Haitao Mo

University of Kansas

Lawrence, KS 66045

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 7,169

SSRN RANKINGS

Top 7,169

in Total Papers Downloads

11,579

SSRN CITATIONS
Rank 6,370

SSRN RANKINGS

Top 6,370

in Total Papers Citations

263

CROSSREF CITATIONS

14

Scholarly Papers (14)

1.
Downloads 2,776 ( 6,728)
Citation 20

Option Momentum

Journal of Finance, Forthcoming
Number of pages: 73 Posted: 20 May 2022
University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), City University of Hong Kong and University of Kansas
Downloads 1,690 (19,564)
Citation 9

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options, momentum, reversal

Momentum, Reversal, and Seasonality in Option Returns

Number of pages: 85 Posted: 17 Nov 2020 Last Revised: 20 Nov 2020
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT) and University of Kansas
Downloads 1,086 (37,688)
Citation 3

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options, momentum, reversal, seasonality

2.
Downloads 1,419 (25,987)
Citation 2

q5

Charles A. Dice Center Working Paper No. 2018-10, Fisher College of Business Working Paper No. 2018-03-010
Number of pages: 99 Posted: 05 Jun 2018 Last Revised: 31 Oct 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,286 (29,527)
Citation 1

Abstract:

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The q5-Model, The q-Factor Model, The Expected Growth, The Investment CAPM, Factor Regressions, Anomalies

Q5

NBER Working Paper No. w24709
Number of pages: 61 Posted: 18 Jun 2018 Last Revised: 08 Jul 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 133 (397,447)

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3.
Downloads 1,067 (39,249)

The Economics of Value Investing

Charles A. Dice Center Working Paper No. 2017-16, Fisher College of Business Working Paper No. 2017-03-016
Number of pages: 69 Posted: 05 Jul 2017 Last Revised: 04 Dec 2017
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 953 (45,368)

Abstract:

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Value Investing, Security Analysis, The Investment CAPM, Efficient Markets

The Economics of Value Investing

NBER Working Paper No. w23563
Number of pages: 66 Posted: 10 Jul 2017 Last Revised: 21 May 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 114 (447,574)

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4.

Which Factors

Fisher College of Business Working Paper No. 2018-03-003, Charles A. Dice Center Working Paper No. 2018-03-03
Number of pages: 52 Posted: 06 Mar 2018 Last Revised: 12 Jul 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 979 (44,337)
Citation 4

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The q-factor model, the Q5 model, factor spanning tests, the investment CAPM, factor investing

5.

Do Option Prices Forecast Aggregate Stock Returns?

Number of pages: 71 Posted: 27 Jul 2017 Last Revised: 22 Aug 2018
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of Kansas and University of Oklahoma, Price College of Business
Downloads 940 (46,851)
Citation 1

Abstract:

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Return Predictability, Options, Implied Volatility

6.

An Augmented q-Factor Model with Expected Growth

Review of Finance, Forthcoming
Number of pages: 54 Posted: 19 Mar 2020
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 907 (49,310)
Citation 201

Abstract:

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The expected growth factor, factor models, the q5 model, the investment theory

Security Analysis: An Investment Perspective

Fisher College of Business Working Paper No. 2019-03-016, Charles A. Dice Center Working Paper No. 2019-16
Number of pages: 71 Posted: 08 Jul 2019
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 569 (89,512)

Abstract:

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Security analysis, q^5, the investment theory, quality minus junk, fundamental score, “magic formula,” agnostic fundamental analysis

Security Analysis: An Investment Perspective

NBER Working Paper No. w26060
Number of pages: 71 Posted: 14 Sep 2020 Last Revised: 17 Mar 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 87 (540,015)

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8.

Seasonal Momentum in Option Returns

Number of pages: 56 Posted: 25 Jul 2022
University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), City University of Hong Kong and University of Kansas
Downloads 616 (82,294)

Abstract:

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options, VIX, seasonal momentum

9.

Out-of-Sample Performance of Mutual Fund Predictors

Review of Financial Studies, Forthcoming
Number of pages: 64 Posted: 28 May 2017 Last Revised: 08 Dec 2019
Christopher S. Jones and Haitao Mo
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Kansas
Downloads 613 (82,434)
Citation 23

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mutual funds, out-of-sample performance, market efficiency

10.

Too Good to Be True: Look-ahead Bias in Empirical Options Research

Number of pages: 64 Posted: 31 Oct 2023 Last Revised: 11 Apr 2024
Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), University of Kansas and Louisiana State University, Baton Rouge
Downloads 563 (92,412)

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Options; look-ahead bias

11.

Which Factors?

Review of Finance, Forthcoming, Fisher College of Business Working Paper No. 2018-03-003, Charles A. Dice Center Working Paper No. 2018-03-03
Number of pages: 38 Posted: 22 Oct 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 472 (113,870)
Citation 7

Abstract:

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The q-factor model, the q^5 model, spanning regressions, the investment CAPM

12.

The Economics of Security Analysis

Management Science, Forthcoming
Number of pages: 77 Posted: 08 Jun 2022
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 441 (123,449)
Citation 2

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The investment CAPM, cross-sectionally varying expected returns, Graham and Dodd (1934), security analysis, active equity funds, the q5 model, Buffett’s alpha

13.

Information flow and credit rating announcements

Journal of Financial Markets, Forthcoming
Number of pages: 62 Posted: 02 Aug 2019 Last Revised: 27 Aug 2023
Mehdi Khorram, Haitao Mo and Gary C. Sanger
Rochester Institute of Technology (RIT), University of Kansas and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 130 (403,457)

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Credit Rating Announcements, Implied Volatility Spread, Stock Lending Market, Options Market, Return Predictability

14.

Implied Economic Risk Premiums

Posted: 30 Jul 2013 Last Revised: 14 Nov 2015
Haitao Mo
University of Kansas

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economic risk premiums, factor risk premiums, implied costs of capital, factor mimicking portfolios, factor pricing, time-series predictability, ex ante perspective, time-variant risk premiums