经济学研究所

Institute of Economics

Education background

 09/2004 — 07/2008, University of Cambridge, PHD in Finance

03/2003 — 03/2004, University of California Berkeley, Master of Financial Engineering

(with distinction and David Pyle best applied project award)

 09/1995 — 07/2002, Tsinghua University, Bachelar/Master in Material Science

09/1998 — 07/2000, Tsinghua University, Bachelar in Economics

Experience

11/2014 — now, Institute of Economics, School of Social Science, Tsinghua University,

Professor

09/2013 — 10/2014, Hanqing Institute of Economics and Finance, Renmin University

of China, Professor

 09/2009 — 08/2013, Hanqing Institute of Economics and Finance, Renmin University

of China, Associate Professor

 07/2008 — 09/2009, Hanqing Institute of Economics and Finance, Renmin University

of China, Assistant Professor

Social service

Executive Editor, Quantitative Finance

Academic Achievement

Published papers

1. Commodity As Collateral with Haoxiang Zhu (MIT), Review of Financial Studies, 2016, 29, 2110-2160.
2. Economic Linkages, Relative Scarcity, and Commodity Futures Returns with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University) , Review of Financial Studies, 2013, 26, 1324-1362.
3. Index Investment and the Financialization of Commodities with Wei Xiong (Princeton University), Financial Analyst Journal, 2012, 68, 54-74.
4. Commodity Investing with K. Geert Rouwenhorst (Yale University), Annual Review of Financial Economics, 2012, 4, 447–467.
5. Long Term Spread Option Valuation and Hedging with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Journal of Banking and Finance, 2008, 32, 2530-2540.
6. No-arbitrage Conditions for Storable Commodities and the Modelling of Futures Term Structures with Peng Liu (Cornell University), Journal of Banking and Finance, 2010, 34, 1675-1687.
7. Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities with Michael Dempster (Cambridge University), Journal of Banking and Finance, 2011, 35, 639-652.
8. The Stochastic Behavior of Commodity Prices with Heteroskedasticity in the Convenience Yield with Peng Liu (Cornell University), Journal of Empirical Finance, 2011, 18, 211-224.
9. Time-varying Long Run Mean of Commodity Prices and the Modelling of Futures Term Structure, Quantitative Finance, 2012, 12, 781-790.
10. Determinants of Oil Futures Prices and Convenience Yields with Michael Dempster (Cambridge University) and Elena Medova (Cambridge University), Quantitative Finance, 2012,12,1795-1809.
11. The Determinants of Homebuilder Stock Price Exposure to Lumber: Production Cost versus Housing Demand with Peng Liu (Cornell University) and Xiaomeng Lu (Cornell University), Journal of Housing Economics, 2012, 21, 211-222.
12. Maximal Affine Models for Multiple Commodities: A Note with Jaime Casassus (Pontificia Universidad Catolica de Chile) and Peng Liu (Cornell University), Journal of Futures Markets, 2015, 35, 75-86.
13. Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market with Changyun Wang (Renmin University of China), Emerging Market Finance and Trade, 2011, 47, 47-60.
14. Size and Performance of Chinese Mutual Funds: The Role of Economy of Scale and Liquidity with Wenjun Wang (Renmin University of China) and Rong Xu (Renmin University of China), Pacific-Basin Finance Journal, 2012, 20, 228-246.
15. Are Chinese Warrants Derivatives? Evidence from Connections to their Underlying Stocks with Changyun Wang (Renmin University of China), Quantitative Finance, 2013, 13, 1225-1240.
16. China’s Imported Inflation and Global Commodity Prices with Changyun Wang (Renmin University of China) and Shiyi Wang (Renmin University of China), Emerging Market Finance and Trade, 2014, 50, 162–177.
17. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? with Liyan Han (Beihang University) and Rong Liang (Renmin University of China) Quantitative Finance, 2013,13,613-626.
18. Institutional Asset Pricing with Heterogeneous Beliefs with Zhigang Qiu (Renmin University of China), Shiyang Huang (London School of Economics) and Qi Shang (Renmin University of China), Journal of Banking and Finance, 2013, 37,  4107-4119.