Research papers

Publications

Why Momentum Concentrates among Overvalued Stocks, 2024

- with Jack Favilukis

- Review of Finance

Cheaper Is Not Better: On the "Superior" Performance of High-Fee Mutual Funds, 2023

- with Jinfei Sheng and Mikhail Simutin

- Review of Asset Pricing Studies

Working papers

Technology Adoption, Market Power, and the Dual Dynamics of Markups and Value Premium, 2025

- with  Xiaoji Lin and Chao Ying

- Presentation: 2023 WFA, 2023 CICF, 2024 Cavalcade

- Under Review

Demographics, Interest Rates, and the Composition of Deposits, 2025

- with Jack Favilukis and Jinfei Sheng

- Presentation: 2021 AFA, 2022 FIRN Banking, 2023 California Corporate Finance

- Reject and Resubmit

The Global Implied Volatility Surface and Common Predictability of International Equity Premia, 2025

- with Adlai Fisher

- Presentation: 2023 CUHK AP, 2023 FIRN, 2024 CICF

Investor Composition and Liquidity: An Analysis of Japanese Stocks, 2025 

- with Hao Jiang, Sheridan Titman, and Takeshi Yamada

- Revise and Resubmit

"Double Descent" in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy, 2025 [arXiv]

- with Yonghe Lu and Yanrong Yang

- Reject and Resubmit

Hidden Cost of ETF Investing: Retail Demand Shocks and Limits to Arbitrage, 2025

- with Kelly Liu and Yaodong Zhang

- Revise and Resubmit

Learning from Price and Arbitrage Profits in the Stablecoin Market, 2024

- with Mingjun Hao

-Presentation: 2023 ANU Summer Research Camp, 2024 UWA Blockchain and Cryptocurrency Conference, 2024 Sydney Banking and Financial Stability Conference 

Stock returns on post macroeconomic announcement days, 2022

with Zilong Niu

- Presentation: University of Melbourne, SWUFE