- Chair, Department of Finance
- Professor of Finance
- Shidler College Distinguished Professor
Room
Phone
Academic Background
- PhD in Finance, Kellogg School of Management, Northwestern University, 2003
- MS in Statistics, Wuhan University, China, 1996
- BS in Mathematics, Wuhan University, China, 1993
Courses Taught
Research Interests
- Empirical Asset Pricing
- Financial Econometrics
- Market Microstructure
- International Finance
- Personal Financial Planning
Selected Publications
Is Gold a Hedge or a Safe Haven against Stock Market? Evidence from Conditional Comoments, joint with Lei Ming and Ping Yang, Journal of Empirical Finance, Vol. 74, December 2023, Article 101439.
One Country, Two Calendars: Lunar January Effect in China’s A-share Stock Market, joint with Xiaobo Liang and Allan Zebedee, Asia-Pacific Journal of Financial Studies, Vol. 51, No. 6, December 2022, 859-895.
A Revisit to the Hedge and Safe Haven Properties of Gold: New Evidence from China, joint with Lei Ming, Xinran Zhang, and Shenggang Yang, Journal of Futures Markets, Vol. 40, No. 9, 2020, 1442-1456.
Momentum is Really Short-term Momentum, joint with Qiang Gong and Ming Liu, Journal of Banking and Finance, Vol. 50, 2015, 169-182.
A Closer Look at the Short-term Return Reversal, joint with Zhi Da and Ernst Schaumburg, Management Science, Vol. 60, No. 3, 2014, 658-674.
Extreme Downside Risk and Expected Stock Returns, joint with Victor Huang, Ghon Rhee, and Feng Wu, Journal of Banking and Finance, Vol. 36, No. 5, 2012, 1492-1502.
The 52-Week High Momentum Strategy in International Stock Markets, joint with Ming Liu and Tongshu Ma, Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204.
Return Reversals, Idiosyncratic Risk, and Expected Returns, joint with Victor Huang, Ghon Rhee, and Liang Zhang, Review of Financial Studies, Vol. 23, No. 1, 2010, 147-168.
On Portfolio Optimization: How and When Do We Benefit from High-Frequency Data, Journal of Applied Econometrics, Vol. 24, No. 4, 2009, 560-582.
Reality Check: The Implications of Applying Sustainable Withdrawal Rate Analysis to Real World Portfolios, joint with Rosita Chang, Jack De Jong, and John Robinson, Financial Services Review, Vol. 18, No. 2, 2009, 123-139.
The Stock Market’s Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy, joint with John H. Boyd and Ravi Jagannathan, Journal of Investment Management, Vol. 4, No. 4, 2006, 73-90.
Awards & Honors
2022 - DUFE Outstanding Research Achievement Award at the 2022 China International Risk Forum (CIRF)
2014 - The CFA Institute Asia Pacific Capital Markets Research Best Paper Award at the 2014 Financial Management Association (FMA) Asian Annual Meeting
2013 - Professor of the Semester Teaching Award in the Master of Financial Engineering (MFE) program, Shidler College of Business, University of Hawaii
- 2012 - The Mega Holdings Best Paper Award at the 2012 Asian Finance Association (AsianFA) Annual Meeting
- 2012 - Professor of the Semester Teaching Award in the Master of Financial Engineering (MFE) program, Shidler College of Business, University of Hawaii
- 2010 - The InFRE Best Paper Award at the Academy of Financial Services (AFS) Annual Meeting
- 2010 - Semifinalist for the Best Paper in Investments at the 2010 Financial Management Association (FMA) Annual Meeting
- 2010 - Professor of the Semester Teaching Award in the Master of Financial Engineering (MFE) program, Shidler College of Business, University of Hawaii
- 2009 - Shirley M. Lee Research Award, Shidler College of Business, University of Hawaii
- 2008 - The CFP Board of Standards Best Paper Award at the Academy of Financial Services (AFS) Annual Meeting