List of Citations
"Predicting Stock Market Returns with Aggregate Discretionary Accruals", (joint with Qiao Liu and Rong Qi), Journal of Accounting Research, 48(4), 2010, 815-858.
"The Sarbanes-Oxley Act and Corporate Investment: A Structural Assessment", (joint with Qiao Liu and Rong Qi), Journal of Financial Economics, 96(2), 2010, 291-305.
"Information-Based Stock Trading, Executive Incentives, and the Principal-Agent Problem", (joint with Qiao Liu), Management Science, 56(4), 2010, 682-698.
"Market Timing with Aggregate Accruals" (joint with Qiao Liu and Rong Qi), Journal of Asset Management 10(3), 2009, 170-180.
"Stock Trading, Information Production, and Executive Incentives" (joint with Qiao Liu), Journal of Corporate Finance 14, 2008, 484-498.
"On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach" (joint with Michael W. Brandt), Journal of Financial Economics 72, 2004, 217-257. Lead article.
Revise & Resubmit
"The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover",(joint with Gary B. Gorton and Lixin Huang). Also NBER Working Paper 14944.
"Mispricing in Linear Asset Pricing Models".
"Predicted Returns and Sources of Momentum Profits", (joint with Canlin Li).
"Cross-Sectional Pricing Power and Sources of Momentum Payoffs", (joint with Canlin Li).
"Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data", (joint with Michael W. Brandt and Ping He).
Under Review & In Progress
"The Dual Role of Information and Its Effect on Value Premium",(joint with Lixin Huang). This paper is a substantial revision of our earlier work circulated under the title of
"Information Risk and the Value Premium", which contains some results not included in the revised paper but of interest to some readers.
"CEO Power and Compensation in Financially Distressed Firms", (joint with Oscar A. Mitnik).
"Credit Ratings Changes and CEO Incentives", (joint with Qiao Liu).
"Two Accrual Anomalies: A Dichotomy of Accrual-Return Relations", (joint with Qiao Liu and Rong Qi).
"CFA Certification Program and Sell-Side Analysts",(joint with Xi Li and Su Tie).
"Business-Cycle Pattern of Asset Returns: A General Equilibrium Explanation".
"Understanding the Sources of Momentum Profits: Stock-Specific Component versus Common-Factor Component", (joint with Canlin Li).
"Dynamic Responses of Conditional Mean and Volatility to Aggregate Stock Market Return Innovations", October 2001.
"A Technical Note on Identification", July 2001.