Selected Publications

2025

• Growing the Efficient Frontier on Panel Trees
  (Lin William Cong, Guanhao Feng, Jingyu He, and Xin He.) Journal of Financial Economics, 2025, 167, 104024.
• The Gender Effects of COVID: Evidence from Equity Analysts
  (Weikai Li, and Baolian Wang) Review of Accounting Studies, 2025, Volume 30, pp. 1683–1715.
• Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?
  (Tinghua Duan, Weikai Li, and Quan Wen) Journal of Financial and Quantitative Analysis, 2025, 60(1): 1-35.
• Accounting Standards and Antidumping Investigations
  (Teng Sun, Shang-Jin Wei, and Jin Xie) Journal of Accounting and Economics, 2025.
• Institutional Granular Impact is Benign on Asset Sales and Price Efficiency
  (Yinghua Fan, Guanhao Feng, Xiao Qiao, and Sayad Baronyan), Journal of Financial Markets, 2025, Vol.75, 100987.
• Can news predict firm bankruptcy?
  (Siyu Bie, Guanhao Feng, Naixin Guo, and Jingyu He) Journal of Financial Markets, 2025, 101002.
• Gaining a Seat at the Table: Enhancing the Attractiveness of Online Lending for Institutional Investors
  (Ram Gopal, Xiao Qiao, Moris Strub, and Zonghao Yang) Information Systems Research, 2025, 36.1, 326-343.
  

2024

• Regularized GMM for Time-Varying Models with Applications to Asset Pricing
  (Liyuan Cui, Guanhao Feng, and Yongmiao Hong) International Economic Review, 2024, 65 (2), 851-883.
• A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data
  (Liyuan Cui, Yongmiao Hong, Yingxing Li, and Junhui Wang) Management Science, 2024, Vol. 70, No. 10, pp. 7242–7264.
• Deep Learning in Characteristics-Sorted Factor Models
  (Guanhao Feng, Jingyu He, Nicholas G. Polson, and Jianeng Xu) Journal of Financial and Quantitative Analysis. 2024, 59(7), 3001-3036.
• Production Complementarity and Momentum Spillover Across Industries
  (Charles M.C. Lee, Tianshuo Shi,Teng Sun, and Ran Zhang) Journal of Financial Economics, 2024, 155, 103812.
• ESG and Derivatives
  (Rajkumar Janardanan, Xiao Qiao, and K. Geert Rouwenhorst) Financial Analysts Journal, 2024, 80.3, 5-16.
• Generative Learning for Financial Time Series with Irregular and Scale-Invariant Patterns
  (Minghua Chen, Hongbin Huang, and Xiao Qiao) ICLR, 2024.
• Unintended Workplace Safety Consequences of Minimum Wages
  (Qing Liu, Ruosi Lu, Teng Sun, and Meng Zhang) Journal of Public Economics, 2024, Vol. 239, 105247.

2023

• Dynamics of subjective risk premia
  (Stefan Nagel, and Zhengyang Xu) Journal of Financial Economics, 2023, 150(2), 103713.
• Option Momentum
  (Steven Heston, Christopher Jones, Mehdi Khorram, Shuaiqi Li, and Haitao Mo) Journal of Finance, 2023, 78(6), 3141-3192.
• Exchange-Traded Funds and Real Investment
  (Constantinos Antoniou, Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam, and Chengzhu Sun) The Review of Financial Studies, 2023, Volume 36, Issue 3, 1043–1093.
• Option Pricing via Breakeven Volatility
  (Blair Hull, Anlong Li, and Xiao Qiao), Financial Analysts Journal, 2023, 79.1, 99-119.

2022

• Factor Investing: A Bayesian Hierarchical Approach
  (Guanhao Feng, and Jingyu He) Journal of Econometrics, 2022, 230(1): 183-200.
  Asset Pricing with Fading Memory
  (Stefan Nagel, and Zhengyang Xu) The Review of Financial Studies, 2022, 35(5), 2190–2245,
  
• Data-driven Newsvendor Problems Regularized by a Profit Risk Constraint
  (Shaochong Lin, Youhua Chen, Yanzhi Li, and Zuo-Jun Shen) Production and Operations Management, 2022, Vol. 31, No. 4, pp. 1630-1644.
  
• Strategic Inventories Under Supply Chain Competition
  (Xi Li, Yanzhi Li, and Ying-Ju Chen) Manufacturing and Service Operations Management, 2022, Vol. 24, No. 1, pp. 77-90.
  

2021

• Solving Euler equations via two-stage nonparametric penalized splines
  (Liyuan Cui, Yongmiao Hong, and Yingxing Li) Journal of Econometrics, 2021, 222(2), 1024-1056.
  
• Inside Brokers
  (Weikai Li, Abhiroop Mukherjee, and Rik Sen) Journal of Financial Economics, 2021, Vol 141, 1096-1118.
  
• Trade and Management
  (Nicholas Bloom, Kalina Manova, John Van Reenen, Teng Sun, and Zhihong Yu) Review of Economics and Statistics, 2021, 103:3.
  
• Do corporate income tax cuts decrease labor share? Regression discontinuity evidence from China
  (Bing Li, Chang Liu, and Teng Sun) Journal of Development Economics, 2021, 150, 102624.
  
• Managing Perishable Inventory Systems with Age-differentiated Demand
  (Shouchang Chen, Yanzhi Li, Yi Yang, and Weihua Zhou) Production and Operations Management, 2021, Vol. 30, No. 10, pp. 3784-3799.
  
• Overage Disutility, User Trading and Tariff Design
  (Weixiang Huang, Yanzhi Li, and Youhua Chen) Production and Operations Management, 2021, Vol. 30, No. 10, pp. 3758-3783.
  
• Integrated Ad Delivery Planning for Targeted Display Advertising
  (Huaxiao Shen, Yanzhi Li, Youhua Chen, and Kai Pan) Operations Research, 2021, Vol. 69, No. 5, pp. 1409–1429.
  
• A Planning Approach to Revenue Management for Non-Guaranteed Targeted Display Advertising
  (Huaxiao Shen, Yanzhi Li, Jingjing Guan, and Geoffrey K.F. Tso) Production and Operations Management, 2021, Vol. 30, No. 6, pp. 1583-1602.
  

2020

• Taming the Factor Zoo: A Test of New Factors
  (Guanhao Feng, Stefano Giglio, and Dacheng Xiu) Journal of Finance, 2020, 75(3): 1327-1370
  
• Security Analysts and Capital Market Anomalies
  (Li Guo, Weikai Li, and K.C. John Wei) Journal of Financial Economics, 2020, Vol 137, 204-230.