Refereed publications:
1.“Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach”, with Stefano Cassella, Te-feng Chen, and Huseyin Gulen, 2024. Forthcoming, Journal of Financial Economics.
2.“Optimal Cross-Sectional Regression”, with Zhipeng Liao and Zhenzhen Xie, 2024.Management Science.
3.“Reconstructing the Yield Curve”, with Jing Cynthia Wu, 2021. Journal of Financial Economics, 142, 1395-1425.
4.“Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence”, with Campbell R. Harvey. 2022. Journal of Finance，77， 1921-1966.
5.“Index Option Returns and Generalized Entropy Bounds” (single authored), 2021. Journal of Financial Economics, 139, 1015–1036.
6.“False (and Missed) Discoveries in Financial Economics”, with Campbell R. Harvey, 2020. Journal of Finance, 75, 2503–2553.
7.“Lucky Factors?”, with Campbell R. Harvey, 2021. Journal of Financial Economics, 141, 413–435.
8.“An Evaluation of Alternative Multiple Testing Methods for Finance Applications”, with Campbell R. Harvey and Alessio Saretto, 2020. Review of Asset Pricing Studies, 10, 199-248.
9.“Cross-Sectional Alpha Dispersion and Performance Evaluation”, with Campbell R. Harvey, 2019. Journal of Financial Economics, 134, 273–296.
10. “Detecting Repeatable Performance”, with Campbell R. Harvey, 2018. Review of Financial Studies, 31, 2499–2552.
11.“... and the Cross-section of Expected Returns”, with Campbell R. Harvey and Heqing Zhu, 2016. Review of Financial Studies, 29, 5-72.
