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Research and teaching related papers

Working papers

  • A new paradigm for the MSF programs
  • A big-data exercise: store your TAQ database with a $500 budget
  • Information Asymmetry and Cross-Sectional Returns: A Re-Examination of the Relationship between Stock Return and the Adjusted Probability of Informed Trading (with S. Zhang) | old version
  • Business cycle, investors’ preferences and trading strategies
  • On the consistency between the Fama-French monthly and daily factors
  • A new method to estimate PIN (Probability of Informed Trading) | or here
  • Factoring information into returns revisit
  • Papers in progress

  • CRSP for Teaching (abstract)
  • A useful data set for teaching finance
  • Accessing the real-world data in 2 seconds
  • A open-source tool to assess data analytics, ethics and sustainability
  • Short-term momentum effect on spread estimation and liquidity measure
  • Market returns for overlapping generations
  • A mixed weighted market index
  • Impact on rating agency reputation subsequent to regulation change (with Y. Shin)
  • Trade misclassification and probability of informed trading revisit
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