Pengqin
(George) Gao
Education || Experience || Courses
|| Computer Skills
Honors and Awards || Research || Additionally...
Resume[pdf]
pgao@ChicagoBooth.edu
(I am available for an interview at the January ASSA conference in
Atlanta.)
Education
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The University of |
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Ph.D. Candidate in
Econometrics |
(Expected
06/2010) |
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Dissertation: Essays on
Cross-Sectional Information and Asset Prices |
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MBA (concentration in Analytic
Finance) |
(Expected 12/2009) |
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The |
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Ph.D. Program in Operations
Research |
(08/2002-06/2004)
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The |
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M.S. in Statistics |
(08/2001-08/2002) |
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GPA 4.0/4.0 Completed two-year Masters program
in one year |
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B.A. in Economics (major in
Finance, minor in Computer Science) |
(09/1997-06/2001) |
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Experience
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UBS O'Connor - Quantitative Strategies, Chicago, IL |
(12/2006-12/2008) |
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Research
Consultant Reviewed empirical asset pricing
literature Back-tested portfolio trading
strategies for international markets Constructed
measures of market liquidity and funding liquidity Studied earnings quality, equity
incentive, and other accounting-based return anomalies |
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Madansky & Associates, Inc., |
(02/2006) |
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Litigation
Research Assistant Data processing and statistical analysis for Norman v.
Salomon Smith Barney Inc. 03 Civ. 4391 |
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The University of Chicago Booth School of Business |
(03/2005-06/2008) |
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Teaching
Assistant Cases in
Financial Management: advanced MBA
course in corporate finance Advanced
Econometrics: Ph.D. course in time
series and spatial econometrics Analysis of
Financial Time Series: core MBA
course in financial econometrics Applied
Regression Analysis: foundation MBA
course in statistics |
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The |
(08/2002-12/2002) |
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Instructor Business
Calculus: undergraduate course,
Kenan-Flagler Business School |
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The |
(08/2001-05/2002) |
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Teaching
Assistant Business Statistics Practices: undergraduate course, College of Business
Administration |
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New Hope Securities & Investment Consulting, LLC,
P.R. China |
(01/2001-06/2001) |
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Financial Analyst
Technical analysis and post-IPO asset
allocation |
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Selected Courses
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Accounting: |
Financial Accounting
Managerial Accounting |
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Finance: |
Portfolio Decision and
Capital Market Corporate Finance Asset Pricing Behavioral Finance Macroeconomic
Models in Asset Pricing Market Microstructure |
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Economics: |
Advanced Microeconomic
Analysis Theory of Income Price Theory Management Unions |
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Econometrics: |
Time-Series Analysis and
Forecast Advanced Econometrics Bayesian Statistics Applied Multivariate
Analysis Long-Range Dependence and Heavy Tails |
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Mathematics: |
Stochastic Processes
Linear/Non-Linear/Integer Programming Simulation Computational
Mathematics for Decision Science Measure and Integration Theory |
Computer Skills
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Programming: |
SAS Matlab R S-Plus
C |
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Database: |
CRSP COMPUSTAT I/B/E/S First
Call TAQ CSMAR PACAP Zacks Value Line History Thomson Financial
SDC |
Honors and Awards
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Katherine Dusak Miller Ph.D. Fellowship, 2008-2009 Doctoral Fellowship, Booth School of Business,
University of Chicago, 2004-2008 Summer Research Grant, Booth School of Business,
University of Chicago, 2005 Undergraduate Thesis Scholarship, China Bank of
Communications, 2001 |
Additionally
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Referee for Economics Bulletin Fluent in English and Mandarin Chinese Hobbies: Linux/Unix Server and Technology (yes, a hobby!), Cooking, Swimming, and Cycling |
Research
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Working Papers 1.
Characteristic-Based Covariances and Cross-Sectional
Expected Returns (job market paper) Ranked top 20% submission to the
Financial Research Association Meeting, Dec. 2009 Presented at the 2.
Firm Characteristics, Covariances, and Portfolio
Optimization Presented at the Presented at the 3.
Pre-Earnings Announcement Drift (with Peter
Easton and Paul Gao) Presented at the Presented by co-authors at the University
of Notre Dame, the 4.
Is the Market Optimistic about the Future Earnings
of Initial Public Offering Firms? Jun. 2005 Working in
Progress (tentative titles) 1. A New Nonparametric Test of Conditional
CAPM: Avoid Forming Arbitrary Portfolios, the last chapter of Ph.D.
dissertation 2. Implications
of Intra- and Inter-Industry Information Transfer for the Post-Earnings
Announcement Drift 3. Liquidity
Co-movement and Return Co-movement 4. Pre-Earnings
Announcement Drift: International Evidence, (with Peter Easton and Paul Gao) 5. Welfare
Analysis in Thai Village: a Spatial Approach, (with Tim Conley and Rob Townsend) Publications 1. The
Empirical Analysis of Anticipatory Effect of Price Change in China, 2002,
(with J. Shi), Statistical Research, No. 3, 24-39 2. An
Empirical and Comparative Study of |
More about Research
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1.
Characteristic-Based
Covariances and Cross-Sectional Expected Returns (Job Market Paper) [pdf] I suggest a characteristic-based
covariance model that directly links the predetermined firm characteristics
to time-varying covariance risk. Using a large cross section of individual
stock-level data, I parsimoniously estimate both conditional mean returns and
conditional covariances as functions of firm characteristics. Main results:
(i) I find a strong and positive relation between conditional market
covariance and expected return; (ii) Two conditional covariance variables
largely help explain the anomalous returns associated with size, BM, asset
growth, accruals, momentum and net stock issues; and (iii) Portfolio test as
in Daniel and Titman (1997) suggests that the characteristic-based covariance
rather than the characteristics explain the cross-sectional average returns. 2.
Firm Characteristics, Covariances, and
Portfolio Optimization [pdf] The return covariance pattern of
S&P 500 stocks is explicitly linked to firm characteristics without being
associated with any common factors. This type of return comovement (called a
spatial covariance pattern) cannot be fully characterized by a few pervasive
factors. In comparison to factor-based covariance models, an investor
exploring the characteristic-based spatial covariance structure has
substantial diversification benefits under the case of global minimum
variance portfolio, and has substantial utility gains under the case of
optimal tangency portfolio. 3.
Pre-Earnings Announcement Drift (joint
work with Peter Easton and Paul Gao) [pdf] We document a genuinely new market
anomaly: a predictable drift in stock prices before the earnings
announcements of firms that announce their earnings later than other firms in
their industry. We dynamically form portfolios for late announcers based on
the cross section information of early announcers (in terms of historical
pairwise covariances of earnings announcement day returns). In terms of Sharpe
Ratio, the pre-earnings announcement drift effect is as strong as other well
known anomalies. A long-short trading strategy based on the covariance
implied returns generates monthly returns of more than 100 basis points. We
show that transaction costs may help to explain the predictability of the
returns of later announcers. 4.
Is the Market Optimistic about the
Future Earnings of Initial Public Offering Firms? [pdf] My first-year term paper for a
thoroughly empirical study. For a large sample of IPO firms, I investigate
the investors reactions to their quarterly earnings announcements over a
five-year horizon since equity issues. I construct benchmarks on non-issuing
matching firms based on industry, size, and book-to-market equity. I find the
earnings expectation of IPO firms is no more optimistic than their seasoned
non-issuing counterparties. I carefully examine the statistical inference
bias, the sample selection bias, and the delisting return bias. |
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