Data:

• Stambaugh, Yu, and Yuan Mispricing Measures for Individual Stocks: 1965m07-2016m12, (Documentation )

Selected Publications:

1. Investor Sentiment and the Pricing of Characteristics-Based Factors, (joint with Zhuo Chen, Bibo Liu, Huijun Wang, and Zhengwei Wang), Review of Financial Studies, Forthcoming 

2. Macroeconomic Perceptions, Financial Constraints, and Anomalies (joint with Wei He and Zhiwei Su), Journal of Financial Economics, Forthcoming

3. Attention Spillover in Asset Pricing (joint with Xin Chen, Li An, and Zhengwei Wang), Journal of Finance 78, December 2023, pp.3515- 3559

4. Attention and Underreaction-Related Anomalies (joint with Xin Chen, Wei He, and Libin Tao), Management Science 69, January 2023, pp.636-659

5. Aggregate Expected Investment Growth and Stock Market Returns (joint with Jun Li and Huijun Wang), Journal of Monetary Economics 117, January 2021, pp.618-638

6. Time-Varying Demand for Lottery: Speculation Ahead of Earning Announcements, (joint with Bibo Liu, Huijun Wang, and Shen Zhao), Journal of Financial Economics 138, December 2020, pp.789-817

7. Impediments to Financial Trade: Theory and Applications, (joint with Nicolae Garleanu and Stavros Panageas), Review of Financial Studies 33, June 2020, pp. 2697-2727 

8. Lottery-Related Anomalies: The Role of Reference-Dependent Preferences, (joint with Li An, Huijun Wang, and Jian Wang), Management Science 66, January 2020, pp.473-501

   1. 1. 2016 CQAsia Academic Competition (First Prize)

9. Investor Sentiment and Economic Forces, (joint with Junyan Shen and Shen Zhao), Journal of Monetary Economics 86, April 2017, pp.1-21

• • 1. Lead Article

    2. 2012 Chicago Quantitative Alliance Academic Competition (First Prize)

    3. 2013 Crowell Memorial Prize (Third Prize), PanAgora Asset Management

    4. 2013 The Chinese Finance Association (TCFA) Best Paper Award

10. Optimal Long-term Contracting with Learning, (joint with Zhiguo He, Bin Wei, and Feng Gao), Review of Financial Studies 30, October 2017, pp. 2006-2065

11. Reference-Dependent Preferences and the Risk-Return Tradeoff, (joint with Huijun Wang and Jinghua Yan), Journal of Financial Economics 123, February 2017, pp. 395-414

• • 1. 2012 Q-Group Research Award

    2. 2014 Chicago Quantitative Alliance Academic Competition (Third Prize)

12. Short- and Long-Run Business Conditions and Expected Returns (with Qi Liu,   Libin Tao and Weixing Wu), December 2017, Management Science 63, pp.4137-4157.

13. Asset Pricing in Production Economies with Extrapolative Expectations (joint with David Hirshleifer and Jun Li), Journal of Monetary Economics 76, November 2015, pp. 87-106 Extended Appendix

14. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, (joint with Robert Stambaugh and Yu Yuan), Journal of Finance 70, October 2015, pp. 1903-1948

15. Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion, (joint with Nicolae Garleanu and Stavros Panageas), American Economic Review 105, June 2015, pp. 1979-2010

16. The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, (joint with Robert Stambaugh and Yu Yuan), Journal of Financial Economics 114, December 2014, pp. 613-619

17. Uncertainty, Risk, and Incentives: Theory and Evidence, (joint with Zhiguo He, Si Li and Bin Wei), Management Science 60, January 2014, pp.206-226

• • 1. Winner of The Chinese Finance Association 2012 Best Paper Award

18. A Sentiment-based Explanation of the Forward Premium Puzzle, Journal of Monetary Economics 60, May 2013, pp. 474-491 Extended Appendix

19. Government Investment and the Stock Market (joint with Frederico Belo), Journal of Monetary Economics 60, April 2013, pp. 325-339, Extended Appendix

20. Technological Growth and Asset Pricing, (joint with Nicolae Garleanu and Stavros Panageas), Journal of Finance 67, August 2012, pp. 1265-1292, Extended Appendix

• • 1. Winner of the 2012 Smith Breeden Prize (First Prize)

21. The Short of It: Investor Sentiment and Anomalies, (joint with Robert Stambaugh and Yu Yuan), Journal of Financial Economics 104, May 2012, pp. 288-302

• • 1. 2012 AQR Insigtht Award (Honorable mention)

    2. 2011 RWC Marshall Blume Prize (Honorable mention)

22. Investor Attention, Psychological Anchors, and Stock Return Predictability, (joint with Jun Li), Journal of Financial Economics 104, May 2012, pp. 401-419

23. Investor Sentiment and the Mean-Variance Relation, (joint with Yu Yuan), Journal of Financial Economics 100, May 2011, pp. 367-381

Selected Working Papers: 

1. Salience and Short-term Momentum and Reversals (joint with Yili Chen and  Huaixin Wang), April 2024

2. Extrapolation and Risk-Return Trade-offs (joint with Qi Liu, Zhiwei Su, and Huijun Wang), February 2024

3. Extrapolative Market Participation (joint with Wanbin Pan, Zhiwei Su, and Huijun Wang), February 2024 

4. Similar Stocks (joint with Wei He, Huaixin Wang, and Yuehan Wang), February 2024

5. Time Variation in Extrapolation and Anomalies, (joint with Wei He, Zhiwei Su, and Yuehan Wang), September 2023

6. Priming and Stock Preferences: Evidence from IPO Lotteries, (joint with Conghui Hu, Yu-Jane Liu, and Xin Xu), December 2019