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: February 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. Varying good loans relative to bad loans, self-healing maintenance can be fast or slow. Rapid self-healing guarantees the long-term growth of bank loans and household wealth accumulation. Insufficient good loans cause slow self-healing, and continuous loan growth is not guaranteed. Stage I slow healing can cause bank funding liquidity shortages. However, stage II slow healing features excessive collateral damage, which can destroy bank capital protection and cause households to panic. [February 2025 Presentation Slides]; [SSRN link]

[6] Fairness of Exchange in Loan Agreement: with Zhanbing Xiao, new revision is expected in May 2025

We propose a fairness-of-exchange model based on new assumptions to revisit decisions on borrowing and lending made by entrepreneurs and banks. The bank loan business is modeled through two legally binding contracts where the bank is the lender in the loan contract and the borrower in the deposit contract. Our model differentiates why firms have no debt records. Firms with sufficient internal liquidity will not apply for external debt. Active credit screening will reject applicants desperate for external debt but historical operating income suggests that they are unqualified borrowers. Empirical evidence supports a weak borrowing demand during the Great Recession.

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

We offer a new explanation of why systemically important banks acquired bad MBS at dislocated prices during the Great Recession. We build the explanation on three pillars. First, large banks have extensive good loans that generate quarterly profits. Second, corporate borrowing demand is shrinking during the Great Recession. Third, large banks speculate that dislocated prices will recover soon. Acquiring bad MBS with good collateral has unintended consequences. Large banks collectively become capital-constrained. We test a channel of poor self-healing on the corporate side. Compared to existing known channels, our proposal endogenizes bank capital and offers ex ante warnings to 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