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] Self-Healing Loan Maintenance: May 2025

I identify a self-healing mechanism that governs the future of bank loans and household wealth. Self-healing refers to bank operations allocating profits from good loans to replace bad loans and make new loans. Because good loans vary relative to bad loans, self-healing can be fast or slow. Rapid healing guarantees an endogenous bank loan growth and household wealth accumulation. Insufficient good loans cause slow healing, which could lead to two undesirable outcomes. Worry about deposit safety, household withdrawals can cause bank liquidity shortages. In addition, excessive collateral damage could destroy bank capital. A bank becomes insolvent, and households panic. [May 2025 Presentation Slides]; [SSRN link]

[6] A Win-Win Loan Contract For Self-assured Agents: with Zhanbing Xiao, August 2025

We propose a win-win loan contract to revisit the decisions behind the entrepreneurs’ liquidity management and the bank’s loan origination. In any loan business, three agents of entrepreneurs, the bank, and households sign a loan contract and a deposit contract. The win-win outcomes can be achieved in loan and deposit contracts when a borrower maximizes its interest without sacrificing the lender’s interest. The bank’s active role in credit screening is essential to converge on ex-ante win-win agreements. Empirical evidence revises the classification of financially constrained companies by traditional wisdom. The drawdown analysis has discovered an independent story of the borrowers.[SSRN link]

[7] Great Recession and Systemically Important Banks: with Jitao Ou, April 2025

Poor maintenance decisions can explain why large banks acquired defaulted MBS assets before and during the Great Recession. We build the explanation on three pillars. First, large banks have extensive good loans that generate continuous profits. Second, corporate borrowing demand started to shrink before the Great Recession. Third, large banks speculate that dislocated prices will recover soon. Acquiring bad MBS assets with good collateral has unintended consequences. Large banks collectively become capital-constrained. Poor maintenance decisions, instead of bank capital, are responsible for the financial instability. We identify a new spillover channel through which bank risks affect real-world companies. [February 2025 Presentation Slides]; [SSRN link]

[8] On the Choices of Lifestyle and Growth: April 2023, new revision is expected in H2 2025

[9] Reserve, Risk Tolerance, and Fund Flows: with Woon Sau Leung, March 2023, new revision is expected in H2 2025

• 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