Research

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: December 2023, [SSRN link]

I study a mechanism for developing banking crises from the bank asset side. The non-performing loans can break the good equilibrium of a perfectly diversified bank loan portfolio in Diamond (1984). The slow asset recovery builds anxiety, and withdrawal requests from a small proportion of household depositors trigger panic bank runs. The bank run mechanism differs from that in Diamond and Dybvig (1983). My model can explain the collapse and acquisition of Silicon Valley Bank in March 2023 and the systemic crisis in 2008. [Short PPT]

[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 three assumptions. Banks are active; the entrepreneur’s income is stochastic; the bank or the entrepreneur maximizes its utility. Our model can address two questions. Why do some, but not all, companies have access to credit lines? Why does a company have access to term loans or convertible debt instead? Our empirical evidence confirms our model predictions. [Short PPT]

[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