Academic Proflies:
Selected Publications：
1. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns" (ssrn-pdf) (data: PLS investor sentiment index up to 2023)
Review of Financial Studies 28(3), 2015, 791-837, with Dashan Huang, Jun Tu, and Guofu Zhou
2. "Manager Sentiment and Stock Returns" (ssrn-pdf) (data: manager sentiment index up to 2017)
Journal of Financial Economics 132(1), 2019, 126-149, with Joshua Lee, Xiumin Martin, and Guofu Zhou
3. "Scaled PCA: A New Approach to Dimension Reduction" (ssrn-pdf) (matlab code)
Management Science 68(3), 2022, 1678-1695, with Dashan Huang, Kunpeng Li, Guoshi Tong, and Guofu Zhou
4. "Are Bond Returns Predictable with Real-Time Macro Data?" (ssrn-pdf)
Journal of Econometrics 2023, with Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou
5. "Forecasting Inflation Using Economic Narratives" (ssrn-pdf)
Journal of Business & Economic Statistics 2024, with Yongmiao Hong, Lingchao Meng, Bowen Xue
6. "Fundamental Characteristics, Machine Learning and Stock Price Crash Risk" (ssrn-pdf)
Journal of Financial Markets 2024, with Tian Ma, Feifei Zhu
7. "Certainty of Uncertainty for Asset Pricing" (ssrn-pdf)
Journal of Empirical Finance 2024, with Jie Kang, Lingchao Meng
8. "Factor Momentum in the Chinese Stock Market" (ssrn-pdf)
Journal of Empirical Finance 75(1), 2024, with Tian Ma, Cunfei Liao
9. "Q-theory, Mispricing, and Profitability Premium: Evidence from China" (ssrn-pdf)
Journal of Banking and Finance 87 (2), 2018, 135-149, with Xinlin Qi, Guohao Tang
10. "Global Mispricing Matters"
Journal of International Money and Finance forthcoming, 2024, with Hongkui Liu, Guohao Tang, Jiasheng Yu
11. "What Difference Do New Factor Models Make in Portfolio Allocation?"
Journal of International Money and Finance 140(2), 2024, with Frank J. Fabozzi, Dashan Huang, Jiexun Wang
12. "International Volatility Risk and Chinese Stock Return Predictability"
Journal of International Money and Finance 70, 2017, 183–203, with Jian Chen, Yangshu Liu, Jun Tu
13. "The World Predictive Power of U.S. Equity Market Skewness Risk"
Journal of International Money and Finance 96(9), 2019, 210-227, with Jian Chen, Shuyu Xue, and Jiaquan Yao
14. "Better to Hear All Parties: Understanding the Impact of Homophily in Online Financial Discussion"
Electronic Commerce Research and Applications 54(4), 2022, 1-18, with Yong Shi, Yuan An, Xiumei Zhu
15. "Forecasting Stock Returns with Model Uncertainty and Parameter Instability"
Journal of Applied Econometrics 35(5), 2020, 629-644, with Hongwei Zhang, Qiang He, Ben Jacobsen
16. "Firm Characteristics and Chinese Stocks" (ssrn-pdf)
Journal of Management Science and Engineering 3(4), 2018, 259-283, with Guohao Tang, Guofu Zhou (《管理科学学报(英文版)》)
Publications in Chinese：
1. “参照点效应、公司治理与上市公司财务重述”
《经济研究》2023年第58卷第10期191-208页，with丁慧、靳馥境
2. “大语言模型、文本情绪与金融市场——兼论“人工智能+金融”的逻辑”
《管理世界》2024年第8期, with 刘雨旻、孟令超
3. “机构投资与金融稳定--基于A股ETF套利交易的视角”
《管理世界》2022年第38卷第4期29-41页, with 宁炜、薛浩
4. “深度学习与中国股票市场因子投资—基于生成式对抗网络方法”
《经济学季刊》2022年第22卷第3期819-842页, with 马甜，唐国豪
5. “媒体文本情绪与股票回报预测”
《经济学季刊》2021年第21卷第4期1323-1344页, with 孟令超，唐国豪
6. “优胜劣汰还是逆向选择——基于上市公司质量与股价表现关联的研究”
《管理科学学报》2022年, with 靳馥境, 唐国豪
7. “高风险低收益？基于机器学习的动态CAPM模型解释”
《管理科学学报》2021年第1期109-126页, with 马甜，张宏伟
8. “去刚兑背景下的企业债券违约风险：机器学习预警和经济机制探究”
《金融研究》2023年第10期, with 林奕皓，马甜
9. “央行货币政策报告文本信息、宏观经济与股票市场”
《金融研究》2021年第6期95-115页, with 胡逸驰，黄楠
10. “美联储货币政策对我国资产价格的影响”
《金融研究》2019年第5期37–55页, with 郭鹏，郭豫媚
11. “中国股票市场可预测性的实证研究”
《金融研究》2011年第9期107–121页（《金融研究》优秀论文奖）
12. “金融稳定沟通与银行系统性风险”
《世界经济》2024已接受，with 李梦如，孟令超
13. “大数据提升了多因子模型定价能力吗？——基于机器学习方法对我国A股市场的探究”
《系统工程理论与实践》2022年第8期2037-2048页, with 薛浩, 周明