Data:

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

Selected Publications:

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

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

3. 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

4. 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

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

6. 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)

7. 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

8. 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

9. 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)

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

11. 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

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

13. 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

14. 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

15. 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

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

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

18. 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)

19. Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models, Review of Economic Dynamics 15, July 2012, pp. 317-335 Extended Appendix

20. 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)

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

22. 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. Macroeconomic Perceptions and Anomalies (joint with Wei He and Zhiwei Su), December 2023

2. Salience and Short-term Momentum and Reversals (joint with Yili Chen and  Huaixin Wang), December 2023

3. Extrapolation and Risk-Return Trade-offs (joint with Qi Liu, Zhiwei Su, and Huijun Wang), April 2022

4. Extrapolative Market Participation (joint with Wanbin Pan, Zhiwei Su, and Huijun Wang), April 2021 

5. Similar Stocks (joint with Wei He, Huaixin Wang, and Yuehan Wang), December 2023

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

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

8. Investor Sentiment and the Pricing of Characteristics-Based Factors, (joint with Zhuo Chen, Bibo Liu, Huijun Wang, and Zhengwei Wang), February 2020 

9. Characteristics-Based Factors (joint with Zhuo Chen, Bibo Liu, Huijun Wang, and Zhengwei Wang), January 2020