Selected Publications
2026
- 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. - Can news predict firm bankruptcy?
(Siyu Bie, Guanhao Feng, Naixin Guo, and Jingyu He) Journal of Financial Markets, 2025, 101002.
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, 80(2-3), 101810. - 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. - 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. - Predicting Individual Corporate Bond Returns
(Guanhao Feng, Xin He, Yanchu Wang, and Chunchi Wu) Journal of Banking & Finance, 2025, 171, 107372. - Accelerated Bayesian Reciprocal LASSO
(Erina Paul, Jingyu He, and Himel Mallick) Communications in Statistics - Simulation and Computation, 2025, 54(4), 1175-1191. - Does city-county consolidation lead to regional integration of the housing market? Evidence from China
(Liyuan Cui, Yujuan Hou, and Huayi Yu) Land Use Policy, 2025, 157, 107682. - Something in the Air: Does Air Pollution Affect Fund Managers' Carbon Divestment?
(Thanh D. Huynh, Frank Weikai Li, and Ying Xia) Review of Accounting Studies, 2025, 30(3), 2607-2634. - Do Factor Models Capture Both Sentiment and Limited Attention?
(Xinrui Duan, Li Guo, Frank Weikai Li, and Jun Tu) Journal of Economic Dynamics and Control, 2025, 181, 105203. - Major Customers and Carbon Footprints along the Supply Chain
(Saiying Deng, Tinghua Duan, Frank Weikai Li, and Xiaoling Pu) Journal of Corporate Finance, 2025, 92, 102752. - Tickets to the global market: First US patent award and Chinese firm exports
(Robin Kaiji Gong, Yao Amber Li, Kalina Manova, and Stephen Teng Sun) Journal of International Economics, 2025, 157, 104124.
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 information transmission 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. - Renegotiable debt, liquidity injections and financial instability
(Hyun Soo Doh and Guanhao Feng) Journal of Derivatives and Quantitative Studies, 2024, 32(3), 182-199. - Local Gaussian Process Extrapolation for BART Models with Applications to Causal Inference
(Meijia Wang, Jingyu He, and P. Richard Hahn) Journal of Computational and Graphical Statistics, 2024, 33(2), 724-735. - Window dressing: Changes in atmospheric pollution at boundaries in response to regional environmental policy in China
(Liyuan Cui, Zeyu Chen, Yanfen Huang, and Huayi Yu) Journal of Environmental Economics and Management, 2024, 125, 102948. - Climate Change Concerns and Mortgage Lending
(Tinghua Duan and Frank Weikai Li) Journal of Empirical Finance, 2024, 75, 101445. - Geographic Links and Predictable Returns
(Zuben Jin and Frank Weikai Li) Journal of Business Finance & Accounting, 2024, 51(7-8), 2239-2274. - Technology-driven logistics and supply chain management for societal impacts
(Xuting Sun, Yong-Hong Kuo, Weili Xue, and Yanzhi Li) Transportation Research Part E: Logistics and Transportation Review, 2024, 185, 103523. - Retail Store Location Screening: A Machine Learning-Based Approach
(Jialiang Lu, Xu Zheng, Esterina Nervino, Yanzhi Li, Zhihua Xu, and Yabo Xu) Journal of Retailing and Consumer Services, 2024, 77, 103620. - Optimal Dispatching for Order Fulfillment
(Xinbo Zhang, Yanzhi Li, Huiqiang Mao, Liming Li, Xiaoqing Wang, and Yuming Deng) 51st International Conference on Computers & Industrial Engineering (CIE51), 2024, 261-272. - Human Capital and Migration: a Cautionary Tale
(Salvador Navarro and Jin Zhou) Journal of Econometrics, 2024, 243(1-2), 105720.
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.