MIT Sloan School of Management



Working Papers






 Selected Publications 

    Chinese Capital Market: An Empirical Overview, with G. X. Hu and J. Pan, Critical Finance Review, forthcoming.

    Trading and Information in Futures Markets, with G. Llorente, Journal of Futures Markets 40: 1231-1263, 2020.

    Tri-Party Repo Pricing, with G. X. Hu and J. Pan, Journal of Financial and Quantitative Analysis, 1-35, 2019.

    Dynamic Portfolio Execution, with G. Tsoukalas and K. Giesecke, Management Science 65, 1949-2443, 2019.

    Fama-French in China: Size and Value Factors in Chinese Stock Returns, with G. X. Hu, C. Chen and Y. Shao,
      International Review of Finance 19, 3-44, 2019.

    Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure, with G. X. Hu and J. Pan,
      Journal of Financial Economics 126, 399-421, 2017.

    Market Selection, with L. Kogan, S. Ross and M. Westerfield, Journal of Economic Theory 168, 209-236, 2017.

    Noise as Information or Illiquidity, with G. X. Hu and J. Pan, Journal of Finance 68, 2223-2772, 2013.

    Optimal Trading Strategy and Supply/Demand Dynamics, with Obizhaeva, Anna A., Journal of Financial Markets
      16, 1-32, 2013.

    Asset Pricing and the Credit Market, with Longstaff Francis A., Review of Financial Studies 25, 3169-3215, 2012.

    Theories of Liquidity, with D. Vayanos, Foundations and Trends in Finance Hanover, MA: Now Publishers Inc.,

    Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition, with D. Vayanos, Review of
      Financial Studies
25, 1339-1365, 2012.

    The Illiquidity of Corporate Bonds, with J. Bao and J. Pan, Journal of Finance 66, 911-946, 2011.

    Market Liquidity, Asset Prices and Welfare, with J. Huang, Journal of Financial Economics 95, 107-127, 2010.

    Stock Market Trading Volume, with A.W. Lo, Handbook of Financial Econometrics 2, 242-341. Atlanta, GA:
      Elsevier Science, 2009.

    Liquidity and Market Crashes, with J. Huang, Review of Financial Studies 22, 2607-2643, 2009.

    Firms as Buyers of Last Resort, with H. Hong and J.L. Yu, Journal of Financial Economics 88, 117-145, 2008.

    Trading Volume: Implications of an Intertemporal Capiral Asset Pricing Model, with A.W. Lo, Journal of Finance 61,
      2805-2840, 2006.

    Evaluating Portfolio Policies: A Duality Approach, with M. Haugh and L. Kogan, Operations Research 54 (No. 3),
      405-418, 2006.

    The Price Impact and Survival of Irrational Traders, with L. Kogan, S.A. Ross and M. Westerfield, Journal of
61, 195-229, 2006.

    Financial Economics, Beijing, China: Renmin University Press, 2006.

    Asset Prices and Trading Volume Under Fixed Transactions Costs, with A.W. Lo and H. Mamaysky, Journal of
      Political Economy
112 (No. 5), 1054-1090, 2004.

    Evaluating Portfolio Policies: A Duality Approach, with Haugh, Martin B., Leonid Kogan, Operations Research 54,
      405-418, 2004.

    Trading Volume, with A.W. Lo, In Advances in Economic Theory: Eighth World Congress 2, 206-277. Cambridge,
      UK: Cambridge University Press, 2003.

    Dynamic Volume-Return Relations of Individual Stocks, with G. Llorente, R. Michaely, G. Saar, Review of
      Financial Studies
15, 1005-1047, 2002.

    Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation,
      with A.W. Lo and H. Mamaysky, Journal of Finance 55, 1705-1770, 2000.

    Trading and Returns Under Periodic Market Closures, with H. Hong, Journal of Finance 55, 297-354, 2000.

    Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, with A.W. Lo, Review of Financial
13, 257-300, 2000.

    Market Structure, Security Prices and Informational Efficiency, with J. Huang, Macroeconomic Dynamics 1, 169-
     205, 1997.

    A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs, with Michaely,
      Roni, Jean-Luc Vila, Journal of Financial Intermediation 5, 340-371, 1996.

    The Term Sturcture of Interest Rates In A Pure Exchange Economy With Heterogeneous Investors, Journal of
      Financial Economics
41, 75-110, 1996.

    Differential Information and Dynamic Behavior of Stock Trading Volume, with H. He, Review of Financial Studies
      8, 919-972, 1995.

    Implementing Option Pricing Formulas When Asset Returns Are Predictable, with A.W. Lo, Journal of Finance 50,
      87-130, 1995.

    A Model of Competitive Stock Trading Volume, Journal of Political Economy 102, 127-167, 1994.

    Trading Volume and Serial Correlation in Stock Returns, with J. Campbell and S. Grossman, Quarterly Journal of
108, 905-940, 1993.

    A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Economic Studies 60, 249-282,