Professor of Finance

W. P. Carey School of Business
Arizona State University


Research Interests

  • Capital markets, financial institutions
  • My research interests are mainly in capital markets and the structure, efficiency and risk management practices of the financial services industry, including hedge funds and mutual funds. The list of published and working papers is available below. At ASU, I teach courses in investments and derivatives in our undergraduate and graduate programs.

Working Papers

  1. "Machine-Learning about ESG Preferences: Evidence from Fund Flows" with Shuaiyu Chen.
    • Presentations: Arizona State University, 33rd Annual Conference on Financial Economics and Accounting, City University of Hong Kong.
  2. "Volatility Timing Using ETF Options: Evidence from Hedge Funds" with Shuaiyu Chen and Zhen Shi.
    • Presentations: Auburn University, Purdue University, Hong Kong Polytechnic University, Kennesaw State University, Lapland Investment Fund Summit, Fudan School of Management, 2023 Conference on Derivatives and Volatility.
  3. "Anticipatory Trading Against Distressed Mega Hedge Funds" with Vikas Agarwal, Vikram Nanda, and Kelsey Wei.
    • Presentations: Aalto University, Texas A&M, CUHK Shenzhen, Case Western University, Centre for Financial Research (CFR), Syracuse University, Tulane University, Financial Management Association Meetings, Fixed Income and Financial Institutions Conference, Conference, and the 13th Annual Hedge Fund Research Conference.
  4. "Responsible Investments: Costs and Benefits for University Endowment Funds," with Yuxiang Jiang, Juha Joenvaara, and Cristian Tiu.
    • Revise and Resubmit, Journal of Financial Economics.
    • Presentations: Socially Responsible Investment panel at the 2019 NACUBO Endowment Debt Management Forum, Aalto University, University of Maryland, Villanova University, North Carolina State University, Clemson University, Temple University, the 12th Annual Hedge Fund Research Conference, University of Lancaster’s Conference on Mutual Funds, Hedge Funds and Factor Investing, Sustainable Finance Forum 2019, European Finance Association 47th Annual Meeting, and Weil, Gotschal & Manges Roundtable at the Yale Law School Center for the Study of Corporate Law. This research is supported by a grant from TIAA Institute.
  5. "Exploration or Exploitation? Hedge Funds in Venture Capital," with Emma Li and Laura Lindsey.
    • Presentations: Michigan State University Financial Institutions Conference, California Institute of Technology, 11th Annual Hedge Fund and Private Equity Research Conference, IPC Spring Research Symposium, University of Michigan, University of Alabama, Cornell University, HEC Montreal, SFS Cavalcade, 11th FIRN Annual Conference, and Baruch College.
  6. "Hedge Fund Liquidity Management: Insights for Fund Performance," with Tolga Ergun and Giulio Girardi.
    • Presentations: Virginia Tech and the 8th Annual Conference on Financial Market Regulation.


Journal Articles

  1. "Fire Sale Risk and Expected Stock Returns" with Min Kim, 2023, Journal of Financial Economics, 149, 578-609.
  2. "Do Prime Brokers Matter in the Search for Informed Hedge Fund Managers?" with Ji-Woong Chung and Byoung Uk Kang, 2022, Accepted at Management Science.
  3. "Measuring Hedge Fund Liquidity Mismatch," with Tolga Ergun, Giulio Girardi, and Mila Getmansky Sherman 2021, Journal of Alternative Investments, 24, 26-42.
  4. "Investor Protection and Capital Fragility: Evidence From Hedge Funds Around the World," with Vikram Nanda and Haibei Zhao (SSRN) 2021, Review of Financial Studies, 34, 1368--1407.
  5. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence From VIX Futures," with Rajnish Mehra and Sunil Wahal (SSRN) 2020, Journal of Portfolio Management, 46, 144--159.
  6. "Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds," with Vikas Agarwal and Zhen Shi (SSRN) 2019, Journal of Financial and Quantitative Analysis, 54, 2355--2381.
  7. "Who Benefits in a Crisis? Evidence From Hedge Fund Stock and Option Holdings," with J. Spencer Martin and Zhen Shi (SSRN) 2019, Journal of Financial Economics, 131, 345--361.
  8. "The Use of Credit Default Swaps by Bond Mutual Funds: Liquidity Provision and Counterparty Risk," with Lei Li and Jun Qian (SSRN) 2019, Journal of Financial Economics, 131, 168--185.
  9. "Strategic Delays and Clustering in Hedge Fund Reported Returns," with Vikram Nanda (SSRN) 2017, Journal of Financial and Quantitative Analysis, 52, 1--35. Lead article.
  10. "Onshore and Offshore Hedge Funds: Are They Twins?" with Bing Liang and Hyuna Park (SSRN) 2014, Management Science, 60, 74--91.
  11. "Why Do Hedge Funds Avoid Disclosure? Evidence From Confidential 13F Filings," with Michael Hertzel and Zhen Shi (SSRN) 2014, Journal of Financial and Quantitative Analysis, 48, 1499--1518.
  12. "A Unique View of Hedge Fund Derivatives Usage: Safeguard or Speculation?" with J. Spencer Martin 2012, Journal of Financial Economics, 105, 436--456.
  13. "Tournament Behavior in Hedge Funds: High-Water Marks, Fund Liquidation, and Managerial Stake" with Vikram Nanda 2012, Review of Financial Studies, 25, 937--974.
  14. "Hedge Funds as Liquidity Providers: Evidence From the Lehman Bankruptcy" with Phil Strahan (SSRN) 2012, Journal of Financial Economics, 103, 570--587.
  15. "Stock Market Trading Activity and Returns Around Milestones" with Stephan Dieckmann 2011, Journal of Empirical Finance, 18, 570--584.
  16. "Share Restrictions and Asset Pricing: Evidence From the Hedge Fund Industry" (SSRN) 2007, Journal of Financial Economics, 83, 33--58.