Working Papers

The Unpriced Risk in Momentum Strategies

Cheng Gao, Peixuan Yuan

Revision Requested, Journal of Finance

The Anatomy of Industry Momentum

Cheng Gao, Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou

Reject & Resubmit, Management Science

Episodic Factor Pricing

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou

Expectation Bias and Short-term Momentum

Cheng Gao, Siyuan Ma, Peixuan Yuan

Systematic Momentum in Corporate Bond Returns

Cheng Gao, Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou

Dissecting Momentum in China

Xin Liu, Songtao Tan, Yuchen Xu, Peixuan Yuan, Yun Zhu

Biased Expectations and Conditional Size Effect

Cheng Gao, Peixuan Yuan

Predictive Information in Corporate Bonds for the Equity Premium

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou

Momentum and Factor Momentum: A Re-examination

Cheng Gao, Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou