Research papers

Publications

A Hidden Cost of ETF Investing: Retail Demand Shocks and Limits to Arbitrage. Journal of Banking and Finance (2026)

- with Kelly Liu and Yaodong Zhang

Why Momentum Concentrates among Overvalued Stocks? Review of Finance (2024) 

-with Jack Favilukis 

Cheaper Is Not Better: On the "Superior" Performance of High-Fee Mutual Funds. Review of Asset Pricing Studies (2023)

- with Jinfei Sheng and Mikhail Simutin

Working papers

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

- with Adlai Fisher

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

Technology Adoption, Market Power, and the Dual Dynamics of Markups and Value Premium. Under Review

- with  Xiaoji Lin and Chao Ying

- Presentation: 2023 WFA, 2023 CICF, 2024 Cavalcade

Demographics, Interest Rates, and the Composition of Deposits. Reject and Resubmit  

- with Jack Favilukis and Jinfei Sheng

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

Investor Composition and Liquidity: An Analysis of Japanese Stocks. Revise and Resubmit

- with Hao Jiang, Sheridan Titman, and Takeshi Yamada

- Presentation:  2024 AsianFA,  2024 Nippon Finance Association

"Double Descent" in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. Reject and Resubmit

- with Yonghe Lu and Yanrong Yang

- Presentation: 2025 CICF, 2025 Econometric Society World Congress

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