Trumbull-Adams Professor of Finance
Professor of Economics
26 Prospect Avenue, Princeton, NJ 08540, USA
Telephone: (609) 258-0282
RECENT PROFESSIONAL ACTIVITIES
1. China's Model of Managing the Financial System (with Markus Brunnermeier and Michael Sockin) NEW
2. Information Distortion in Hierarchical Organizations: A Study of China's Great Famine (with Ziying Fan and Li-An Zhou) NEW
4. Learning about the Neighborhood: Supply Elasticity and Housing Cycles [Online Appendix] (with Zhenyu Gao and Michael Sockin)
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)
Quarterly Journal of Economics, forthcoming
2. Market Segmentation and Differential Reactions of Local and Foreign Investors to Analyst Recommendations (with Chunxin Jia and Yaping Wang)
Review of Financial Studies, forthcoming
3. Demystifying the Chinese Housing Boom (with Hanming Fang, Quanlin Gu and Li-An Zhou)
NBER Macroeconomics Annual 2015, edited by Martin Eichenbaum and Jonathan Parker, 105-166.
Housing price indices for 120 Chinese cities are available upon an email request
Journal of Finance 70, 2015, 2063-2098
5. Convective Risk Flows in Commodity Futures Markets (with Ing-haw Cheng and Andrei Kirilenko)
Review of Finance 19, 2015, 1733-1781.
6. A Welfare Criterion for Models with Distorted Beliefs (with Markus Brunnermeier and Alp Simsek)
Quarterly Journal of Economics 129 (4), 2014, 1711-1752.
American Economic Review 104, 2014, 2797-2829.
8. The Financialization of Commodity Markets (with Ing-haw Cheng)
Annual Review of Financial Economics 6, 2014, 419-441.
9. Why Do Hedgers Trade So Much? (with Ing-haw Cheng)
Journal of Legal Studies 43, 2014, S183-S207.
10. 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.
11. Delegated Asset Management, Investment Mandates, and Capital Immobility (with Zhiguo He)
Journal of Financial Economics 107, 2013, 239-258 (lead article).
Handbook for Systemic Risk, edited by Jean-Pierre Fouque and Joe Langsam, Cambridge University Press, 2013, 663-713.
13. 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.
15. Dynamic Debt Runs (with Zhiguo He)
Review of Financial Studies 25, 2012, 1799-1843.
16. Rollover Risk and Credit Risk (with Zhiguo He)
Journal of Finance 67, 2012, 391-429 (lead article).
Awarded 2012 Smith Breeden Prize (first prize)
17. Realization Utility (with Nicholas Barberis)
Journal of Financial Economics 104, 2012, 251-271.
18. The Chinese Warrants Bubble (with Jialin Yu)
American Economic Review 101, 2011, 2723-2753.
19. Heterogeneous Expectations and Bond Markets (with Hongjun Yan)
Review of Financial Studies 23, 2010, 1433-1466.
20. What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation (with Nicholas Barberis)
Journal of Finance 64, 2009, 751-784.
21. 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.
22. 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.
23. A General Framework for Evaluating Executive Stock Options (with Ronnie Sircar)
Journal of Economic Dynamics and Control 31, 2007, 2317-2349.
24. Investor Attention and Time-Varying Comovements (with Tim Bollerslev and Lin Peng)
European Financial Management 13, 2007, 394-422.
25. Prospect Theory and Liquidation Decisions (with Albert Kyle and Hui Ou-Yang)
Journal of Economic Theory 129, 2006, 273-288.
26. Investor Attention, Overconfidence and Category Learning (with Lin Peng)
Journal of Financial Economics 80, 2006, 563-602.
27. Asset Float and Speculative Bubbles (with Harrison Hong and Jose Scheinkman)
Journal of Finance 61, 2006, 1073-1117.
28. Executive Compensation and Short-termist Behavior in Speculative Markets (with Patrick Bolton and Jose Scheinkman)
Review of Economic Studies 73, 2006, 577-610.
29. Pay for Short-Term Performance: Executive Compensation in Speculative Markets (with Patrick Bolton and Jose Scheinkman)
Journal of Corporation Law 30, 2005, 721-747.
30. Heterogeneous Beliefs, Speculation and Trading in Financial Markets (with Jose Scheinkman)
Paris-Princeton Lectures on Mathematical Finance 2003, 217-250, Springer-Verlag, Berlin.
31. Overconfidence and Speculative Bubbles (with Jose Scheinkman)
Journal of Political Economy 111, 2003, 1183-1219.
32. Contagion as a Wealth Effect (with Albert Kyle)
Journal of Finance 56, 2001, 1401-1440.
Journal of Financial Economics 62, 2001, 247-292.