Winston Dou

The Wharton School, University of Pennsylvania

Assistant Professor of Finance

2318 Steinberg Hall - Dietrich Hall

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 13,541

in Total Papers Downloads

3,881

SSRN CITATIONS
Rank 19,294

SSRN RANKINGS

Top 19,294

in Total Papers Citations

25

CROSSREF CITATIONS

23

Scholarly Papers (21)

1.

Measuring 'Dark Matter' in Asset Pricing Models

NBER Working Paper Series, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, The Wharton School Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 13 Jan 2020
Hui Chen, Winston Dou and Leonid Kogan
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 904 (27,720)
Citation 17

Abstract:

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds

2.

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

Annual Review of Financial Economics, Forthcoming
Number of pages: 95 Posted: 17 Jan 2017 Last Revised: 04 Jun 2020
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management, MIT and University of Chicago - Department of Economics
Downloads 616 (47,000)
Citation 2

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Macrofinancial Models; Dynamic Stochastic General Equilibrium Models; Macroprudential Policy; Systemic Risk; Monetary Policy Analysis

3.

Competition, Profitability, and Discount Rates

Journal of Financial Economics (JFE), Forthcoming, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, Mays Business School Research Paper
Number of pages: 74 Posted: 14 Jan 2019 Last Revised: 02 Jun 2020
Winston Dou, Yan Ji and Wei Wu
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and Texas A&M University
Downloads 388 (82,807)
Citation 6

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Product-market structure, Oligopoly, Profitability premium, Leadership persistence, Tariff shocks, Price Wars.

4.

Inalienable Customer Capital, Corporate Liquidity, and Stock Returns

Journal of Finance, Forthcoming, The Rodney L. White Center Working Papers Series at the Wharton School, Mays Business School Research Paper No. 3187850
Number of pages: 78 Posted: 15 Jun 2018 Last Revised: 16 Jun 2020
Winston Dou, Yan Ji, David Reibstein and Wei Wu
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST), University of Pennsylvania - Marketing Department and Texas A&M University
Downloads 350 (93,300)
Citation 7

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Brand loyalty, Financial constraints risk, Inalienable human capital, Talent turnover, Marketing

5.

Dissecting Bankruptcy Frictions

Number of pages: 71 Posted: 20 May 2019 Last Revised: 21 Jul 2020
The Wharton School, University of Pennsylvania, University of Pennsylvania - The Wharton School, Queen's University - Smith School of Business and Indiana University - Kelley School of Business - Department of Finance
Downloads 290 (114,679)
Citation 1

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Bankruptcy, structural estimation, conflicts of interest, asymmetric information

6.

External Financing and Customer Capital: A Financial Theory of Markups

Management Science, Forthcoming
Number of pages: 49 Posted: 08 Mar 2015 Last Revised: 12 May 2020
Winston Dou and Yan Ji
The Wharton School, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 281 (118,631)
Citation 6

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Markups, Customer base, External financing costs, Monopolistic competition, Corporate liquidity, Industry dynamics.

7.

Common Fund Flows: Flow Hedging and Factor Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 84 Posted: 24 Apr 2020 Last Revised: 14 Jul 2020
Winston Dou, Leonid Kogan and Wei Wu
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Texas A&M University
Downloads 225 (148,522)
Citation 2

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Fund flows, Trade wars, Natural disasters, Heterogeneous agents, Uncertainty, Intermediary asset pricing, Short-termism.

8.

Macro-Finance Models with Nonlinear Dynamics

University of Chicago, Becker Friedman Institute for Economics Working Paper, The Rodney L. White Center Working Papers Series at the Wharton School
Number of pages: 69 Posted: 23 Sep 2019 Last Revised: 20 Jul 2020
The Wharton School, University of Pennsylvania, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago - Department of Economics
Downloads 214 (155,673)

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Dynamic Stochastic General Equilibrium (DSGE) Models; Systemic Risk; Endogenous Jump Risk; Financial Constraints; Liquidity

9.

Feedback and Contagion through Distressed Competition

The Rodney L. White Center Working Papers Series at the Wharton School, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 05 Feb 2020 Last Revised: 30 Jul 2020
Hui Chen, Winston Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 180 (182,439)

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Stock and Bond Returns, Supergames, Predatory Price Wars, Collective Entry Prevention, Tacit Collusion, Financial Distress Anomaly.

10.

Granular Uncertainty and Disastrous Misallocation

Number of pages: 51 Posted: 10 Apr 2020
Winston Dou, Yan Ji and Pengfei Wang
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and HKUST, Department of Economics
Downloads 74 (346,891)
Citation 1

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Misallocation, Firm distribution, Financial constraints, Idiosyncratic shocks, Volatility, Slow recovery, Nonlinear dynamics

11.

The Oligopoly Lucas Tree: Consumption Risk and Industry-Level Risk Exposure

Number of pages: 66 Posted: 26 May 2020 Last Revised: 04 Aug 2020
Winston Dou, Yan Ji and Wei Wu
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and Texas A&M University
Downloads 67 (378,092)
Citation 1

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Product market friction, Discount rates, Expected growth, Consumption risk, Strategic rivalry, Natural experiments.

12.

Supplement to 'Inalienable Customer Capital, Corporate Liquidity, and Stock Returns'

Journal of Finance, Forthcoming
Number of pages: 38 Posted: 17 Oct 2019 Last Revised: 16 Jun 2020
Winston Dou, Yan Ji, David Reibstein and Wei Wu
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST), University of Pennsylvania - Marketing Department and Texas A&M University
Downloads 63 (378,092)

Abstract:

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Brand loyalty; Financial constraints risk; Inalienable human capital; Talent turnover; Marketing

13.

Online Appendix for 'Competition, Profitability, and Discount Rates'

Number of pages: 31 Posted: 21 Sep 2019 Last Revised: 24 Apr 2020
Winston Dou, Yan Ji and Wei Wu
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and Texas A&M University
Downloads 58 (393,797)
Citation 1

Abstract:

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Product-market structure, Oligopoly, Profitability premium, Leadership persistence, Tariff shocks, Price Wars.

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

Number of pages: 29 Posted: 26 May 2020
Xu Cheng, Winston Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 29 (526,334)

Abstract:

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Asset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

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

PIER Working Paper No. 20-019
Number of pages: 30 Posted: 01 Jun 2020 Last Revised: 05 Jun 2020
Xu Cheng, Winston Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 18 (599,649)

Abstract:

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sset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

15.

Ensemble Subsampling for Imbalanced Multivariate Two-Sample Tests

Journal of the American Statistical Association, 2013
Number of pages: 40 Posted: 20 Jun 2013 Last Revised: 23 Oct 2019
Lisha Chen, Winston Dou and Zhihua Qiao
Yale University - Department of Statistics, The Wharton School, University of Pennsylvania and Independent
Downloads 47 (432,523)
Citation 1

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Corporate Finance, ensemble methods, imbalanced learning, Kolmogorov-Smirnov test, nearest neighbors methods, subsampling methods, multivariate two-sample tests

16.

Estimation in Functional Regression for General Exponential Families

The Annals of Statistics. Volume 40, Number 5 (2012), pp. 2421-2451
Number of pages: 31 Posted: 20 Jun 2013 Last Revised: 25 Jan 2020
Winston Dou, David Pollard and Harrison Zhou
The Wharton School, University of Pennsylvania, Independent and Statistics Department of Yale University
Downloads 39 (464,945)
Citation 1

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Approximation of compact operators, Assouad’s lemma, exponential families, functional estimation, minimax rates of convergence

17.

Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'

Number of pages: 29 Posted: 21 Oct 2019 Last Revised: 02 Jan 2020
Hui Chen, Winston Dou and Leonid Kogan
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 17 (585,570)
Citation 1

Abstract:

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Fragile beliefs, Unstable models, Misspecification and robustness, Out-of-sample fit, Semiparametric information bounds.

18.

Supplemental Appendix to Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Number of pages: 24 Posted: 26 May 2020
Xu Cheng, Winston Dou and Zhipeng Liao
University of Pennsylvania - Department of Economics, The Wharton School, University of Pennsylvania and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 10 (632,871)
Citation 1

Abstract:

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Asset Pricing, Conditional Inference, Disaster Risk, Long-Run Risk, Factor Models, Specification Test, Weak Identification

19.

Online Appendix for 'Feedback and Contagion through Distressed Competition'

Number of pages: 26 Posted: 27 Jul 2020 Last Revised: 29 Jul 2020
Hui Chen, Winston Dou, Hongye Guo and Yan Ji
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 7 (654,213)

Abstract:

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Stock and Bond Returns, Predatory Price Wars, Collective Entry Prevention, Tacit Collusion, Financial Distress Anomaly

20.

Online Appendix for "The Oligopoly Lucas Tree: Consumption Risk and Industry-Level Risk Exposure"

Number of pages: 21
Winston Dou, Yan Ji and Wei Wu
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST) and Texas A&M University - Mays Business School
Downloads 2

Abstract:

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Product market friction, Discount rates, Expected growth, Consumption risk, Strategic rivalry, Natural experiments.

21.

Online Appendix for “External Financing and Customer Capital: A Financial Theory of Markups”

Number of pages: 14
Winston Dou and Yan Ji
The Wharton School, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 2

Abstract:

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Markups, Customer base, External financing costs, Monopolistic competition, Corporate liquidity, Industry dynamics.