Momentum profits, factor pricing, and macroeconomic risk (with Lu Zhang, supersedes "Momentum profits and macroeconomic risk" and "Economic fundamentals, risk, and momentum profits"), 2008, Review of Financial Studies, 21 (6), 2417-2448.

 

    Data used in the paper:

 

· Chen, Roll and Ross 5 factors [Read Me File] (Updated Aug, 10, 2010)

 

· Momentum return (sort by past 6 months return, skip one month and hold for 6 month)

 

 

 

Historical market-to-book in a partial-adjustment model of leverage (supersedes "Do firms have target leverage ratios? Evidence from historical market-to-book and past returns"), 2009, Journal of Corporate Finance, 15 (5), 602–612.

 

· Best Corporate Finance Paper Award in the Western Finance Association Annual Meeting in 2005

 

· Best PhD Paper Award in Southwestern Finance Association Annual Meeting, 2005  

 

 

 

Investment-based expected stock returns (with Toni Whited and Lu Zhang, supersedes "Regularities") 2009, Journal of Political Economy, 117 (6), 1105-1139.

 

· Internet Appendix

 

· Gauss programs and data

 

· Matlab programs and data

 

 

Intangible assets and cross-sectional stock returns: Evidence from structural estimation (with Erica Xuenan Li)

 

The long run role of the media: Evidence from Initial Public Offerings (with Ann E. Sherman and Yong Zhang)

 

 

The use of asset-backed securitization and capital structure in industrial firms - An empirical investigation (with Mike Lemmon and Mike Qinghao Mao)   

 

 

A model of momentum (with Lu Zhang)