Professor of Economics
26 Prospect Avenue, Princeton, NJ 08540, USA
Telephone: (609) 258-0282
RECENT PROFESSIONAL ACTIVITIES
1. Credit Expansion and Neglected Crash Risk (with Matthew Baron) NEW
2. Learning about the Neighborhood: A Model of Housing Cycles (with Michael Sockin) NEW
3. The Financialization of Commodity Markets (with Ing-haw Cheng) NEW
Prepared for Annual Review of Financial Economics
4. Social Trust and Differential Reactions of Local and Foreign Investors to Public News (with Chunxin Jia and Yaping Wang) NEW
5. A Tale of Two Anomalies: The Implication of Investor Attention for Price and Earnings Momentum (with Kewei Hou and Lin Peng)
6. Is R-Squared a Measure of Market Inefficiency? (with Kewei Hou and Lin Peng), updated
Journal of Finance, forthcoming
2. A Welfare Criterion for Models with Distorted Beliefs (with Markus Brunnermeier and Alp Simsek)
Quarterly Journal of Economics, forthcoming
American Economic Review 104, 2014, 2797-2829.
4. Convective Risk Flows in Commodity Futures Markets (with Ing-haw Cheng and Andrei Kirilenko)
Review of Finance, forthcoming
5. Why Do Hedgers Trade So Much? (with Ing-haw Cheng)
Journal of Legal Studies, forthcoming
6. Delegated Asset Management, Investment Mandates, and Capital Immobility (with Zhiguo He)
Journal of Financial Economics 107, 2013, 239-258 (lead article).
7. Index Investment and Financialization of Commodities (with Ke Tang)
Financial Analysts Journal 68 (6), 2012, 54-74.
Summary of findings and implications on VoxEU.
American Economic Review Papers & Proceedings 102, 2012, 88-94.
9. Dynamic Debt Runs (with Zhiguo He)
Review of Financial Studies 25, 2012, 1799-1843.
10. Rollover Risk and Credit Risk (with Zhiguo He)
Journal of Finance 67, 2012, 391-429 (lead article).
Awarded 2012 Smith Breeden Prize (first prize)
11. Realization Utility (with Nicholas Barberis)
Journal of Financial Economics 104, 2012, 251-271.
12. The Chinese Warrants Bubble (with Jialin Yu)
American Economic Review 101, 2011, 2723-2753.
13. Heterogeneous Expectations and Bond Markets (with Hongjun Yan)
Review of Financial Studies 23, 2010, 1433-1466.
14. What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation (with Nicholas Barberis)
Journal of Finance 64, 2009, 751-784.
15. Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (with Jianping Mei and Jose Scheinkman)
Annals of Economics and Finance 10, 2009, 225-255.
16. Advisors and Asset Prices: A Model of the Origins of Bubbles (with Harrison Hong and Jose Scheinkman)
Journal of Financial Economics 89, 2008, 268-287.
17. A General Framework for Evaluating Executive Stock Options (with Ronnie Sircar)
Journal of Economic Dynamics and Control 31, 2007, 2317-2349.
18. Prospect Theory and Liquidation Decisions (with Albert Kyle and Hui Ou-Yang)
Journal of Economic Theory 129, 2006, 273-288.
19. Investor Attention, Overconfidence and Category Learning (with Lin Peng)
Journal of Financial Economics 80, 2006, 563-602.
20. Asset Float and Speculative Bubbles (with Harrison Hong and Jose Scheinkman)
Journal of Finance 61, 2006, 1073-1117.
21. Executive Compensation and Short-termist Behavior in Speculative Markets (with Patrick Bolton and Jose Scheinkman)
Review of Economic Studies 73, 2006, 577-610.
22. Overconfidence and Speculative Bubbles (with Jose Scheinkman)
Journal of Political Economy 111, 2003, 1183-1219.
23. Contagion as a Wealth Effect (with Albert Kyle)
Journal of Finance 56, 2001, 1401-1440.
Journal of Financial Economics 62, 2001, 247-292.
25. Are Commodity Futures Prices Barometers of the Global Economy? (with Conghui Hu)
Apres le Deluge: Finance and the Common Good after the Crisis, edited by E. Glen Weyl, Edward L. Glaeser, and Tano Santos.
Handbook for Systemic Risk, edited by Jean-Pierre Fouque and Joe Langsam.
27. Investor Attention and Time-Varying Comovements (with Tim Bollerslev and Lin Peng)
European Financial Management 13, 2007, 394-422.
28. Pay for Short-Term Performance: Executive Compensation in Speculative Markets (with Patrick Bolton and Jose Scheinkman)
Journal of Corporation Law 30, 2005, 721-747.
29. Heterogeneous Beliefs, Speculation and Trading in Financial Markets (with Jose Scheinkman)
Paris-Princeton Lectures on Mathematical Finance 2003, 217-250, Springer-Verlag, Berlin.