Publications

The International Commonality of Idiosyncratic Variances, with Geert Bekaert and Xiaoyan Zhang

Management Science, forthcoming

We document strong global commonality in country idiosyncratic return variances across 23 developed markets, which is stronger than international return commonality. The global common factor of idiosyncratic return variances is highly correlated with that of idiosyncratic cash flow variances and is also significantly related to variables capturing aggregate discount rate variation and the conditional market variance. Furthermore, aggregate idiosyncratic return and cash flow variances are mostly but not always countercyclical.

Working Papers

The China-U.S. Equity Valuation Gap, with Geert Bekaert, Shuojia Ke, and Xiaoyan Zhang

Review of Financial Studies, Revise & Resubmit

The Chinese earnings yield differential relative to the U.S. switches from negative to positive around 2009, with the aggregate variation masking substantial cross-sector variation. Changes in sectoral composition and (changing) growth expectations are not important determinants of the variation in China-U.S. valuation differentials. Instead, changes in ownership structure, and most importantly cross-sectional and temporal variation in financial openness, are the key contributors. In addition, we show that IPOs in the banking sector and its internationalization played a critical role in the (relative) valuation change.

Location Matters: A Tale of Two Betas, with Geert Bekaert, Xiaoyan Zhang, and Yueqi Zhang

Globalization and Return Premium of Multinational Corporations: International Evidence, with Yeejin Jang and Xiaoyan Zhang

Activist-Driven Spin-Offs, with Yeejin Jang, John McConnell, and Samer Semaan

Is Carbon Risk Priced in the Chinese Stock Market? (in Chinese), with Xiaoyan Zhang, Xinran Zhang, and Yuchan Lyu