Financial Economics with Frank Fabozzi and Ted Neave.
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
(with Yufeng Han and Ke Yang) Journal of Financial and Quantitative Analysis, forthcoming
International Stock Return Predictability: What is the Role of the United States?
(with David E. Rapach and Jack K. Strauss; first draft, July 2009; current version: May 22, 2012) Journal of Finance, forthcoming.
Volatility Trading: What is the Role of the Long-Run Volatility Component?
(with Yingzi Zhu; Current version: August, 2010) Journal of Financial and Quantitative Analysis, 47, 2012, 273--307.
Tests of Mean-Variance Spanning
(with Raymond Kan) (Matlab Programs) Annals of Economics and Finance 13, 2012, 145-193.
How Predictable Is the Chinese Stock Market?
(with Jiang Fuwei, David Rapach, Jack Strauss and Jun Tu) Journal of Financial Research 9, 2011, 107-121.
Markowitz Meets Talmud: A Combination of Sophisticated and Naive
Diversification Strategies
(with Jun Tu)(The Longer 2008 EFA version) Journal of Financial Economics 99, 2011, 204--215.
Predicting Market Components Out of Sample: Asset Allocation
Implications
(with Aiguo Kong, David Rapach and Jack Strauss) Annual Review of Financial Economics 2, 2010, 49--74.
Bayesian Portfolio Analysis
(with Doron Avramov) Annual Review of Financial Economics 2, 2010, 25--47.
Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice
Under Parameter Uncertainty
(with Jun Tu; The First Version, April 2004) Economics Letters 108, 2010, 184--186.
Robust Portfolios: Contributions from Operations Research and Finance
(with Frank J. Fabozzi and Dashan Huang) Annals of Operations Research 176, 2010, 191--220.
Limited Participation, Consumption,and Saving Puzzles: A Simple Explanation and the Role of Insurance
(with Todd Gormley and Hong Liu) Journal of Financial Economics 96, 2010, 331--344.
Out-of-Sample Equity Premium Prediction: Combination Forecasts and
Links to the Real Economy
(with David Rapach and Jack Strauss) Review of Financial Studies 23, 2010, 821--862.
Is the Recent Financial Crisis Really a `Once-in-acentury' Event?
(with Yingzi Zhu) Financial Analysts Journal 66 (1), 2010, 24--27.
Beyond Black-Litterman: Letting the Data Speak Financial Analysts Journal 65 (4), 2009, 68--77.
What Will the Likely Range of My Wealth Be?
(with Raymond Kan) Financial Analysts Journal 65 (4), 2009, 68--77.
Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages
(with Yingzi Zhu) Journal of Financial Economics 92, 2009, 519--544.
On the Fundamental Law of Active Portfolio Management: How to Make
Conditional Investments Unconditionally Optimal? Journal of Portfolio Management 35 (1), 2008, 12--21.
On the Fundamental Law of Active Portfolio Management: What Happens if Our Estimates Are Wrong? Journal of Portfolio Management 34 (4), 2008, 26—33
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
(with Yongmiao Hong and Jun Tu) Review of Financial Studies 20, 2007, 1547—1581
Optimal Portfolio Choice with Parameter Uncertainty
(with Raymond Kan) Journal of Financial and Quantitative Analysis 42, 2007, 621—656
Estimating and Testing Beta Pricing Models: Alternative Methods and
Their Performance in Simulations
(with Jay Shanken) Journal of Financial Economics 84, 2007, 40--86.
Using Bootstrap to Test Portfolio Efficiency
(with Pin-Huang Chou) Annals of Economics and Finance 7, 2006, 217--249.
Portfolio Optimization under Asset Pricing Anomalies
(with Pin-Huang Chou and Wen-Shen Li) Japan & The World Economy 18, 2006, 121--142.
A New Variance Bound on the Stochastic Discount Factor
(with Raymond Kan) Journal of Business 79, 2006, 941—961
Data-generating Process Uncertainty: What Difference Does It Make in
Portfolio Decisions?
(with Jun Tu) Journal of Financial Economics 72, 2004, 385--421.
What Determines Expected International Asset Returns?
(with Campbell Harvey and Bruno Solnik) Annals of Economics and Finance 3, 2002, 83--127.
On Rate of Convergence of Discrete-time Contingent Claims
(with Steve Heston) Mathematical Finance 10, 2000, 53--75.
Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
(with Pin-Huang Chou and Yuan-Lin Hsu) Annals of Economics and Finance 1, 2000, 79--100.
Security Factors as Linear Combinations of Economic Variables
Journal of Financial Markets 2, 1999, 403--432
Testing Multi-beta Pricing Models
(with Raja Velu) Journal of Empirical Finance 6, 1999, 219--241
A Critique of the Stochastic Discount Factor Methodology
(with Raymond Kan) Journal of Finance 54, 1999, 1021--1048
Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation
(with Phil Dybvig and David Beaglehole) Financial Analysts Journal 53, 1997, 62--68.
Temporary Components of Stock Returns: What Do the Data Tell Us?
(with Chris Lamoureux) Review of Financial Studies 9, 1996, 1033--1059.
Measuring the Pricing Error of the Arbitrage Pricing Theory
(with John Geweke) Review of Financial Studies 9, 1996, 553—583
Time-to-Build Effects and the Term Structure
(with Jack Strauss) Journal of Financial Research 18, 1995, 115—127
Small Sample Rank Tests with Applications to Asset Pricing
Journal of Empirical Finance 2, 1995, 71--93.
Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums
Review of Financial Studies 7, 1994, 687--709
Asset Pricing Tests Under Alternative Distributions
Journal of Finance 48, 1993, 1927--1942
International Asset Pricing with Alternative Distributional Specifications
(with Campbell Harvey) Journal of Empirical Finance 1, 1993, 107--131.
Small Sample Tests of Portfolio EfficiencyJournal of Financial Economics 30, 1991, 165—191
Algorithms for the Estimation of Possibly
Journal of Time Series Analysis 13, 1991, 171--188.
Nonstationary Time Series Bayesian Inference in Asset Pricing Tests
(with Campbell Harvey) Journal of Financial Economics 26, 1990, 221—254