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Research

Working Papers:

Factors that Fit the Time-Series and Cross-Section of Stock Returns (with M. Lettau) 
Review of Financial Studies, Submitted

Estimating Latent Asset-Pricing Factors (with M. Lettau 2018) 
Journal of Econometrics, R&R

Change-Point Testing and Estimation for Risk Measures in Time Series (with L. Fan and P. Glynn) 

Interpretable Sparse Proximate Factors for Large Dimensions (with R. Xiong) 
Journal of Econometrics, Submitted

State-Varying Factor Models of Large Dimensions (with R. Xiong)
Journal of Econometrics, R&R

On the Existence of Sure Profits via Flash Strategies  (with C. Fontana and E. Platen) 
Journal of Applied Probability, Submitted

Understanding Systematic Risk: A High-Frequency Approach
Supplementary Appendix
Journal of Finance, R&R

How Relative Compensation can lead to Herding Behavior (with A.Chen) 

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

Publications:

Large-Dimensional Factor Modeling Based on High-Frequency Observations
Supplementary Appendix
Journal of Econometrics, forthcoming 2018

Contingent Capital, Tail Risk, and Debt-Induced Collapse (with N. Chen, P. Glasserman and B. Nouri) 
Supplementary Appendix
Review of Financial Studies, 2017, 30 (11), 3921-3969

Optimal Stock Option Schemes for Managers (with A. Chen) 
Review of Managerial Science, 2014, 8(4), 437-464

New Performance-Vested Stock Option Schemes (with A. Chen and K. Sandmann) 
Applied Financial Economics, 2013, 23(8), 709-727

Work in Progress:

Deep Learning in Asset Pricing (with L. Chen and J. Zhu)

Asset Pricing for a Large Number of Assets (with L. Chen)

Estimating Treasury Dynamcis using Deep-Learning (with D. Filipovic, K. Giesecke and Y. Ye)

Estimating Time-Varying Asset Pricing Factors with Trees (with Z. Lin and J. Zhu)

The Forest Through the Trees: Decision Trees in Asset Pricing (with S. Bryzgalova and J. Zhu)

The Efficiency of the U.S. Housing Market (with K. Giesecke, M. Ohlrogge and B. Ramos)

Machine Learning Estimators for Corporate Default Probabilities (with K. Giesecke and X. Li)