个人简介
麻省理工学院斯隆管理学院金融学教授
The University of Chicago Graduate School of Business, Chicago, IL 2002-2007
Ph.D., Finance and M.B.A.
The University of Michigan, Ann Arbor, MI 2000-2002
M.S., Mathematics
Sun Yat-Sen University, Guangzhou, China 1996-2000
B.A., Economics and Finance
研究领域
MIT Quest for Intelligence Grant with Liberty Mutual (2023-24, USD 140k)
MIT-SenseTime Alliance on Arti cial Intelligence Grant for Dynamic Portfolio Management
with Deep Learning, (2018-19, USD 200k)
Accenture Grant for A New Framework for Dynamic Collateral Management, (2015-17,
USD 270k)
近期论文
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Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure, Jour
nal of Finance, 2010, 65(6): 2171-2212.
Entrepreneurial Finance and Non-diversi able Risk, with Jianjun Miao and Neng Wang,
Review of Financial Studies, 2010, 23(12): 4348-4388.
A ne Disagreement and Asset Pricing, with Scott Joslin and Ngoc-Khanh Tran, American
Economic Review P&P, 2010, 100(2): 522-526.
A Uni ed Theory of Tobins q, Corporate Investment, Financing, and Risk Management,
with Patrick Bolton and Neng Wang, Journal of Finance, 2011, 66(5): 1545-1578.
Rare Disasters and Risk Sharing with Heterogeneous Beliefs, with Scott Joslin and Ngoc
Khanh Tran, Review of Financial Studies, 2012, 25(7): 2189-2224.
Generalized Transform Analysis of A ne Processes and Applications in Finance, with Scott
Joslin, Review of Financial Studies, 2012, 25(7): 2225-2256.
Market Timing, Investment, and Risk Management, with Patrick Bolton and Neng Wang,
Journal of Financial Economics, 2013, 109(1): 40-62.
Comment on Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe by Ang
and Longsta , Journal of Monetary Economics, 2013, 60: 511-516.
Dynamic Asset Allocation with Ambiguous Return Predictability, with Nengjiu Ju and
Jianjun Miao, Review of Economic Dynamics, 2014, 17(4): 799-823.
Macroeconomic Risk and Debt Overhang, with Gustavo Manso, Review of Corporate Fi
nance Studies, 2017, 6(1): 1-38.
Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle, with
Rui Cui, Zhiguo He, and Konstantin Milbradt, Review of Financial Studies, 2018, 31(3):
852-897.
Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Mar
kets, with Scott Joslin and Sophie Ni, Review of Financial Studies, 2019, 32(1): 228-265.
Houses as ATMs? Mortgage Re nancing and Macroeconomic Uncertainty, with Michael
Michaux and Nikolai Roussanov, Journal of Finance, 2020, 75(1): 323-375.
Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads, with Yu Xu
and Jun Yang, Journal of Financial Economics, 2021, 139(3): 770-799.
Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets, with
Zhuo Chen, Zhiguo He, Jinyu Liu, and Rengming Xie, Journal of Finance, 2023, 78(5):
2563-2620.
Decision-Aware Conditional GANs for Time Series Data, with He Sun, Zhun Deng, and
David C. Parkes, Proceedings of the Fourth ACM International Conference on AI in Finance,
2023.
Measuring the Dark Matter in Asset Pricing Models, with Winston Wei Dou and Leonid
Kogan, forthcoming, Journal of Finance.
The Dark Side of Circuit Breakers, with Anton Petukov and Jiang Wang, forthcoming,
Journal of Finance
Feedback and Contagion through Distressed Competition, with Winston Dou and Yan Ji,
forthcoming, Journal of Finance
Working Papers TheMarginal Value of Cash, with Patrick Bolton and Neng Wang, prepared for the Annual
Review of Financial Economics
Capital Structure Dynamics, Corporate Bond Pricing, and Macroeconomics, with Zhiguo
He, prepared for the Foundations and Trends in Finance
The Debt-Equity Spread, with Zhiyao Chen and Jun li, 2023
Deep Surrogate for Finance: With an Application to Option Pricing, with Antoine Didisheim
and Simon Scheidegger, 2023
Teaching Economics to the Machines, with Yuhan Cheng, Yanchu Liu, and Ke Tang, 2023
Market for Manipulable Information, with Jian Sun, 2023
Process Intangibles and Agency Con icts, with Ali Kakhbod, Maziar Kazemi, and Hao
Xing, 2023
Granularity and Network E ects: Dissecting the Information of Credit Spreads for the
Business Cycle, with Yoshio Nozawa and Jun Yang, 2023
Debt, Taxes, and Liquidity, with Patrick Bolton and Neng Wang, 2018
Dynamic Collateral Management, with Vivek Farias and Eli Gutin, 2018
Can Information Costs Explain the Equity Premium and Stock Market Participation Puz
zles? 2014
Honors and
Awards
Journal of Finance Dimensional Fund Advisors Distinguished Paper Prize, awarded for Pledge
ability and Asset Prices: Evidence from the Chinese Corporate Bond Markets, 2024
Frank E. Perkins Award for Excellence in Graduate Advising, 2022
Finalist for the TIAA Paul A. Samuelson Award, 2021
Arthur Warga Award for Best Paper in Fixed Income, Society of Financial Studies, 2019
Macro Financial Modeling Research Award, 2017
Best Paper Award, Red Rock Finance Conference, for Measuring the Dark Matter in Asset
Pricing Models, 2013
The Chinese Finance Association Best Paper Award, for Debt, Taxes, and Liquidity, 2013
Distinguished Referee Award, Review of Financial Studies, 2013
Journal of Finance Smith Breeden Distinguished Paper Prize, awarded for Macroeconomic
Conditions and the Puzzles of Credit Spreads and Capital Structure, 2012
TCW Best Paper Award, China International Conference in Finance, for Systematic Risk,
Debt Maturity, and the Term Structure of Credit Spreads, 2012
MIT Sloan Junior Faculty Research Assistance Program Award, 2010
Best Paper Award, the Caesarea Center 6th Annual Academic Conference IDC, Israel, for
A uni ed theory of Tobins q, corporate investment, nancing, and risk management, 2009
TCW Best Paper Award, China International Conference in Finance, for Dynamic Asset
Allocation with Ambiguous Return Predictability, 2009
Best Paper Award (2nd place), 15th Mitsui Life Symposium on Credit Risk, for Macroeco
nomic Conditions and the Puzzles of Credit Spreads and Capital Structure, 2008
Tre tzs Award, Western Finance Association, for Macroeconomic Conditions and the Puz
zles of Credit Spreads and Capital Structure, 2007
Katherine Dusak Miller PhD Fellowship in Finance, 2006-2007
Otto Richter Memorial Prize, University of Michigan, 2002
The Actuarial Foundation John Culver Wooddy Scholarship, 1999
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