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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, Journal of 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)

China/Japan Research

  • 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)
  • 2006, 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.