1. Fundamental Analysis and the Cross-section of Stock Returns: A Data-mining Approach, with Sterling Yan, Review of Financial Studies, Volume 30, Issue 4, (2017), 1382–1423
2. Shorting Flows, Public Disclosure, and Market Efficiency, with Xue Wang and Sterling Yan, Journal of Financial Economics, Volume 135, Issue 1, (2020), 191-212
3. Financial Industry Affiliation and Hedge Fund Performance, with Sterling Yan, Management Science, 2021 67:12, 7844-7865
4. Should Mutual Fund Investors Time Volatility?, with Feifei Wang and Sterling Yan, Financial Analysts Journal, 2021 77:1, 30-42,
5. Time-Series and Cross-Sectional Momentum in Anomaly Returns, with Feifei Wang and Sterling Yan, European Financial Management, 2021 27: 736– 771.
6. Do Sophisticated Investors Follow Fundamental Analysis Strategies? Evidence from Hedge Funds and Mutual Funds, with Feifei Wang and Sterling Yan, Review of Accounting Studies, 2023: 1-50.
7. Do Fund Managers Time Momentum? Evidence from Mutual Fund and Hedge Fund Returns, with Feifei Wang, European Financial Management, 2024, 30(1): 55-91
8. The Price Effect of Temporary Short-selling Bans: Theory and Evidence, with Haoshu Tian and Sterling Yan, Journal of Financial Markets, 2024, Volume 69.
9. Institutional Trading, News, and Accounting Anomalies, with Feifei Wang and Sterling Yan, Journal of Accounting and Economics, 2024, 78(1): 101686.
10. Arbitrage Asymmetry, Mispricing, and the Illiquidity Premium, with Feifei Wang, European Financial Management, 2023, 1-39.
11. Machine Learning from a “Universe” of Signals: The Role of Feature Engineering, with Bin Li, Alberto Rossi, and Sterling Yan（forthcoming in the Journal of Financial Economics)
download the paper at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5248179
1. Risk-taking Choice in Hedge Fund Tournaments, with Lei Ding and Filippos Papakonstantinou
2. Macroeconomic Risk, Expected Market Return, and the Cross-Section of Stock Returns: A Data-mining Perspective, with Sterling Yan