Research |

Winston Wei Dou

Research

Published or Forthcoming

Feedback and Contagion Through Distressed Competition

Joint with Hui Chen, Hongye Guo, Yan Ji

Journal of Finance, Forthcoming, August 2023
Supplemental Appendix
Additional Materials

Selected Media, Professional, & Policy Coverage:

NBER, Quartz, "Even Competition Is Bad For Consumers When The Prize Is Monopoly."

Knowledge at Wharton, "Why Increased Firm Competition Can Cause a Spiral of Distress."

Common Fund Flows: Flow Hedging and Factor Pricing

Joint with Leonid Kogan, Wei Wu

Journal of Finance, Forthcoming, November 2022
Online Appendix
Additional Materials

Winner of NASDAQ Award for the Best Paper on Asset Pricing at Western Finance Association (WFA)

Macro-Finance Models with Nonlinear Dynamics

Joint with Andrew W. Lo, Xiang Fang, Harald Uhlig

Annual Review of Financial Economics (2023), Vol. 15, No. 1, 407-432
Online Appendix
Solution Codes and Quantitative Analysis

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Joint with Xu Cheng, Zhipeng Liao

Econometrica (2022), Vol. 90, No. 2, 685-713
Supplemental Appendix
Additional Materials

The Oligopoly Lucas Tree

Joint with Yan Ji, Wei Wu

Review of Financial Studies (2022), Vol. 35, Issue 8, 3867-3921
Online Appendix

Winner of AAII Award for the Best Paper on Investments at Midwestern Finance Association (MFA)

Measuring the “Dark Matter” in Asset Pricing Models

Joint with Hui Chen, Leonid Kogan

Journal of Finance (2024), Vol. 79, No. 2, 843-902
Online Appendix

Winner of Best Paper Award at the Red Rock Finance Conference

Non-Tech Highlight: A large "dark matter" measure indicates a fragile model, with weak standard tests and poor out-of-sample performance. This issue is related to, but distinct from, weak identification of model parameters. While weak identification concerns the absolute informativeness, dark matter measures focus on the relative imbalance of informativeness. A model can have a large dark matter measure even if none of its parameters are weakly identified.

Dissecting Bankruptcy Frictions

Joint with Lucian Taylor, Wei Wang, Wenyu Wang

Journal of Financial Economics (2021), Vol. 142, Issue 3, 975-1000
Online Appendix

Editor's choice at the JFE, December 2021

Winner of Jacobs Levy Center Outstanding Research Paper Prize

Competition, Profitability, and Discount Rates

Joint with Yan Ji, Wei Wu

Journal of Financial Economics (2021), Vol. 140, No. 2, 582-620
Online Appendix

Winner of Best Paper Award at China International Conference in Macroeconomics

Honorable mention in HKUST University Annual Report, Research Excellence, "Insights into Product Market Competition"

External Financing and Customer Capital: A Financial Theory of Markups

Joint with Yan Ji

Management Science (2021), Vol. 67, No. 9, 5569-5585
Online Appendix

Macroeconomic Models for Monetary Policies: A Critical Review from a Finance Perspective

Joint with Andrew W. Lo, Ameya Muley, Harald Uhlig

Annual Review of Financial Economics (2020), Vol. 12, No. 1, 95-140

Selected Media, Professional, & Policy Coverage:

Cato Institute, Ideas for an Alternative Monetary Future.

IMF Speeches on Monetary and Capital Markets, "Alternative Monetary Policy Paths and Downside Risk."

Inalienable Customer Capital, Corporate Liquidity and Stock Returns

Joint with Yan Ji, David Reibstein, Wei Wu

Journal of Finance (2021), Vol. 76, No.1, 211-265
Online Appendix

Winner of Marshall Blume Prize in Financial Research at the Rodney L. White Center

Winner of PwC Finance Forum Best Paper Award

Ensemble Subsampling for Imbalanced Multivariate Two-Sample Tests

Joint with Lisha Chen, Zhihua Qiao

Journal of the American Statistical Association (2013), Volume 108, Issue 504
Online Appendix

Estimation in Functional Regression for General Exponential Families

Joint with David Pollard, Harrison Zhou

Annals of Statistics (2012), Vol. 40, No.5, 2421-2451
Online Appendix

Winner of I. R. Savage Award by the American Statistical Association

Working Papers

Fund Flows and Income Risk of Fund Managers

Joint with Xiao Cen, Leonid Kogan, Wei Wu

Revise and Resubmit, April 2023
Online Appendix
Additional Materials

Non-Tech Highlight: The constructed dataset is the first-ever to contain the detailed information on fund managers' compensation and career history, having been compiled based on the US Census Bureau's LEHD program and leveraging various "big" textual data sources.

Selected Media, Professional, & Policy Coverage:

NBER Digest, "Fund Flows, Returns, and Mutual Fund Managers’ Pay ."

Investment Executive, "It’s AUM that matters most to managers’ careers."

Institutional Money Magazine, in German