Research
Selected publications
Standing Out from the Crowd via CSR Engagement: Evidence from Non-Fundamental-Driven Price Pressure, with L. Gao and J. He, 2024, Journal of Financial and Quantitative Analysis 59: 39-67
How Do Stronger Creditor Rights Impact Corporate Acquisition Activity and Quality?, With M. Rainville and E. Unlu, 2022, Journal of Banking and Finance 144: 106625
Longs, Shorts, and the Cross-Section of Stock Returns, with P. Nezafet, T. Shen, and Q. Wang, 2022, Journal of Banking and Finance 138: 106410.
Algorithmic Trading and Market Quality: International Evidence, with E. Boehmer and K. Fong, 2021, Journal of Financial and Quantitative Analysis 56:2659 - 2688.
Institutional Allocations in the Primary Market for Corporate Bonds, with S. Nikolova and L. Wang, 2020 Journal of Financial Economics 137, 470-490.
What Do Short Sellers Know?, with E. Boehmer, C. Jones, and X. Zhang, 2020, Review of Finance 24, 1203-1235.
First prize in the Spängler-IQAM award for the Best Investments Paper, 2021
Short Selling and Market Anomalies, with A. Zhang, 2019, Journal of Financial Markets, 46,100502, https://doi.org/10.1016/j.finmar.2019.07.001
Vote Avoidance and Shareholder Voting in Mergers and Acquisitions , with K. Li and T. Liu, 2018, Review of Financial Studies 31: 3176-3211.
Semifinalist for Best Paper Award at the FMA Asia Pacific Conference 2017
Featured in Harvard Law School Forum
Earnings Attribution and Information Transfers, with D. Koo and E. Yeung, 2017, Contemporary Accounting Research 34: 1547–1579.
Equity Short Selling and Bond Downgrades , with T. Henry and D. Kisgen, 2015, Journal of Financial Intermediation 24:89-111.
Merger Arbitrage Short Selling and Price Pressure , with T. Liu, 2014, Journal of Corporate Finance 27: 36-54.
High Short Interest Effect and Aggregate Volatility Risk , with A. Barinov, 2014, Journal of Financial Markets 21: 98-122.
Short Selling and the Price Discovery Process, with E. Boehmer, 2013, Review of Financial Studies 26: 287-322. [Lead article]
Runner Up prize for the RFS Michael J. Brennan Best Paper Award, 2014
Selected Working Papers
Deciphering Greenium: the Role of Investor Demand, with L. Wang
Using security-level bookbuilding data, we analyze the pricing and demand for green bond offerings (GBOs) compared to their conventional counterparts. We show that greenium arises from a somewhat lower initial offering spread and larger spread tightening after bookbuilding, consistent with our finding that investor demand is typically higher for GBOs but varies considerably. These results suggest that investor-tastes models explain greenium. Further analyses do not support the temporary price pressure or liquidity preference arguments. Finally, we find investors' lower price sensitivity for GBOs also contributes to greenium. Overall, our study suggests that realizations of investor demand drive the observed greenium