Working Papers
Financially Constrained Intermediaries and the International Pass-Through of Monetary Policy (with Mengbo Zhang)
(Job Market Paper)
Job talk: UPenn Econ/Wharton Finance, LSE Finance, HKUST Finance/Econ, SAIF
Seminar: SUFE, RUC, JNU, WHU, NJU, FDU, CUHK-SZ, UCLA Econ Brownbag
Conference: 9th HK Joint Conference, Fall 2023 Midwest Macro, 2023 CAFM, 2024 MFA, 2024 EasternFA, 2024 FIRS, 8th International Macroeconomics & Finance Conference, 2024 CICM, Inaugural Conference of International Finance Society, 2025 WFA, 2025 World Congress of Econometric Society, 2025 PHBS-CUHK SZ Joint Workshop
(Job Market Paper)
Job talk: UPenn Econ/Wharton Finance, LSE Finance, HKUST Finance/Econ, SAIF
Seminar: SUFE, RUC, JNU, WHU, NJU, FDU, CUHK-SZ, UCLA Econ Brownbag
Conference: 9th HK Joint Conference, Fall 2023 Midwest Macro, 2023 CAFM, 2024 MFA, 2024 EasternFA, 2024 FIRS, 8th International Macroeconomics & Finance Conference, 2024 CICM, Inaugural Conference of International Finance Society, 2025 WFA, 2025 World Congress of Econometric Society, 2025 PHBS-CUHK SZ Joint Workshop
Asset Returns and Macro Risks in the Long-Run: A Low-Frequency Econometrics Analysis
Seminar: UPenn Econ
Seminar: UPenn Econ
Following the Fed: Limits of Arbitrage and the Dollar (with Nikolai Roussanov)
Conference: NBER SI 2023 IAP, 2024 WFA, 2025 AFA, 2025 FIRS, 2025 CICF
Seminar: HKUST Finance, UPenn Wharton Finance
Conference: NBER SI 2023 IAP, 2024 WFA, 2025 AFA, 2025 FIRS, 2025 CICF
Seminar: HKUST Finance, UPenn Wharton Finance
Semiparametric Conditional Factor Models in Asset Pricing (with Qihui Chen and Nikolai Roussanov) Revision Requested
Previously titled as: Semiparametric Conditional Factor Models: Estimation and Inference
Conference: 2021 YEAP, 2022 SFS Cavalcade NA, 2022 WFA, 2022 CICF, 2023 AFA, Spring 2023 Rochester Conference in Econometrics, 2024 HKUST IAS-SBM Financial Econometrics conference, 2024 meeting of Greater Bay Econometrics Study Group, 2025 World Congress of Econometric Society, 2025 Annual Conference on Capital Market Research in the Era of AI, 2025 SFS Cavalcade AP
Seminar: University of Lausanne SFI, UPenn Econ/Wharton Finance, NTU, UC Riverside, PKU, CityU HK
Previously titled as: Semiparametric Conditional Factor Models: Estimation and Inference
Conference: 2021 YEAP, 2022 SFS Cavalcade NA, 2022 WFA, 2022 CICF, 2023 AFA, Spring 2023 Rochester Conference in Econometrics, 2024 HKUST IAS-SBM Financial Econometrics conference, 2024 meeting of Greater Bay Econometrics Study Group, 2025 World Congress of Econometric Society, 2025 Annual Conference on Capital Market Research in the Era of AI, 2025 SFS Cavalcade AP
Seminar: University of Lausanne SFI, UPenn Econ/Wharton Finance, NTU, UC Riverside, PKU, CityU HK
Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux (with Zhongtian Chen, Nikolai Roussanov and Dongchen Zou)
Award: 2024 Best Paper for Jacobs Levy Center Research Papers at Wharton Finance
Seminar: UPenn Wharton Finance (twice), Chicago Booth Finance, USC Marshall Finance, SUFE Finance, Copenhagen Business School finance, LBS Finance, Columbia GSB Finance, Vienna Graduate School of Finance
Conference: 2024 SFS Cavalcade NA, 2024 Bocconi AP conference, 2024 BI_SHoF conference, 2024 CICF, 2025 WFA, 2025 Yale SoFiE Financial Machine Learning Conference, 2025 EFA, 2025 Melbourne Asset Pricing Meeting (Nick's Keynote), 2025 SFS Cavalcade AP, 2026 AFA
Media Coverage: Knowledge@Wharton
Award: 2024 Best Paper for Jacobs Levy Center Research Papers at Wharton Finance
Seminar: UPenn Wharton Finance (twice), Chicago Booth Finance, USC Marshall Finance, SUFE Finance, Copenhagen Business School finance, LBS Finance, Columbia GSB Finance, Vienna Graduate School of Finance
Conference: 2024 SFS Cavalcade NA, 2024 Bocconi AP conference, 2024 BI_SHoF conference, 2024 CICF, 2025 WFA, 2025 Yale SoFiE Financial Machine Learning Conference, 2025 EFA, 2025 Melbourne Asset Pricing Meeting (Nick's Keynote), 2025 SFS Cavalcade AP, 2026 AFA
Media Coverage: Knowledge@Wharton
Publication
Instrumental variable estimation of a spatial dynamic panel model with endogenous spatial weights when T is small (with Xi Qu and Lung-fee Lee), The Econometrics Journal, Volume 19, Issue 3, 1 October 2016, Pages 261–290.
