Post's "Hot Stock" column, Canadian
Journal of Administrative Science, 16, 118-131.(with V. Merhotra and W.Yu)
- 1996, Tests of relations among marketwide factors, firm-specific variables and stock returns using a conditional asset pricing model, Journal of Finance, 51, 1891-1908. (with J. He, R. Kan and L. Ng)
- 2012, Why are excess returns on China’s treasury bonds so predictable?
The role of the monetary system, Journal of Banking and Finance, 36,
239-248. (with Fan, L., Tian, S.)
- 2011, An empirical evaluation of China’s monetary policies, Journal of Macroeconomics, forthcoming. (with L. Fan and Y.Yu)
- 2009, Bankruptcy prediction: the case of Japanese listed companies, Review of Accounting Studies, 534-558. (with M. Xu)
- 2007, Beyond segmentation: The case of China's repo markets, Journal of Banking and
Finance, 31, 939-954. (with L.Fan)
The Chinese interbank repo market: an analysis of term premiums, Journal of Futures Markets, 26, 153-167. (with L. Fan)
- 2004, The explanatory power of R&D
for the cross-section of stock returns: Japan 1985-2000, Pacific-Basin Finance Journal, 12, 245-269. (with M. Xu)
- 1993, Investment under risk in
property rights, China Economic Review, 4, 49-53.