Working papers
Entity Neutering (with Joseph Engelberg, Asaf Manela, William Mullins and Luka Vulicevic)
Working Paper | Citation | Slides
Chronologically Consistent Large Language Models (with Songrun He, Linying Lv and Jimmy Wu)
Working Paper | Citation | Models | Slides
Fundamentals of Perpetual Futures (with Songrun He, Omri Ross and Victor von Wachter)
Working Paper | Citation | Slides | Video
The Value of Data to Fixed Income Investors (with Jennie Bai and Jane Li)
Publications
The Natural Language of Finance (with Gerard Hoberg)
Foundations and Trends in Finance, forthcoming | Citation
Does Finance Benefit Society? A Language Embedding Approach (with Manish Jha and Hongyi Liu)
Review of Financial Studies, forthcoming | Citation | Video | Blog | Data | Code | Working Paper
Liquidity and the Strategic Value of Information (with Ohad Kadan)
Review of Finance, Volume 29, Issue 1, January 2025, pp. 1–32 (Lead article) | Citation | Data | Working Paper
Business News and Business Cycles (with Leland Bybee, Bryan Kelly and Dacheng Xiu)
Journal of Finance, 2024, Volume 79, Issue 5, pp. 3105–3147 | DFA Distinguished Paper Prize, 2025 AFA Meetings | Citation | Video | Data | Working Paper
The Partisanship of Financial Regulators (with Joseph Engelberg, Matthew Henriksson and Jared Williams)
Review of Financial Studies, 2023, Vol 36, Issue 11, pp. 4373–4416 | Citation | Working Paper | Data
Text Selection (with Bryan Kelly and Alan Moreira)
Journal of Business & Economic Statistics, 2021, Vol 39, Issue 4, pp. 859–879 | Citation | Slides | Code | Working Paper
Natural Disaster Effects on Popular Sentiment Toward Finance (with Manish Jha and Hongyi Liu)
Journal of Financial and Quantitative Analysis, 2021, Vol 56, Issue 7, pp. 2584–2604 | Citation | Video | Blog
Hub-and-Spoke Regulation and Bank Leverage (with Yadav Gopalan and Ankit Kalda)
Review of Finance, 2021, Vol 25, Issue 5, pp. 1499–1545 | Citation | Working Paper
Estimating the Value of Information (with Ohad Kadan)
Review of Financial Studies, 2019, Vol 32, Issue 3, pp. 951–991 | Best Paper Award, 2016 FMA Conference on Derivatives and Volatility at CBOE | Citation | Slides | Working Paper | Online Appendix
Intermediary Asset Pricing: New Evidence from Many Asset Classes (with Zhiguo He and Bryan Kelly)
Journal of Financial Economics, 2017, Vol 126, Issue 1, pp. 1–35 (Lead article) | Citation | Slides | Data | Working Paper
News Implied Volatility and Disaster Concerns (with Alan Moreira)
Journal of Financial Economics, 2017, Vol 123, Issue 1, pp. 137–162 | Citation | Slides | Data | Working Paper
The Shadow Cost of Bank Capital Requirements (with Roni Kisin)
Review of Financial Studies, 2016, Vol 29, Issue 7, pp. 1780–1820 | Best Paper Award, 2013 Financial Research Association Meetings | Citation | Slides | Working Paper
Information Acquisition in Rumor-Based Bank Runs (with Zhiguo He)
Journal of Finance, 2016, Vol 71, Issue 3, pp. 1113–1158 | Citation | Slides | Working Paper
The Value of Diffusing Information*
Journal of Financial Economics, 2014, Vol 111, Issue 1, pp. 181–199 | Citation | Working Paper