Research

SELECTED PUBLICATIONS in REFERRED JOURNALS

Liquidity Risk and Mutual Fund Performance,”  with X. Dong and R. Sadka, 2017,  forthcoming at Management Science
– On the AEA 2012 program

Sentiment and the Performance of Technical Indicators,” with N. Wang and E. J. Zychowicz, 2017 Spring, Journal of Portfolio Management, Vol. 43, No. 3: pp. 112-125.

The Relationship between the Option-implied Volatility Smile, Stock Returns and Heterogeneous Beliefs,” with G. C. Friesen and Y. Zhang, 2015, International Review of Financial Analysis 41: 62-73.

Dynamic Autocorrelation of Intraday Stock Returns,” with X. Dong, L. Ling  and P. Song, 2016, Finance Research Letters, available online 25 October 2016.

The Real Option Approach to Adoption and Discontinuation of Management Accounting Innovation: The Case of Activity based Costing,” with C. Ho, 2016, Review of Quantitative Finance and Accounting, 47: 835-856.

Investment Uncertainty Analysis for Smart Grid Adoption: A Real Option Approach,” with J. Zhang and Y. Gao, 2016,  Information Polity, 21(3): 237-253.

 

SELECTED WORKING PAPERS

Corporate Social Responsibility Exposure and Performance of Mutual Funds,” 2016, with Xi Dong (Baruch College), Sitikantha Parida (Clark University), and Zhihong Wang (Clark University) PDF

An Empirical Examination of the Relation between the Option-implied Volatility Smile and Heterogeneous Beliefs,” 2017, with Xiaoling Pu (Kent State), and Yi Zhang (PVAMU)

-R&R

Valuing Stock Liquidity: Theory and Evidence from the Collapse of Lehman Brothers,” 2016, with Lining Han (University of Hawaii), Chun-Yu Ho (SUNY Albany, Shanghai Jiao Tong University)

Political Stability and Credibility of Currency Board,” 2016, with Chun-Yu Ho (SUNY Albany, Shanghai Jiao Tong University) and Wai-Yip Alex Ho (IMF)

Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence,” 2014, with Xi Dong (Baruch College)
– On the INFORMS 2006 program

 

REFEREED CONFERENCES AND PRESENTATIONS
“Liquidity Risk and Mutual Fund Performance”
● Defined Contribution Institutional Investment Association (DCIIA) Academic Forum, Boston, 2013
● Fidelity Investments, 2013
● Acadian Asset Management, 2013
● 1st Asset Management Summit, Luxembourg, 2012
American Economic Association (AEA) Annual Meetings, Chicago, January 2012
● 2011 Inquire Europe, Luxembourg, October 2011
● 5th Conference on Professional Asset Management, Rotterdam School of Management, Erasmus University, May 2011
● 4th Financial Risks International Forum, Paris, March 2011

“Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence”
● 10th China International Conference in Finance, July 2010
● World Finance Conference, Portugal, May 2010 (accepted)
● Southern Finance Association Annual Meetings, Florida, November 2009
● Financial Management Association Annual Meeting, Reno, October 2009
● Northern Finance Association Annual Meetings, Ontario, Canada, September 2009
● International Symposium on Risk Management and Derivatives, Xiamen, China, July 2009
● Eastern Finance Association Annual Meetings, Washington D.C., April 2009
● Midwest Finance Association Annual Meetings, Chicago, March 2009
● Financial Management Association (FMA) Doctoral Consortium, Dallas, October 2008
Institute for Operations Research and the Management Sciences (INFORMS) 2007

“The Real Option Approach to Adoption and Discontinuation of Management Accounting Innovation: The Case of Activity based Costing”
● Fifth Annual Meeting of Western Decision Science Institute 2006
● 10th Annual International Conference on Real Options by Real Options Group and Columbia Business School, New York 2006

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