Publications

[4] Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk: with Wei Jiang and Jitao Ou, April 2021, The Journal of Finance, 76(2), pp. 537-586. SSRN link; DOI link

[3] Informed Trading by Adviser Banks: Evidence from Options Holdings: with Michelle Lowry and Macro Rossi, The Review of Financial Studies, 32(2), pp. 605-645.

[2] The Financial Implications of Supply Chain Changes: with Joel Houston and Chen Lin, September 2016, Management Science, 62(9), pp. 2520-2542.

[1] Where Have All the IPO Gone?: with Xiaohui Gao and Jay Ritter, December 2013, The Journal of Financial and Quantitative Analysis, 48(6), pp. 1663-1692.

Working Papers

[5] Bank Asset Problem and Financial Stability: April 2024, [SSRN link]

I study a mechanism of bank failure due to problems on the bank asset side. With novel and realistic assumptions, bad loans can become the first asset problem because the bank will not satisfy the regulatory capital ratio. Household depositors panic because the acquisition offer on the bank’s good loans is insufficient for household recovery. My model can explain multiple bank failures in 2023 and the systemic crisis in 2008. [May 2024 Presentation Slides]

[6] Balance Rights and Responsibilities in Liquidity Supply and Demand Contracts: with Zhanbing Xiao, November 2023, [SSRN link]

We extend the entrepreneur’s debt contract in Holmström and Tirole (1998) by two assumptions. Banks are active; the entrepreneur’s income is stochastic. Our model can address two questions. Why do some, but not all, companies have access to credit lines? Why do companies that need credit lines the most not have access? Our empirical evidence confirms our model predictions. [Presentation Slides]

[7] Bank Asset Problem and Cross Borrower Spillovers: with Jitao Ou, follow-up of WP [5], update expected in H1 2024

[8] On the Choices of Lifestyle and Growth: April 2023, expected in H1 2024

[9] Reserve, Risk Tolerance, and Fund Flows: with Woon Sau Leung, March 2023, update expected in H1 2024

• Repo Runs, Collateral, and Counterparty Institutions: 2016, SSRN Link
• The Source of Superior Infomration: Admisors’ Holdings of Call Options on Targets: 2016, SSRB link
• Can the performance of Structural Corporate Bond Models Be Improved?: 2008, SSRN Link