Refereed publications:

l“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.

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

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

l “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.

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

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

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

l “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.

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

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

l “... 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.