Research

SELECTED PUBLICATIONS

1.   The Gender Effects of COVID: Evidence from Equity Analysts, with Baolian Wang

        Review of Accounting Studies, forthcoming

2.    Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns? with Tinghua Duan and Quan Wen

        2021 GRASFI Best Asset Pricing Paper Prize

       Journal of Financial and Quantitative Analysis, forthcoming

3.    Exchange-Traded Funds and Real Investment, with Constantinos Antoniou, Xuewen Liu, Avanidhar Subrahmanyam, and Chengzhu Sun 

        Review of Financial Studies, Volume 36, Issue 3, 1043–1093, 2023. 

4.    Short Selling ETFs , with Qifei Zhu 

        Review of Asset Pricing Studies, Volume 12, Issue 4, 960-998, 2022. 

        2016 Australasian Finance and Banking Conference P.h.D Forum (First Prize)

5.    Inside Brokers, with Abhiroop Mukherjee and Rik Sen

        Journal of Financial Economics, Vol 141, 1096-1118 (2021)

6.    Security Analysts and Capital Market Anomalies, with Li Guo and K.C. John Wei

   The Research Paper Award  at 26th Theories and Practices of Securities and Financial Markets

   Journal of Financial Economics, Vol 137, 204-230 (2020)

7.    The Information Content of Sudden Insider Silence, with Claire Yurong Hong

        2016 FMA Asia Best Paper Award in Asset Pricing/Investment

        2017 Asian Finance Association Best Paper Award

         Journal of Financial and Quantitative Analysis, Vol.54(4), 1499-1538, 2019

8.     Climate Risks and Market Efficiency, with Harrison Hong and Jiangmin Xu

         Journal of Econometrics, Vol.208(1), 265-281, 2019

        Online Appendix; Data and Program

9.     Macro Disagreement and the Cross-Section of Stock Returns

         2015  Chicago Quantitative Alliance (Asia) Academic Competition (Second Prize)

         Review of Asset Pricing Studies, Vol.6(1), 1-45, 2016. (Editor's Choice Article)


OTHER PUBLICATIONS:

1.    Climate Change Concerns and Mortgage Lending, with Tinghua Duan

         Journal of Empirical Finance, 2024, Vol.75, 101445. 

2.   Geographic Links and Predictable Returns, with Zuben Jin

        Journal of Business Finance and Accounting, forthcoming 

       2020 Crowell Memorial Award for Best Paper in Quantitative Investments (Second Prize) 

3.    Information Acquisition and Expected Returns: Evidence from EDGAR Search Trafficwith Chengzhu Sun

         Journal of Economic Dynamics and Control, 2022, Vol.141, 104384

4.    Acquiring Organizational Capital, with Peixin Li, Baolian Wang and Zilong Zhang

        Finance Research Letters, June 2018, vol.25, 30-35


WORKING PAPERS:

1.   The Effect of Carbon Pricing on Firm Performance: Worldwide Evidence, with Tinghua Duan and Hong Zhang

      Presented at: HKIMR; University of Manchester; Lancaster University; SAIF; Zhejiang University; ABFER 2024; CICF 2024; 

2.   Financial Intermediaries and Comovement in Market Efficiency: The Case of ETFs, with Claire Yurong Hong, Jiang Luo, and Avanidhar Subrahmanyam

       Presented at: ABFER 2022; Stockholm Business School; IESEG School of Management; NUS; SMU Summer Camp; SFS Cavalcade Asia-Pacific 2022; NFA 2023; 

       R&R at Review of Financial Studies

3.   Naïve Earnings Growth Extrapolation, with Chenyu Cui and Xinyi Zhang

       Presented at: CICF 2021; China Investment Corporation; ABRI Seminar; NTU; Bank of America; RBFC 2022; 

       R&R at  Journal of Financial and Quantitative Analysis

4.   Consumers' Reaction to Corporate ESG Performance: Evidence from Store Visits, with Tinghua Duan and Roni Michaely

    Presented at: Southwestern University of Finance and Economics; NTHU Symposium on Sustainable Finance; Lingnan University; 2023 French Finance Conference; 2023 FMA European; 2024 Finance Down Under Conference; 2024 European Winter Finance Conference; Five-star conference; 

        2023 FMA European Best Paper Award in Corporate Finance & Financial Institutions

5.  Does Abstract Thinking Facilitate Information Processing? Evidence from Financial Analysts, with Zuben Jin, Rong Wang, and Gloria Yu

        Presented at: SMU; 2022 FMA Asia-Pacific Conference; 2023 SMU Summer Camp; 

6.   Something in the Air: Does Air Pollution Affect Fund Managers' Carbon Divestment? with Thanh Huynh and Ying Xia

         Presented at: HK PolyU; Monash University; SMU; 2022 AsianFA; 2022 FIRN Annual Conference; 

         2022 FIRN Annual Conference Best Paper Prize

         R&R, Review of Accounting Studies 

7.   A Behavioral Signalling Explanation for Stock Splits, with Chenyu Cui, Jiaren Pang, and Deren Xie

        R&R, Financial Management 

8.   ETF Momentum, with Melvyn Teo and Chloe (Chunliu) Yang

9.   Do Foreign Institutional Investors Deter Opportunistic Insider Trading? with Claire Yurong Hong and Qifei Zhu

        Presented at: 2018 Singapore Scholars Symposium; Volatility Institute Conference at NYU Shanghai; Five Star Finance Forum;

        SFS Cavalcade Asia-Pacific 2018; CICF 2019; NFA 2019; 2019 Journal of Law, Finance and Accounting Conference; 

10.  Major Customers and Carbon Footprints along the Supply Chain,  with Saiying Deng, Tinghua Duan  and Xiaoling Pu 

         Presented at: UNC Greensboro; 2023 FMA European; Shanghai-Edinburgh-London Green Finance Conference 

         R&R at Journal of Corporate Finance 

11.  Days to Cover and Stock Returns, with Harrison Hong, Sophie X. Ni, Jose A. Scheinkman and Philip Yan

         Presented at: 2016 AFBC PhD Forum; EFA 2015; CICF 2016; AFA 2016

         Media Coverage: Wall Street Journal; Alpha Architect; AllAboutAlpha

         2016 CICF Best Paper Award