Ph.D., Boston University
Derivatives, Institutional Investors, Investments, Risk Management, Portfolio Management
Key Publications / Referred Journals
Please view Professor Feng's professional webpage for a complete list of publications and presentations.
“Sentiment and the Performance of Technical Indicators”, with N. Wang and E. J. Zychowicz, 2016, accepted for publication at Journal of Portfolio Management.
“The Relationship between the Option-implied Volatility Smile, Stock Returns and Heterogeneous Beliefs,” with G. C. Friesen and Y. Zhang, 2015, International Review of Financial Analysis 41: 62-73.
“Dynamic Autocorrelation of Intraday Stock Returns,” with X. Dong, L. Ling and P. Song, 2016, accepted for publication at Finance Research Letters.
“The Real Option Approach to Adoption and Discontinuation of Management Accounting Innovation: The Case of Activity based Costing,” with C. Ho, 2016, Review of Quantitative Finance and Accounting, 47, 835-856.
“Investment Uncertainty Analysis for Smart Grid Adoption: A Real Option Approach” with J. Zhang and Y. Gao, 2016, accepted for publication at Information Polity.
Selected Working Papers
“Liquidity Risk and Mutual Fund Performance,” 2015, with Xi Dong (Baruch College) and Ronnie Sadka (Boston College)
– On the AEA 2012 program
Revise and Resubmit at Management Science
“Valuing Stock Liquidity: Theory and Evidence from the Collapse of Lehman Brothers,” 2016, with Lining Han (University of Hawaii), Chun-Yu Ho (SUNY Albany, Shanghai Jiao Tong University)
“Political Stability and Credibility of Currency Board”, 2016, with Chun-Yu Ho (SUNY Albany, Shanghai Jiao Tong University) and Wai-Yip Alex Ho (IMF)
“Idiosyncratic Risk of New Ventures: An Option-Based Theory and Evidence,” 2014, with Xi Dong (Baruch College)
– On the INFORMS 2006 program