Research

My research focuses on empirical asset pricing, international finance and sustainable finance. Within these fields, it involves stock return predictability; corporate social responsibility; climate change risk; American depositary receipts; idiosyncratic volatility; portfolio management; and exchange-traded funds. I also serve as a reviewer for journals, as a committee member for academic conferences such as Financial Management Association, and as an assessor for research grants including SSHRC Insight Grant.

Journal Publications

[14] The Cross-section of Expected Stock Returns and Components of Idiosyncratic Volatility (with S. R. Tabatabaei Poudeh). 2022. Journal of Risk Finance, Accepted. Download the Paper.

[13] The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns (with S. R. Tabatabaei Poudeh and S. Choi). 2022. Risks, 10, 57. Download the Paper.

[12] CSR disclosure of foreign versus U.S. firms: Evidence from ADRs (with R. H. Chowdhury, Q. Huang and N. Lin). 2021. Journal of International Financial Markets, Institutions and Money, 70, 101275. Download the Paper.

[11] What drives oil prices? A Markov switching VAR approach (with X. Gong, K. Guan, L. Chen and T. Liu). 2021. Resources Policy, 74, 102316. Download the Paper.

[10] Too High to Get it Right: The Effect of Cannabis Legalization on the Performance of Cannabis-Related Stocks (with F. Chen, S. Choi and J. Nycholat). 2021. Economic Analysis and Policy, 72, 715-734. Download the Paper.

[9] Time-varying Risk and the Relation between Idiosyncratic Risk and Stock Return. 2021. Journal of Risk and Financial Management, 14, 9. Download the Paper.

[8] The Valuation of ADR IPOs (with W. Huo, Y. Huang and S. X. Zheng). 2018. Journal of International Financial Markets, Institutions and Money, 53, 215-226. Download the Paper.

[7] Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models. 2018. Risks, 6, 124. Download the Paper.

[6] Investor Sentiment and Portfolio Selection (with G. Jacoby and Y. Wang). 2015. Finance Research Letters, 15, 266–273. Download the Paper.

Working Papers

[5] A Separation Analysis of the Idiosyncratic Volatility-Return Relation (with G. Jiang, G. Jacoby and L. Lu). Download the Paper.

[4] The Value of Investor Sophistication (with G. Jacoby, N. Lin and L. Lu). Download the Paper.

[3] Do ETFs affect ADRs and U.S. domestic stocks differently? (with Q. Huang and H. Tang). Download the Paper.

[2] International Political Uncertainty and Climate Risk Premium (with X. Gong, Q. Huang and M. Lin). Download the Paper.

[1] Stock Trend Prediction Framework based on Line Segment Algorithm and Deep Learning (with Z. Liang, F. Jiang and L. Chen).

Grants and Awards

SSHRC SIG Explore Grant, 2022-2023.

General Research Fund in Social Sciences and Humanities, 2021-2022.

Statistics Canada RDC Research Award, 2021-2022.

Pedagogical Development Fund, 2020.

Bridge Research Grant, 2019-2021.

Publication Grant, 2019.

Conference Travel Grant, 2018-2019.

Research Start-up Fund, 2018-2021.

Ad-hoc Journal Reviewer

European Journal of Finance; Emerging Markets Review; Pacific-Basin Finance Journal; Finance Research Letters; Journal of International Financial Markets, Institutions and Money; Accounting and Finance; Economics Letters; Cogent Economics and Finance; Review of Financial Economics; Emerging Markets Finance and Trade; China Finance Review International; Applied Finance Letters.