Research

Working Papers (as of Nov. 2022) (Most are available at my SSRN author page)

• Buy the Rumor, Sell the News: Liquidity Provision by Bond Funds Following Corporate News Events, with Jinming Xue and Russ Wermers 

• Risk Disclosure and the Pricing of Corporate Debt Issues in Private and Public Markets, with Kelly Cai, Kathleen Hanley, and Xiaofei Zhao

• Who Listens to Corporate Conference Calls? The Effect of "Soft Information" on Institutional Trading, with Russ Wermers

• KPI Information Acquisition by Analysts: Evidence from Conference Calls, with Rachel Tang

• Do Analysts Read the News? with Kaleab Mamo

Publications

• Language and Domain Specificity: A Chinese Financial Sentiment Dictionary, 2022, with Zijia Du, Russ Wermers, and Wenfeng Wu, Review of Finance 26, 673-719

  • The slightly updated dictionary (consisting of positive, negative, and politically-positive words) as of June, 2023 is here. Please cite the above paper when you refer to the dictionary.

• Information and Liquidity of Over-the-Counter Securities: Evidence from Public Registration of Private Debt, 2022, with Song Han, Madhu Kalimipalli, and Ke Wang, Journal of Financial Markets 59, 100655

• Role of Institutional Investors: Evidence from the Foreign Rule 144A Debt market, 2021, with Madhu Kalimipalli, Subhankar Nayak, and Latha Ramchand, Quarterly Journal of Finance 11, 1-51

• Institutional Trading around Corporate News: Evidence from Textual Analysis, 2020, with Hongping Tan and Russ Wermers, Review of Financial Studies 33, 4627-4675.        

  • • Internet Appendix 

• The Effects of Analyst-Country Institutions on Biased Research: Evidence from Target Prices, 2019, with Mark Bradshaw and Hongping Tan, Journal of Accounting Research 57, 85-120

• Risk Mitigation by Institutional Participants in the Secondary Market: Evidence from Foreign Rule 144A Debt Market, 2019, with Madhu Kalimipalli, Subhankar Nayak, and Latha Ramchand, Journal of Banking and Finance 99, 202-221

• Equity Financing Restrictions and the Asset Growth Effect: International vs. Asian Evidence, 2019, with Kevin Jialin Sun, Pacific-Basin Finance Journal 57, 1-25

• Textual Analysis for China's Financial Markets: A Review and Discussion, with Wenfeng Wu and Tong Yu, 2019, China Financial Review International 10, Vol. 1, 1-15.

• The Return Premiums to Accruals Quality, 2017, with Sati Bandyopadhyay, Kevin Sun, and Tony Wirjanto, Review of Quantitative Finance and Accounting 48, 83-115.

• Generational Asset Pricing, Equity Puzzles and Cyclicality, 2016, with Eric Hughson and Chris Leach, Review of Economic Dynamics 22, 52-71.

• Cash Flow Volatility and Corporate Bond Yield Spreads, 2016, with Alan Douglas and Kenneth Vetzal, Review of Quantitative Finance and Accounting 46, 417-458.

• Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion, 2012, with Changling Chen and Ranjini Jha, Journal of Financial and Quantitative Analysis 47, 873-899.

• Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity, 2012, with Yao Tian and Tony Wirjanto, in Advances in Quantitative Analysis of Finance and Accounting 10, edited by C. F. Lee, pp. 193-223

• Is China's P/E ratio too low? Examining the Role of Earnings Volatility, 2012, with Tony Wirjanto, Pacific-Basin Finance Journal 20, 41-61.

• Accounting Conservatism and the Temporal Trends in Current Earnings' Ability to Predict Future Cash Flows versus Future Earnings: Evidence on the Tradeoff between Relevance and Reliability, with Sati Bandyopadhyay, Changling Chen, and Ranjini Jha, 2010, Contemporary Accounting Research 27, 413-460.

• The Cross Section of Cash Flow Volatility and Expected Stock Returns, 2009, Journal of Empirical Finance 16, 409-429.

• Investment Banking in China: Past, Present and Future, 2007, with Alan Douglas, in China’s Capital Market — Challenges from WTO Membership, edited by Kam C. Chan, Hung-Gay Fung, and Wilson Liu, pp.138 –164, M.E. Sharpe, New York.

• The Development of the Real Estate Industry in China'', 2006, with Hung-Gay Fung, Wilson Liu, and Maggie Shen, The Chinese Economy 39, 84-102.

• Floating the Non-floatables in China's Stock Market: Theory and Design, 2005, with Hung-Gay Fung, Emerging Markets Finance and Trade 41, 6-26.

• Stock Ownership Segmentation, Floatability, and the Constrained Investment Banking in China, 2004, with Hung-Gay Fung, China and World Economy12, 66-78.