School of Business
University of Connecticut
2100 Hillside Road, Unit 1041
Storrs, CT 06269-1041
Office: (860) 486-3041
- The Asset Pricing Implications of Financial Shocks for the Cross Section of Returns: Theory and Measurement (with Frederico Belo, Xiaoji Lin, and Juliana Salomao), 2022. [Data]
- CoCo Futures as a Macroprudential and Microprudential Policy Tool (with Robert S. Goldstein), 2022. [Online appendix]
- Asset Pricing Implications from Wealthy Shareholder Consumption and Net Payout (with Robert S. Goldstein), 2014.
- Is the Credit Spread Puzzle a Myth? (with Jennie Bai and Robert S. Goldstein), 2020, Journal of Financial Economics, 137(2), 297-319. [Online appendix]
- The Risks of Old Capital Age: Asset Pricing Implications of Technology Adoption (with Xiaoji Lin and Berardino Palazzo), 2019, Forthcoming Journal of Monetary Economics.
- External Equity Financing Costs, Financial Flows, and Asset Prices (with Frederico Belo and Xiaoji Lin), 2019, Review of Financial Studies, 32(9), 3500-3543. [Online appendix] [Data2020]
- The Leverage Effect and the Basket-Index Put Spread (with Jennie Bai and Robert S. Goldstein), 2019, Journal of Financial Economics, 131(1), 186-205. [Online appendix]
Investment Shocks and the Commodity Basis Spread, 2013, Journal of Financial Economics, 110(1), 164-184.
– SAC Capital PhD Candidate Award for Outstanding Research, WFA 2011
On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations, 2012, Journal of Finance, 67(6), 1983-2014.
– Amundi Smith Breeden Prize, Journal of Finance, 2013
– CME Group Award for the Best Paper on Derivatives Markets, WFA 2010
University of Connecticut, Instructor:
Financial Institutions (MS in Financial Risk Management), 2015-
Theory of Financial Markets and Valuation (PhD), 2021-
The University of Hong Kong, Instructor:
Financial Economics (PhD and Master of Economics), 2013-2014
Fixed Income Securities and Interest Rate Modeling (Master of Finance), 2012-2015
Interest Rate Models (Undergraduate), 2012-2014
Carlson School of Management, Instructor:
Finance Fundamentals (Undergraduate), 2008-2009
- “The Global Credit Spread Puzzle” by Jing-Zhi Huang, Yoshio Nozawa and Zhan Shi, Annual Risk Management Academic Conference, University of Connecticut, 2019
- “The VIX Premium” by Ing-Haw Cheng, Annual Risk Management Academic Conference, University of Connecticut, 2016
- “Credit Ratings, Credit Crunches, and the Pricing of Collateralized Debt Obligations” by Alexander David and Maksim Isakin, The Fixed Income and Financial Institutions Conference, University of South Carolina, 2016
- “Forecasting Corporate Bond Returns: A Regressed Combination Approach” by Hai Lin, Chunchi Wu and Guofu Zhou, China International Finance Conference, 2015
- “Jump Tail Risk in Fixed Income Markets” by Haitao Li and Zhaogang Song, The SFS Finance Cavalcade, 2014
- “Production-Based Term Structure of Equity Returns” by Hengjie Ai, M. Max Croce, Anthony M. Diercks, and Kai Li, Hong Kong Joint Finance Research Conference, 2014