Haitao Mo

Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

Baton Rouge, LA 70803-6308

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 9,076

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7,415

SSRN CITATIONS
Rank 17,928

SSRN RANKINGS

Top 17,928

in Total Papers Citations

46

CROSSREF CITATIONS

13

Scholarly Papers (13)

1.
Downloads 1,223 ( 15,533)
Citation 2

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 907 (36,434)
Citation 2

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options, momentum, reversal, seasonality

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, London School of Economics and Political Science and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 316 (134,377)

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options, momentum, reversal

2.
Downloads 1,254 ( 23,216)
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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,193 (24,591)
Citation 1

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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 2022
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 61 (486,887)

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3.
Downloads 943 ( 34,959)

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 885 (37,717)

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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 2022
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 58 (499,052)

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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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 876 (38,837)
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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and University of Oklahoma, Price College of Business
Downloads 800 (43,894)
Citation 1

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Return Predictability, Options, Implied Volatility

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 466 (86,548)

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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 2022
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 49 (539,040)

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7.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 503 (79,687)
Citation 29

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

8.

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 Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 479 (84,495)
Citation 9

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

9.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 363 (116,410)
Citation 7

Abstract:

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

10.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 176 (236,713)

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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

11.

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, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, London School of Economics and Political Science and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 163 (252,506)

Abstract:

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options, VIX, seasonal momentum

12.

Information flow and credit rating announcements

Number of pages: 56 Posted: 02 Aug 2019 Last Revised: 04 Nov 2020
Mehdi Khorram, Haitao Mo and Gary C. Sanger
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 120 (320,386)

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

13.

Implied Economic Risk Premiums

Posted: 30 Jul 2013 Last Revised: 14 Nov 2015
Haitao Mo
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

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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