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

26

DOWNLOADS
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in Total Papers Downloads

6,783

SSRN CITATIONS
Rank 14,000

SSRN RANKINGS

Top 14,000

in Total Papers Citations

41

CROSSREF CITATIONS

42

Scholarly Papers (26)

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, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 02 Apr 2021
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 1,030 (26,210)
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) - Laboratory for Financial Engineering, MIT and University of Chicago - Department of Economics
Downloads 815 (36,412)
Citation 2

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

3.

Common Fund Flows: Flow Hedging and Factor Pricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 63 Posted: 24 Apr 2020 Last Revised: 07 Jun 2021
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 750 (40,920)
Citation 2

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

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: 10 Sep 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 668 (47,765)
Citation 8

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

5.

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
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 590 (56,072)
Citation 6

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Bankruptcy, structural estimation, conflicts of interest, asymmetric information

6.

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 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 519 (65,886)
Citation 11

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

7.

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) - Laboratory for Financial Engineering and University of Chicago - Department of Economics
Downloads 436 (81,332)

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

8.

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 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 413 (86,626)
Citation 2

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

9.

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 361 (101,131)
Citation 10

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

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

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 31 Posted: 26 May 2020 Last Revised: 17 Feb 2021
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 156 (229,683)

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Structural asset pricing, Conditional inference, Rare disasters, Long-run risk, Weak identification, Model uncertainty.

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

PIER Working Paper No. 20-019
Number of pages: 32 Posted: 01 Jun 2020 Last Revised: 17 Feb 2021
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 76 (381,352)

Abstract:

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

11.

The Oligopoly Lucas Tree

Number of pages: 59 Posted: 26 May 2020 Last Revised: 01 Jun 2021
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 232 (161,246)
Citation 1

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

12.

Competition Network, Distress Propagation, and Stock Returns

Number of pages: 76 Posted: 19 Nov 2020 Last Revised: 20 May 2021
MingMing Ao, Winston Dou, Shane A. Johnson and Wei Wu
San Diego State University, The Wharton School, University of Pennsylvania, Texas A&M University - Department of Finance and Texas A&M University
Downloads 126 (271,480)

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Competition centrality, Economic/financial distress, Industry excess returns, Contagion, Natural disasters, Tacit collusion, Treatment externality.

13.

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 115 (289,956)

Abstract:

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

14.

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 96 (329,737)
Citation 1

Abstract:

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

15.

Asset Pricing with Misallocation

Number of pages: 71 Posted: 10 Apr 2020 Last Revised: 01 May 2021
Winston 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 79 (371,814)
Citation 1

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Agency conflicts, Distribution of firms, Financial frictions, Capital allocation, Endogenous growth, Asset pricing.

16.

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 53 (452,905)
Citation 3

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

17.

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 48 (472,606)
Citation 1

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

18.

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

Number of pages: 48 Posted: 19 Nov 2020 Last Revised: 01 Jun 2021
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 46 (480,913)
Citation 5

Abstract:

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

19.

Internet Appendix for 'The Oligopoly Lucas Tree'

Number of pages: 50 Posted: 28 Sep 2020 Last Revised: 01 Jun 2021
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 34 (547,433)
Citation 2

Abstract:

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

20.

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

Number of pages: 45 Posted: 21 Oct 2019 Last Revised: 02 Apr 2021
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 34 (536,910)
Citation 2

Abstract:

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

21.

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 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 33 (542,184)
Citation 3

Abstract:

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

22.

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

Number of pages: 16 Posted: 26 May 2020 Last Revised: 17 Feb 2021
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 24 (595,416)
Citation 4

Abstract:

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Structural asset pricing, Conditional inference, Rare disasters, Long-run risk, Weak identification, Model uncertainty.

23.

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

Number of pages: 14 Posted: 14 Sep 2020
Winston Dou and Yan Ji
The Wharton School, University of Pennsylvania and Hong Kong University of Science & Technology (HKUST)
Downloads 22 (608,772)

Abstract:

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

24.

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

The Annals of Statistics, 2020
Number of pages: 9 Posted: 12 Nov 2020
Winston Dou, David Pollard and Harrison Zhou
The Wharton School, University of Pennsylvania, Independent and Statistics Department of Yale University
Downloads 10 (695,122)

Abstract:

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

25.

Additional Materials for Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models

Number of pages: 35 Posted: 24 Mar 2021
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 9 (702,785)
Citation 2

Abstract:

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Structural asset pricing, Conditional inference, Rare disasters, Long-run risk, Weak identification, Model uncertainty.

26.

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 Dou and Zhihua Qiao
Yale University - Department of Statistics, The Wharton School, University of Pennsylvania and JP Morgan
Downloads 8 (710,385)

Abstract:

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