PUBLICATION

Risks and Returns of Cryptocurrencywith Aleh Tsyvinski

Review of Financial Studies, 2021, Editor’s Choice

Common Risk Factors in Cryptocurrency”, with Aleh Tsyvinski and Xi Wu

Journal of Finance, 2022  [3-Factor Data]

Long Run Risk: Is It There?”, with Ben Matthies

Journal of Finance, 2022  [N-index Data]

Working paper

Weighted-Average Quantile Regression”, with Denis Chetverikov and Aleh Tsyvinski, 2022

The Economics of Non-Fungible Tokens”, with Nicola Borri and Aleh Tsyvinski, 2022 (R&R, Journal of Finance)

Institutional Investor Attention”, with Alan Kwan and Ben Matthies, 2022 (R&R, Journal of Finance)

Accounting for Cryptocurrency Value”, with Aleh Tsyvinski and Xi Wu, 2021

Factor Clustering with t-SNE”, with Philip Greengard, Stefan Steinerberger, and Aleh Tsyvinski, 2020
The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different?”, with Jacob Boudoukh, Toby Moskowitz, and Matthew Richardson, 2020

Labor Links, Comovement and Predictable Returns”, with Xi Wu, 2019

  • Winner, Q-Group Jack Treynor Prize
  • WFA Cubist Systematic Strategies Award
  • Best Paper Award, TAMU Young Scholars Finance Consortium
  • Chicago Quantitative Alliance Annual Academic Competition, Second Prize
  • Crowell Memorial Prize, PanAgora Asset Management Finalist

Labor-Based Asset Pricing”, 2019

  • Winner, Blackrock Applied Research Award
Do Cryptocurrencies Have Fundamental Value?”, with Jinfei Sheng and Wanyi Wang, 2019
  • AMTD FinTech Center Prize at Asian Finance Association

How Does Shareholder Governance Affect the Cost of Borrowing?”, with Xi Wu, 2019 (R&R, Journal of Accounting and Economics)