Associate Professor of Finance,
The Ohio State University, 1997-1999
Assistant Professor of Finance,
The Ohio State University, 1995-1997
Assistant Professor of Finance,
University of Wisconsin - Madison, 1990-1995
EDUCATION
Ph.D. Yale University, 1990
M.S. Changsha Institute of
Technology, China, 1986
B.S. Central-South University
of Technology, China, 1983
PUBLICATIONS
"Do Call Prices and the Underlying Stock Always Move in the Same Direction?"
with Gurdip Bakshi and Charles Cao, forthcoming in the Review of Financial
Studies, 2000.
"Models of Currency Option Pricing," with Gurdip Bkshi, in Advanced
Fixed-Income Valuation Tools, edited by N. Jegadeesh and B. Tuckman,
2000, pp. 320-344.
"Pricing and Hedging Long-Term Options," with Gurdip Bakshi and Charles
Cao, Journal of Econometrics 94, January 2000, pp. 277-318.
"Empirical Performance of Alternative Option Pricing Models," with
Gurdip Bakshi and Charles Cao, Journal of Finance, Vol. 52, No.
5, December 1997.
"An Alternative Valuation Model for Contingent Claims" , with Gurdip Bakshi,
Journal
of Financial Economics 44, (1997), pp. 123-165.
"Equilibrium Valuation of Foreign Exchange Claims", with Gurdip Bakshi,
Journal
of Finance, (June 1997), pp. 799-826.
"The Spirit of Capitalism and Stock Market Prices," with Gurdip Bakshi,
American
Economic Review, Vol. 86 No. 1, (March 1996), pp. 133-157.
"Portfolio Performance Measurement: Theory and Applications," with Peter
Knez, Review of Financial Studies, Vol. 9 No. 2, (June 1996), pp.
507-551.
"Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary
Economics," with Gurdip Bakshi, Review of Financial Studies, Vol.
9 No. 1, (March 1996), 237-271.
"Financial Innovation and Arbitrage Pricing in Frictional Economies," Journal
of Economic Theory, Vol. 65 No. 1, (Feb 1995), pp. 117-135.
"Measurement of Market Integration and Arbitrage," with Peter Knez, Review
of Financial Studies, Vol. 8 No. 2, (June 1995), pp. 287-325.
"Baby Boom, Population Aging, and Capital Markets," with Gurdip Bakshi,
Journal
of Business, Vol. 67 No. 2, (1994), pp. 165--202.
"A Pricing Operator-Based Testing Foundation for a Class of Factor Pricing
Models," with Peter Knez, Mathematical Finance, Vol. 4 No. 2, (April
1994), pp. 121-141.
"Production-Based Asset Pricing in Japan," with Gurdip Bakshi and Atsuyuki
Naka, Pacific-Basin Finance Journal, Vol. 3, (1995), pp. 217-240.
WORKING PAPERS
"Nonparametric Predictions of Future Stock Returns," with Y. Sun, 2000.
"A Valuation Study of Stock Return Seasonalities," with J. Jindra, 2000.
"Investing with a Stock Valuation Model," with Chia-yu Chang and Ming Dong,
1999.
"Stock Valuation in Dynamic Economies," with Gurdip Bakshi, 1997.
"Informed Trading in Options Markets," with Charles Cao and John Griffin,
1999.
"Can Markovian Models Explain Option-Price Dynamics? --- Lessons from High-Frequency
Option Data," with Gurdip Bakshi and Charles Cao, 1997.
"Asset Pricing without Consumption or Market Portfolio Data," with Gurdip
Bakshi, 1996
"Viable Costs and Equilibrium Prices in Frictional Securities Markets,"
2000.
"Market Frictions and the Preferred Habitat Theory of the Term Structure
of Interest Rates," with Gurdip Bakshi, 1994.
"Stochastic Dominance and Mutual Fund Separation in Multiperiod Securities
Markets," 1990.
``Arbitrage and Optimal Security Design," 1992.
``Arbitrage in the Treasury Bond Market", with Mark Fedenia, 1993.
HONORS
Pacesetter Research Award, 1999
Merton Miller Prize 1994
Chicago Board Options Exchange Competitive Research Award, 1994
PACAP Research Fellow, 1994-1995
Yale Fellowship, 1986-1990
COURSES TAUGHT
Financial Economics I (Ph.D. course), Theory of Finance (Ph.D.),
Investment Management (MBA), Futures and Options (MBA & undergraduate),
Investments: Theory and Practice (MBA & undergraduate)