2025.06-present: Director, Research Center for Computational Finance, Shenzhen

Institute of Economics and Management, Tsinghua University

2024.10-present: Vice Dean, Institute of Innovation Management, Tsinghua Shenzhen

International Graduate School

2024.03-present: Vice Dean, Shenzhen Institute of Economics and Management, Tsinghua

University

2023.08-present: Chair Professor, Institute of Innovation Management, Tsinghua Shenzhen

International Graduate School & Department of Finance, School of Economics and

Management, Tsinghua University

2023.04-2023.08: Professor, Department of Finance, Krannert School of Management,

Purdue University

2022.04-2023.04: Associate Professor, Department of Finance, Krannert School of

Management, Purdue University

2019.06-2022.04: Assistant Professor, Department of Finance, Krannert School of

Management, Purdue University

2014.08-2019.06: Assistant Professor, Department of Finance, Mays Business School, Texas

A&M University

Empirical and theoretical asset pricing, investment analysis, factor investment and practice, financial econometrics, big data financial modeling

Empirical and theoretical asset pricing, performance evaluation (mutual funds and hedge funds), financial econometrics, big data financial modeling, machine learning applications, alternative financial data and applications, financial safety and risk management

Prospective PhD Applications

We offer several Ph.D. positions each year, with an emphasis on training researchers in fintech and interdisciplinary areas. Applicants with solid foundations in mathematics, statistics, or computer science are particularly encouraged to apply

Refereed publications:

• “Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach”, with Stefano Cassella, Te-feng Chen, and Huseyin Gulen, 2024. Forthcoming, Journal of Financial Economics.

• “Optimal Cross-Sectional Regression”, with Zhipeng Liao and Zhenzhen Xie, 2024. Management Science.

• “Reconstructing the Yield Curve”, with Jing Cynthia Wu, 2021. Journal of Financial Economics, 142, 1395-1425.

• “Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence”, with Campbell R. Harvey. 2022. Journal of Finance，77， 1921-1966.

• “Index Option Returns and Generalized Entropy Bounds” (single authored), 2021. Journal of Financial Economics, 139, 1015–1036.

• “False (and Missed) Discoveries in Financial Economics”, with Campbell R. Harvey, 2020. Journal of Finance, 75, 2503–2553.

• “Lucky Factors?”, with Campbell R. Harvey, 2021. Journal of Financial Economics, 141, 413–435.

• “An Evaluation of Alternative Multiple Testing Methods for Finance Applications”, with Campbell R. Harvey and Alessio Saretto, 2020. Review of Asset Pricing Studies, 10, 199-248.

• “Cross-Sectional Alpha Dispersion and Performance Evaluation”, with Campbell R. Harvey, 2019. Journal of Financial Economics, 134, 273–296.

• “Detecting Repeatable Performance”, with Campbell R. Harvey, 2018. Review of Financial Studies, 31, 2499–2552.

• “... and the Cross-section of Expected Returns”, with Campbell R. Harvey and Heqing Zhu, 2016. Review of Financial Studies, 29, 5-72.

  
  

Other publications:

• “Luck vs. Skill and Factor Selection”, with Campbell R. Harvey, 2017. In John Cochrane and Tobias J. Moskowitz, eds.: The Fama Portfolio (University of Chicago Press, Chicago).

• “Backtesting”, with Campbell R. Harvey, 2015. Journal of Portfolio Management, 42(1), 12-38.

• “Evaluating Trading Strategies”, with Campbell R. Harvey, 2014. Journal of Portfolio Management, 40(5), 108-118.