Publications
- Over-the-Counter Markets for Non-Standardized Assets, 2025, with Anton Tsoy, Journal of Finance 80, pp2831-2873.
- Duration-Based Valuation of Corporate Bonds, 2025, with Jules van Binsbergen and Michael Schwert, Review of Financial Studies 38, pp158-191.
- Bond-Level Duration-Adjusted Returns
- Bond-Level Duration-Adjusted Returns on Open Source Bond Asset Pricing
- Bond-Level Duration-Matched Treasury Returns for WRDS Bond Returns Data Data and Readme
- Duration-Adjusted CAPM Factors
- Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns, 2025, with Söhnke Bartram and Mark Grinblatt, Journal of Financial and Quantitative Analysis 60, pp1185-1233.
- A Benchmark for Collateralized Loan Obligations, 2025, with Redouane Elkamhi and Ruicong Li, Management Science 71, pp1865-1888.
- The Global Credit Spread Puzzle, 2025, with Jingzhi Huang and Zhan Shi, Journal of Finance 80, pp101-162.
- Options Trading, Managerial Risk-Taking, and Brand Development, 2025, with Po-Hsuan Hsu and Fengfei Li, Journal of Banking and Finance 170, 107319.
- A One-Factor Model of Corporate Bond Premia, 2024, with Redouane Elkamhi and Chanik Jo, Management Science 70, 3, pp1875-1900. Online Appendix
- Fire-Sale Risk in the Leveraged Loan Market, 2022, with Redouane Elkamhi, Journal of Financial Economics 146, 3, pp1120-1147. Online Appendix
- Liquidity Supply in the Corporate Bond Market, 2021, with Jonathan Goldberg, Journal of Finance 76, 2, pp755-796. Online Appendix
- Corporate Bond Market Reactions to Quantitative Easing During the COVID-19 Pandemic, 2021, with Yancheng Qiu, Journal of Banking and Finance 133, 106153.
- Option-Based Credit Spreads, 2018, with Chris Culp and Pietro Veronesi, American Economic Review 108, 2, pp454-488. Online Appendix Data
- Winner: 2015 AQR Insight Award, First Prize
- What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach, 2017, Journal of Finance 72, 5, pp2045-2072. Online Appendix
- Winner: Maru Junko Best Paper Prize, Japan Finance Association
- Are Capital Market Anomalies Common to Equity and Corporate Bond Markets?, 2017, with Tarun Chordia, Amit Goyal, Avanidhar Subrahmanyam, Qing Tong, Journal of Financial and Quantitative Analysis 52, 4, pp1301-1342.
Working Papers
- Passive Ownership and Corporate Bond Lending (November 2025) with Amit Goyal and Yancheng Qiu.
- Inflation, Default, and Corporate Bond Returns (July 2025) with Xiaomeng Lu and Zhaogang Song.
- Factor Investing with Delays (July 2025) with Alex Dickerson and Cesare Robotti.
- Disagreement and Bond PEAD (December 2025) with Yancheng Qiu and Yan Xiong.
- Revision Requested, Management Science
- Option-Implied Spreads and Option Risk Premia (June 2021) with Chris Culp, Mihir Gandhi and Pietro Veronesi.
Publications (Japanese)
- On the Empirical Applications of the Merton model and its Extensions, 2016, Current Finance 38, pp3-25.
Policy Publications
- The Effects of FOMC Communications before Policy Tightening in 1994 and 2004 (September 2015) with Ellen Meade, Lubomir Petrasek and Joyce Zickler, FEDS Notes 2015-02-024
Research Grant
- SSHRC Insight Grant (PI), 2025-2029
- SSHRC Insight Development Grant (PI), 2023-2025
- Connaught New Researcher Award, 2023-2025
- Research Competitiveness Fund, University of Toronto Scarborough, 2021-2022
- Early Career Scheme Grant, Hong Kong Research Grants Council (RGC), 2019-2021
Conference Presentations
| 2026 | AFA, Four Corners Academic Meeting (Scheduled) |
| 2025 | University of Kansas Finance Conference, Stern Market Microstructure Meeting, EFA, NFA, Fixed Income and Financial Institutions Conference |
| 2024 | MFA, World Symposium on Investment Research, NFA |
| 2023 | SFS Cavalcade, LUISS Finance Workshop |
| 2022 | AFA, MFA, ABFER |
| 2021 | WFA, Japan Finance Association, EFA, NFA, FMA, NZFM |
| 2020 | AFA, Japan Finance Association, NBER Summer Institute |
| 2019 | AFA, Dolomite Winter Finance Conference, University of Connecticut Finance Conference, Erasmus Liquidity Conference, Japan Finance Association, CICF, SAFE Market Microstructure Conference, Melbourne Asset Pricing Meeting, ANU Summer Research Camp |
| 2018 | Finance Down Under, HEC-McGill Winter Finance Conference, Baltimore Area Finance Conference, ITAM Finance Conference, Asian FA, CICF, Central Bank Conference on the Microstructure of Financial Markets, Canon Global Institute |
| 2017 | EFM Symposium, Japan Finance Association, CICF, Northern Finance Association |
| 2016 | CICF, Risk Management Conference at NUS, EFA |
| 2015 | CICF, Japan Finance Association |
| 2014 | MFA, Erasmus Credit Conference, SFM |
(The list above does not include presentations by coauthors.)
Seminars
| 2026 | (Scheduled) New York Fed, SUNY Buffalo, University of Melbourne, Monash University, Deakin University, FRB, Hong Kong PolyU |
| 2025 | University of Wisconsin, Southern Methodist University, University of Sydney, University of Technology Sydney, University of New South Wales, Dartmouth College, McMaster University |
| 2024 | UNC Chapel Hill, Temple University, Atlanta Fed, University of Georgia, University of British Columbia, University of Lausanne, University of Illinois at Urbana-Champaign, Texas A&M University |
| 2023 | Tokyo Metropolitan University |
| 2022 | University of Tokyo, Tokyo Metropolitan University, UNSW |
| 2021 | National University of Singapore, Korea Advanced Institute of Technology, Fudan FISF, Claremont McKenna College, Tinbergen Institute |
| 2020 | Tokyo Metropolitan University, University of Toronto (Rotman), Shanghai Advanced Institute of Finance, University of Melbourne, Hitotsubashi University, Seoul National University, University of Osaka, U.S. Treasury OFR, Chicago Fed, Waseda University |
| 2019 | Lugano, Tsinghua PBC, Southwestern University of Finance and Economics, Monash |
| 2018 | Hitotsubashi, Osaka, Australian National University, Tokyo Metropolitan University |
| 2017 | HKUST, HK PolyU, Maryland, FRB, Hitotsubashi U, Philladelphia Fed, Hong Kong U, National University of Singapore, Penn State, UCSD Rady |
| 2016 | Bank of Japan, Keio University |
| 2015 | UW Foster, Hitotsubashi University, Keio University |
| 2014 | FRB, Chicago Fed, NY Fed, Aoyama-Gakuin U, Waseda U, U Tokyo, Hitotsubashi ICS |
(The list above does not include presentations by coauthors.)
Discussions
| 2025 | "Pricing of Corporate Bonds: Evidence From a Century-Long Cross-Section" by Mohammad Ghaderi, Sébastien Plante, Nikolai Roussanov, Sang Byung Seo at the FIRS Meeting |
| "Movements in Yields, not the Equity Premium: Bernanke-Kuttner Redux" by Stefan Nagel and Zhengyang Xu at the CUHK-RAPS-RCFS Conference | |
| "Safe Assets in Emerging Market Economies" by Cristian Cuevas at the AFA Annual Meeting | |
| 2024 | When Do Treasuries Earn the Convenience Yield? A Hedging Perspectiv by Viral V. Acharya and Toomas Laarits at the Fixed Income and Financial Institutions Conference |
| "Corporate Bond Factor Zoo" by Alex Dickerson, Christian Julliard, and Phillip Mueller at the WFA Annual Meeting | |
| "Corporate Bond Multipliers: Substitutes Matter" by Manav Chaudhary, Zhiyu Fu, and Jian Li at the Yiran Fan Memorial Conference | |
| "Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds" by Lorenzo Bretscher, Lukas Schmid and Tiange Ye at the AFA Annual Meeting | |
| 2023 | "The Price of Macroeconomic Uncertainty: Evidence from Daily Option Expirations" by Juan Londono and Mehrdad Samadi at the UNSW Asset Pricing Workshop |
| "Forward Guidance and Its Effectiveness: A Macro-Finance Shadow-Rate Framework" by Junko Koeda and Bin Wei at the NFA Annual Meeting | |
| "Interdealer Price Dispersion" by Andrea L. Eisfeldt, Bernard Herskovic, and Shuo Liu at the FIRS Annual Meeting | |
| "Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads" by Samuel Hanson, Aytek Malkhozov, and Gyuri Venter at the Advances in Fixed Income Macro-Finance Research Conference | |
| "Duration-Based Valuation of Corporate Bonds" by Jules van Binsbergen and Michael Schwert at the AFA Annual Meeting | |
| "Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?" by Tinghua Duan, Frank Weikai Li, and Quan Wen at the AFA Annual Meeting | |
| 2022 | "Speculation and Liquidity in Stock and Corporate Bond Markets" by Paolo Pasquariello and Mirela Sandulescu at the UNSW Asset Pricing Workshop |
| "Risk Aversion in Corporate Bond Markets" by Antje Berndt, Ilya Dergunov, and Jean Helwege at CICF | |
| "Do Credit Markets Respond To Macroeconomic Shocks? The Case For Reverse Causality" by Martijn Boons, Giorgio Ottonello, and Rossen Valkanov at the WFA Annual Meeting | |
| "The Debt-Equity Spread" by Hui Chen, Zhiyao Chen, and Jun Li at the MFA Annual Meeting | |
| "Do Firms Benefit From Carbon Risk Management?: Evidence From Credit Default Swap Market" by Huu Nhan Duong, Petko S. Kalev, Madhu Kalimipalli, and Saurabh Trivedi at the MFA Annual Meeting | |
| "Financing Infrastructure with Inattentive Investors: The Case of US Municipal Governments" by Ehsan Azarmsa at the MFA Annual Meeting | |
| 2020 | "How integrated are credit and equity markets? Evidence from index options" by Pierre Collin-Dufresne, Benjamin Junge, Anders B. Trolle at the EFA Annual Meeting |
| 2019 | "Same Firm, Different Betas" by Ryan Lewis at the Colorado Finance Summit |
| "Ownership Networks and Bid Rigging" by Kentaro Asai and Ben Charoenwong at the ANU Summer Research Camp | |
| "Premium for Heightened Uncertainty: Solving the FOMC Puzzle" by Grace Xing Hu, Jun Pan, Jiang Wang, and Haoxiang Zhu at CICF | |
| "Policy Interventions, Liquidity, And Clientele Effects In The Chinese Corporate Credit Bond Market" by Jingyuan Mo and Marti G. Subrahmanyam at CICF | |
| "Reaching for Yield and Overpricing in Bonds" by Qianwen Chen and Jaewon Choi at CICF | |
| "CDS Trading and Banking Relationship" by Chenyu Shan, Dragon Yongjun Tang and Hong Yan at CICF | |
| "Subjective Bond Risk Premia and Belief Aggregation" by Andrea Buraschi, Ilaria Piatti and Paul Whelan at the CEPR-CUHK-ABFER Conference | |
| 2018 | "Are Short Selling Restrictions Effective?" by Yashar H. Barardehi, Andrew Bird, Stephen A. Karolyi, and Thomas G. Ruchti at the HKUST Finance Symposium |
| "Credit and Option Risk Premia" by Lars-Alexander Kuehn, David Schreindorfer and Florian Schulz at the SFS Cavalcade | |
| 2017 | "Low Risk Anomalies?" by Paul Schneider, Christian Wagner and Josef Zechner at the AFA Annual Meeting |
| "Municipal Bond Ratings and Style-Related Comovement: Evidence from Moody's Recalibration" by Xinyuan Stacie Tao and Chunchi Wu at CICF 2017 | |
| "Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs" by Jaewon Choi and Yesol Huh at CICF 2017 | |
| 2016 | "Credit Ratings, Credit Crunches, and the Pricing of Collateralized Debt Obligations" by Alexander David and Maksim Isakin at the ITAM Finance Conference |
| 2015 | "Why Does Return Predictability Concentrate in Bad Times?" by Julien Cujean and Michael Hasler at the EFA Annual Meeting |
| 2014 | "Betting on Total Asset Growth Reversal: The Role of Style Investing and Extrapolation Bias" by Eric Lam and K.C. John Wei at the SFM 2014 Conference |
| "Nominal Term Spread, Real Rate and Consumption Growth" by Anna Cieslak and Pavol Povala, at the Foster Summer Finance Conference |
Referee Service
International Review of Finance, Journal of Banking and Finance, Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Financial Markets, Journal of Monetary Economics, Management Science, Review of Asset Pricing Studies, Review of Finance, Review of Financial Studies
Old Working Papers
- Option Trading, Managerial Risk-taking, and Brand Development (September 2021) with Po-Hsuan Hsu and Fengfei Li.
- Is There Froth in the Corporate Bond Market? (January 2019)