M&T Professor of Banking and Finance
PhD, University of Illinois at Urbana-Champaign
MA, Western Illinois University
Graduate School of Business Administration, National Chengchi University
BC, National Chengchi University
“Volatility and the Cross-section of Corporate Bond Returns,” (with K. Chung and J. Wang), Journal of Financial Economics, forthcoming.
“Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach,” (with H. Lin and G. Zhou), Management Science, forthcoming.
“Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads,” (with S. Liu), Review of Asset Pricing Studies 7, 81-143, 2017.
“Predictions of Corporate Bond Returns,” (with H. Lin and J. Wang), Journal of Financial Markets 21, 2014, 123-152.
"Price Discovery in the U.S. Treasury Market: Automation versus Intermediation," (with K. Man and J. Wang), Management Science 59, 2013, 695-714.
"Liquidity Risk and Expected Corporate Bond Returns," (with H. Lin and J. Wang), Journal of Financial Economics 99, 2011, 628-650.
"Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence," (with R. Jarrow, H. Li, and S. Liu) , Journal of Financial Economics 95, 2010, 227-248.
"Are Liquidity and Information Risks Priced in the Treasury Bond Market?," (with H. Li, J. Wang and Y. He), Journal of Finance 64, 2009, 467-503.
"The 2000 Presidential Election and the Information Cost of Sensitive vs. Non-sensitive S&P 500 Stocks," (with Y. He, H. Lin and U. B. Dufrene), Journal of Financial Markets 12, 2009, 54-86
"How Much of the Corporate Bond Spread Is Due to Personal Taxes?," (with S. Liu, J. Shi and J. Wang), Journal of Financial Economics 85, 2007, 599-636 (lead article).
"Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume," (with J. Li), Journal of Business 79, 2006, 2697-2739.
"Personal Taxes, Endogenous Default and Corporate Bond Yield Spreads," (with S. Liu and H. Qi), Management Science 52, 2006, 939-954.
"The Role of Earnings Information in Corporate Dividend Decisions," (with J. Hsu and X. Wang), Management Science 44, 1998, S173-191.
"Rational Expectations, Information Signaling and Dividend Adjustment to Permanent Earnings," (with C. Kao) Review of Economics and Statistics 76, 1994, 490-502.
"Tests of Dividend Signaling Using the Marsh-Merton Model: A Generalized Friction Approach," (with C. Kao) Journal of Business 67, 1994, 45-68.
"Information Asymmetry and the Sinking Fund Provision," Journal of Financial and Quantitative Analysis 28, 1993, 399-416.
"Expectation Formation and the Financial Ratio Adjustment Processes," (with Cheng F. Lee), Accounting Review 63, 1988, 292-306; A Reply, Accounting Review 68, 1993, 953-955.