Educational Background

Degrees granted/granting universities:

• Ph.D., University of Minnesota – Twin Cities, 1998
• MS, Shanghai Jiao Tong University, China, 1986
• BS, East China Normal University, Shanghai, China, 1983

Teaching Profession

Years at SOM, Binghamton University:

2005 - Present

Most Significant Publications

• “Risk reduction in large portfolios: Why imposing the wrong constraints helps,” with Ravi Jagannathan. Journal of Finance 58, No. 4, 1651-1683, 2003.An earlier version also appears as NBER working paper #8922.
• “Tick size, NYSE rule 118, and the ex-dividend day price drop,” with Keith Jakob, Journal of Financial Economics 72, No. 3, 605-625, 2004.
• “Limit order adjustment mechanisms and ex-dividend day stock price behavior,” with Keith Jakob. Financial Management 34, No 3, 89-101.
• “Bayesian inference for security price volatility using daily high and low prices,” Journal of Financial Engineering 6, No. 2, 99-119, 1997.
• “Order imbalance around ex-dividend days,” with Keith Jakob. Journal of Financial Research, 26, No. 1, 65-75, 2003.
• “The economic growth of central and eastern Europe in comparative perspective: 1870-1989.” with David F. Good. European Review of Economic History 3, No.2, 103-137, 1999.
• “New estimates of income levels in central and eastern Europe, 1870-1910,” with David F. Good. in Franz Balzarek, Felix Butscheck, and Gunther Tichy, eds. Von der Theorie zur Wirtschaftspolitic-ein _sterreichischer Weg. Festschriftzum 65. Geburtstag von Erich Streissler (Stuttgart: Lucius/Lucius Verlagsgesellschaft mbH.), 147-168, 1998.
• Invited book review of “Efficient Asset Management,” (by Richard Michaud, Harvard Business School Press, 1998), Review of Financial Studies, July 2001.

• “Assessing the risk in sample efficient portfolios,” with Gopal Basak and Ravi Jagannathan, NBER working paper # 10447.
• “Analyst earnings forecast and equity return anomalies,” with Ravi Jagannathan and Antonio Baldaque da Silva.
• “Prospect theory and the long-run performance of IPO stocks,” with Yiyu Shen.
• “Are ex-dividend clientele effects dead? Dividend yield versus dividend size,” with Keith Jakob.
• “Shortsale constraints and the weekend effect: The case of Hong Kong,” with Paul Gao and Ivalina Kalcheva.
• “On testing the CAPM using a subset of assets.”

Conference Presentation

• “Does analyst forecast bias drive equity return anomalies? An empirical investigation,” 2005 China International Conference in Finance, Kunming, China, July 2005.
• “Assessing the risk in sample efficient portfolios,” Simulation Based and Finite Sample Inference in Finance II Conference in Québec City 29-30 April 2005.
• “Prospect theory and the long-run performance of IPO stocks,” presented by my co-author at the 14th Annual Conference in Financial Economics and Accounting, Indiana University, October 31-November 1, 2003.
• “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,” the AFA annual conference, January 2002, Atlanta, Georgia.
• ------, the 12 th Annual Conference on Financial Economics and Accounting, September 2001, Rutgers University, New Jersey.
• ------, the APFA (Asia-Pacific Financial Association) meeting in July, 2001, in Bangkok, Thailand (accepted for presentation, but did not go there because of scheduling conflicts).
• “Bayesian Inference for Security Price Volatility Using Extreme Prices,” First International Conference on Computational Finance, Stanford University, August 1996.
• -------, the Third Annual Conference of the Chinese Finance Association, Columbia University, September 1996.

Invited Presentation

• “Assessing the risk in sample minimum risk portfolios,” Singapore Management University, July 2005.
• “Does analyst forecast drive equity return anomalies? An impirical investigation,” Binghamton University, February 2005.
• -----, University of Illinois, Chicago, February 2005.
• -----, University of Texas at Dallas, January 2005.
• -----, University of Utah, December 2004.
• “Assessing the risk in sample mean-variance efficient portfolios,” Kellogg Graduate School of Business, Northwestern University, May 2004.
• “Assessing the risk in mean-variance efficient portfolios,” presented by my co-author at Harvard Business School and the Norwegian School of Management, November 2003.
• “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,” INQUIRE annual autumn conference, September 2003, Cambridge, UK.
• ------, University of Illinois, September 2000.
• This paper is also presented by my co-author at Boston College, Emory, HEC, Hong Kong University of Science and Technology, INSEAD, Iowa, MIT, Rochester, and UT-Dallas.
• “Prospect theory and the long-run performance of IPO stocks,” University of Montana, October 2003.
• “Tick size, NYSE rule 118, and ex dividend day stock price behavior,” Federal Reserve Bank of Atlanta, June 2002.

Conference Discussion

• 2005 China International Conference, Kunming, China, July 2005.
• Simulation Based and Finite Sample Inference in Finance II Conference in Québec City 29-30 April 2005.
• The Western Finance Conference, Tucson, AZ, July 2001.
• The 12 th Annual Conference on Financial Economics and Accounting, Rutgers University, September 2001.
• 2002 FMA meetings.

Teaching Experience

• Assistant Professor, Department of Finance, University of Utah.
• Courses taught: Intermediate Investments (undergraduate), Managerial Economics (MBA), Risk management (MBA), Introduction to Financial Economics (Ph.D), Bayesian methods in financial research (part of a Ph.D seminar series).
• Teaching Assistant/Instructor, Department of Economics, University of Minnesota. Taught Introductory Economics, and TA for graduate econometrics.

Student Advising Services

• Andrew Qiu, Master’s thesis committee member, 2000.
• Keith Jakob, Ph.D. dissertation committee member, 2000.
• Steve Johnson, Ph.D. dissertation committee member, 2002.
• Scott Hoxer, Master’s thesis committee chair, 2003.
• Yu Wei, Ph.D. dissertation committee member, 2005.
• Sreedhari Desai, Master’s thesis committee member, 2005.
• Ph.D. dissertation committee member of: Mi Luo, James Turner.
• Ph.D. Student Supervising Committee member of: Paolo Miranda, Kyle Wells, Ryan Whitby.
• One of two faculty advisors to the Fall 2002 class of MS of Finance students.

Honors and Awards

• Morgan Stanly Equity Market Microstructure Research Grant (joint with Hank Bessembinder, Jia Hao, and Paul Gao), 2005.
• Distinguished Instructor, Department of Economics, University of Minnesota, 1994.
• Distinguished Teaching Assistant, Department of Economics, University of Minnesota, 1993, 1994, 1995.
• Summer Research Grant, David Eccles School of Business, multiple years.

Other Professional Activities

• Visitor, Kellogg School, Northwestern University, March 2003.
• Visiting Assistant Professor, the Kellogg School, Northwestern University, Jan – June, 2004.
• Economist, the State Planning Commission of China, 1986-91. Specializing in
• macroeconomic analysis and forecasting.

Referee for:

• Annals of Operations Research
• European Journal of Finance
• Financial Management
• International Journal of Business and Economics
• Journal of Applied Econometrics
• Journal of Banking and Finance
• Journal of Computational Economics
• Journal of Empirical Finance
• Journal of Finance
• Journal of Financial and Quantitative Analysis
• Journal of Financial Econometrics
• Journal of Financial Engineering
• Journal of Financial Research
• Management Science
• Review of Financial Studies
• Addison-Wesley Publishing Co.

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