Winston Wei Dou

The Wharton School, University of Pennsylvania

Assistant Professor of Finance

2318 Steinberg Hall - Dietrich Hall

3620 Locust Walk

Philadelphia, PA 19104

United States

http://finance-faculty.wharton.upenn.edu/wdou/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

http://www.nber.org/people/winston_wei_dou?page=1&perPage=50

  • The Wharton School, University of Pennsylvania

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 5,739

SSRN RANKINGS

Top 5,739

in Total Papers Downloads

10,512

SSRN CITATIONS
Rank 11,776

SSRN RANKINGS

Top 11,776

in Total Papers Citations

46

CROSSREF CITATIONS

56

Scholarly Papers (29)

Actions:
Email selected abstracts
1.

Measuring 'Dark Matter' in Asset Pricing Models

Downloads 1,350 ( 20,545)
Citation 17

Measuring 'Dark Matter' in Asset Pricing Models

Journal of Finance, Forthcoming, 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, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 25 Jan 2022
Hui Chen, Winston Wei 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 1,282 (21,835)
Citation 17

Abstract:

Loading...

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

Measuring “Dark Matter” in Asset Pricing Models

NBER Working Paper No. w26418
Number of pages: 61 Posted: 03 Dec 2019 Last Revised: 09 Mar 2022
Hui Chen, Winston Wei 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 68 (455,865)

Abstract:

Loading...

2.

Common Fund Flows: Flow Hedging and Factor Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 24 Apr 2020 Last Revised: 01 Jul 2022
Winston Wei 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 1,282 (22,208)
Citation 2

Abstract:

Loading...

Agency conflicts, Demand shocks, Mutual fund flows, Intermediary asset pricing, Heterogeneous agents, Uncertainty

3.

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
Winston Wei Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, MIT and University of Chicago - Department of Economics
Downloads 1,033 (30,431)
Citation 2

Abstract:

Loading...

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

4.

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, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 14 Jan 2019 Last Revised: 28 Jun 2021
Winston Wei 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 823 (41,794)
Citation 8

Abstract:

Loading...

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

5.

Macro-Finance Models with Nonlinear Dynamics

Annual Review of Financial Economics, forthcoming, 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: 71 Posted: 23 Sep 2019 Last Revised: 03 Nov 2021
Winston Wei Dou, Xiang Fang, Andrew W. Lo and Harald Uhlig
The Wharton School, University of Pennsylvania, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 772 (45,483)

Abstract:

Loading...

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

6.

Dissecting Bankruptcy Frictions

Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 75 Posted: 20 May 2019 Last Revised: 02 Feb 2021
Winston Wei Dou, Lucian A. Taylor, Wei Wang and Wenyu Wang
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 758 (46,631)
Citation 5

Abstract:

Loading...

Bankruptcy, structural estimation, conflicts of interest, asymmetric information

7.

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: 10 Sep 2020
Hui Chen, Winston Wei 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 709 (50,961)
Citation 2

Abstract:

Loading...

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

8.

Inalienable Customer Capital, Corporate Liquidity, and Stock Returns

Journal of Finance, 2021, Vol. 76, No.1, 211-265, The Rodney L. White Center Working Papers Series at the Wharton School, Mays Business School Research Paper No. 3187850, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 78 Posted: 15 Jun 2018 Last Revised: 17 Feb 2021
Winston Wei 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 623 (60,276)
Citation 11

Abstract:

Loading...

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

9.

Competition Network: Distress Spillovers and Predictable Industry Returns

The Wharton School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper , The Rodney L. White Center Working Papers Series at the Wharton School, Kilts Center at Chicago Booth Marketing Data Center Paper Series
Number of pages: 69 Posted: 19 Nov 2020 Last Revised: 18 May 2022
Winston Wei Dou, Shane A. Johnson, MingMing Ao Shao and Wei Wu
The Wharton School, University of Pennsylvania, Texas A&M University - Department of Finance, San Diego State University and Texas A&M University
Downloads 518 (76,177)

Abstract:

Loading...

Cross-industry momentum, Economic and financial distress, Natural disasters, Spillover effect, Treatment externality.

10.

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

Downloads 436 ( 93,292)

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

Econometrica, forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 33 Posted: 26 May 2020 Last Revised: 08 Nov 2021
Xu Cheng, Winston Wei 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 274 (154,240)

Abstract:

Loading...

Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification.

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

PIER Working Paper No. 20-019
Number of pages: 34 Posted: 01 Jun 2020 Last Revised: 06 Nov 2021
Xu Cheng, Winston Wei 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 162 (251,755)

Abstract:

Loading...

Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification

11.

Asset Pricing with Misallocation

Number of pages: 93 Posted: 10 Apr 2020 Last Revised: 03 Jan 2022
Winston Wei Dou, Yan Ji, Di Tian and Pengfei Wang
The Wharton School, University of Pennsylvania, Hong Kong University of Science & Technology (HKUST), Department of Economics at University of Pennsylvania and Peking University HSBC Business School
Downloads 423 (97,220)
Citation 1

Abstract:

Loading...

Agency conflicts, Distribution of firms, Financial frictions, Misallocation, Endogenous growth, Macro finance.

12.

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 Wei Dou and Yan Ji
The Wharton School, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 423 (96,701)
Citation 10

Abstract:

Loading...

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

13.

The Oligopoly Lucas Tree

Review of Financial Studies, Forthcoming
Number of pages: 76 Posted: 26 May 2020 Last Revised: 03 Nov 2021
Winston Wei 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 418 (98,011)
Citation 1

Abstract:

Loading...

Endogenous competition, Strategic rivalry, Value premium, Gross profitability premium, External habit formation.

14.

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 Wei 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 149 (269,088)

Abstract:

Loading...

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

15.

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

Number of pages: 31 Posted: 21 Sep 2019 Last Revised: 24 Apr 2020
Winston Wei 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 132 (295,602)
Citation 1

Abstract:

Loading...

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

16.

Online Appendix for 'Common Fund Flows: Flow Hedging and Factor Pricing'

Number of pages: 90 Posted: 19 Nov 2020 Last Revised: 01 Jul 2022
Winston Wei 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 100 (359,264)
Citation 4

Abstract:

Loading...

Mutual fund flows, Factor models, Heterogeneous agents, Financial intermediaries, Price impact, Uncertainty.

17.

Internet Appendix for 'The Oligopoly Lucas Tree'

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 28 Sep 2020 Last Revised: 03 Nov 2021
Winston Wei 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 93 (381,191)
Citation 1

Abstract:

Loading...

Endogenous competition, Strategic rivalry, Value premium, Gross profitability premium, External habit formation.

18.

Online Appendix for 'Macro-Finance Models with Nonlinear Dynamics'

Annual Review of Financial Economics, Forthcoming
Number of pages: 61 Posted: 28 Sep 2021 Last Revised: 12 Nov 2021
Winston Wei Dou, Xiang Fang, Andrew W. Lo and Harald Uhlig
The Wharton School, University of Pennsylvania, The University of Hong Kong, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 88 (389,078)

Abstract:

Loading...

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

19.

Online Appendix for 'Feedback and Contagion through Distressed Competition'

Number of pages: 29 Posted: 27 Jul 2020 Last Revised: 08 Sep 2020
Hui Chen, Winston Wei 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 59 (482,994)
Citation 3

Abstract:

Loading...

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

20.

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 Wei Dou and Zhihua Qiao
Yale University - Department of Statistics, The Wharton School, University of Pennsylvania and Independent
Downloads 58 (486,875)
Citation 3

Abstract:

Loading...

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

21.

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

Number of pages: 45 Posted: 21 Oct 2019 Last Revised: 25 Jan 2022
Hui Chen, Winston Wei 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 55 (498,669)
Citation 5

Abstract:

Loading...

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

22.

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 Wei Dou, David Pollard and Harrison Zhou
The Wharton School, University of Pennsylvania, Independent and Statistics Department of Yale University
Downloads 53 (506,924)
Citation 1

Abstract:

Loading...

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

23.

Internet Appendix for 'Competition Network: Distress Spillovers and Predictable Industry Returns'

Number of pages: 50 Posted: 28 Mar 2022 Last Revised: 18 May 2022
Winston Wei Dou, Shane A. Johnson, MingMing Ao Shao and Wei Wu
The Wharton School, University of Pennsylvania, Texas A&M University - Department of Finance, San Diego State University and Texas A&M University
Downloads 42 (562,453)

Abstract:

Loading...

Cross-industry momentum, Economic and financial distress, Natural disasters, Spillover effect, Treatment externality.

24.

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

Number of pages: 14 Posted: 14 Sep 2020
Winston Wei Dou and Yan Ji
The Wharton School, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 42 (557,353)

Abstract:

Loading...

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

25.

A Note on Additional Materials for "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models"

Econometrica, Forthcoming
Number of pages: 25 Posted: 24 Mar 2021 Last Revised: 08 Nov 2021
Xu Cheng, Winston Wei 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 (630,145)
Citation 4

Abstract:

Loading...

Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification.

26.

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

Econometrica, Forthcoming
Number of pages: 25 Posted: 26 May 2020 Last Revised: 08 Nov 2021
Xu Cheng, Winston Wei 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 17 (718,299)

Abstract:

Loading...

Conditional inference, Information imbalance, Long-run risk, Rare disasters, Structural asset pricing, Weak identification.

27.

Supplement to 'Estimation in Functional Regression for General Exponential Families'

The Annals of Statistics, 2020
Number of pages: 9 Posted: 12 Nov 2020
Winston Wei Dou, David Pollard and Harrison Zhou
The Wharton School, University of Pennsylvania, Independent and Statistics Department of Yale University
Downloads 16 (726,438)

Abstract:

Loading...

Approximation of Compact Operators, Assouad’s Lemma, Exponential Families, Functional Estimation, Mini Max Rates of Convergence

28.

Supplement to 'Ensemble Sub-sampling for Imbalanced Multivariate Two-Sample Tests'

Journal of the American Statistical Association, 2013
Number of pages: 23 Posted: 12 Nov 2020
Lisha Chen, Winston Wei Dou and Zhihua Qiao
Yale University - Department of Statistics, The Wharton School, University of Pennsylvania and JP Morgan
Downloads 11 (770,803)

Abstract:

Loading...

Corporate Finance, Ensemble Methods, Imbalanced Learning, Kolmogorov-Smirnov Test, Nearest Neighbors Methods, Sub-Sampling Methods, Multivariate Two-Sample Tests

29.

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

Annual Review of Financial Economics, Vol. 12, pp. 95-140, 2020
Posted: 10 Dec 2020
Winston Wei Dou, Andrew W. Lo, Ameya Muley and Harald Uhlig
The Wharton School, University of Pennsylvania, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) and University of Chicago - Department of Economics

Abstract:

Loading...