Momentum profits, factor pricing, and macroeconomic risk(with Lu Zhang, supersedes "Momentum profits and macroeconomic risk" and "Economic fundamentals, risk, and momentum profits"), 2008, Review of Financial Studies, 21 (6), 2417-2448.
Chen, Roll and Ross 5 factors[Read Me File] (Updated September, 2019)
Momentum return(sort by past 6 months return, skip one month and hold for 6 month)
Historical market-to-book in a partial-adjustment model of leverage(supersedes "Do firms have target leverage ratios? Evidence from historical market-to-book and past returns"), 2009, Journal of Corporate Finance, 15 (5), 602-612.
Best Corporate Finance Paper Award at the Western Finance Association Annual Meeting, 2005
Best PhD Paper Award at the Southwestern Finance Association Annual Meeting, 2005
Investment-based expected stock returns(with Toni Whited and Lu Zhang), 2009,Journal of Political Economy, 117 (6), 1105-1139
Securitization and capital structure in nonfinancial firms: An empirical investigation(with Mike Lemmon, Mike Qinghao Mao and Greg Nini), August 2014,Journal of Finance, Vol. LXIX, No. 4, 1787-1825
The long run role of the media: Evidence from Initial Public Offerings(with Ann E. Sherman and Yong Zhang), August 2014,Management Science, Vol. 60, Issue 8, 1945-1964.
A neoclassical interpretation of momentum(with Lu Zhang), 2014,Journal of Monetary Economics, 67, 109-128
The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in China(with Haibing Shu and John Wei), 2017,Journal of Financial Economics, 125, 286-310.
Best Paper Award at the Asian FA Meeting, 2015
The Speculation Channel and Crowding Out Channel: Real Estate Shocks and Corporate Investment in China(with Ting Chen, Wei Xiong and Li-An Zhou), working paper, Guanghua, PKU
Trading Restriction as a Channel of Financial Contagion—Evidence from China’s Stock Market(with Jiejie Xu and Ninghua Zhong), working paper, Guanghua, PKU
Investment-q sensitivity: Evidence from structure estimation (with Erica Xuenan Li and Chen Xue), under revision, presented at AEA 2013
Cost structure and capital structure - A test of the stakeholder theory of capital structure(with Qianqian Du and Rui Shen), working paper, Guanghua, PKU
Pre-IPO private equity investors and their impact on the IPO process under China's compliance system(with Yao Li and Ziwei Zhang), working paper, Guanghua, PKU
An Attention Model of IPO Underpricing, With Evidence on Media Coverage (with Ruichang Lu, Ann E. Sherman and Yong Zhang), under revision, presented at CICF 2014
Capital structure decisions for asset-backed securitization (with Mike Qinghao Mao and Greg Nini)
Why is capital structure persistent? Evidence from structural estimation (with Erica Xuenan Li)