I am a Ph. D. candidate in Finance at the University of Hong Kong, Faculty of Business and Economics.
My research fields are Empirical Asset Pricing, Behavioral Finance, and Applied Econometrics.
I am on the 2024/2025 academic job market.
Curriculum Vitae (2024/10)
Working Papers
Link-Firm Characteristics Are Covariances: An IPCA Approach to Economic Linkages (Job Market Paper)
Presented at HKU Brownbag Seminar (2024).
Abstract: In this paper, I study how information embedded in economically linked firm (link-firm) shapes risk compensation. Specifically, I adopt the Instrumented Principal Component Analysis (IPCA) approach and use link-firm characteristics to proxy for dynamic risk loadings. Empirical results are three-fold. First, IPCA based on link-firm characteristics (Link-firm-IPCA) delivers high in- and out-of-sample time-series R^2. Second, Link-firm-IPCA yields a high annualized out-of-sample Sharpe Ratio of 1.9, and combining link-firm and own-firm information can further improve mean-variance efficiency. Third, Link-firm-IPCA factors explain seven lead-lag momentums documented in the economic linkage literature by over 50% in economic magnitude, suggesting a novel risk-based interpretation of lead-lag momentums.
Economic Links from Bonds and Cross-Stock Return Predictability, with Xiaolin Huo, Xin Liu, Yifei Mao, and Hong Xiang.
Journal of Financial Economics, R&R (third-round).
Presented at Financial Management Association Europe Conference (2022), China International Risk Forum (2022), Asian Meeting of the Econometric Society (2022), Financial Markets and Corporate Governance (2022), PKU-NUS Annual International Conference on Quantitative Finance and Economics (2022), PKU-THU-RUC Joint PhD Forum (2022, Best Paper Award), 2nd Credit Scoring and Credit Rating Conference (2022, Best Student Paper Award), Renmin University Brownbag Seminar (2022), HKU Brownbag Seminar (2022).
Abstract: Identifying firms’ bond-market-specific economic links through credit-rating comovement of their corporate bonds, a long-short strategy for stocks based on these links generates a risk-adjusted alpha of 0.45% per month, which cannot be explained by existing economic links in the literature. Market segmentation between the equity and bond markets appears to be the underlying mechanism: (i) The cross-return predictability is muted in the bond market; (ii) The cross-return predictability is mitigated in the presence of cross-holding investors; (iii) Equity analysts slowly incorporate information from rating-comovement links to their forecasts.
Cross-Sectional Inflation and Stock Returns: Separating Winners from Losers, with Shiyang Huang, Charles M. C. Lee, and Yang Song.
Presented at Western Finance Association Annual Meeting (2022), SFS Cavalcade Asia-Pacific (2022), Nipun Capital (2024), Hawaii Accounting Research Conference (2025, scheduled).
Abstract: Using micro-level data behind headline inflation, we develop a “Weighted Production Price Index” (WPPI) that captures the composite effect of multiple industry-level inflationary changes on each focal industry. We show: (a) WPPI explains cross-sectional variations in same-quarter earnings and same-month stock returns, (b) inflationary shocks captured by WPPI propagate across industries along supply chains and production complementary networks, and (c) WPPI has strong predictive power for industry and firm returns, yielding industry-level alphas of 1.3% per month. Further analyses of earnings forecast errors and information frictions point to sluggish price adjustment as the likely driver of these return predictability patterns.
Conditional Asset Pricing with Text-Managed Portfolios, with Jiantao Huang, Shiyang Huang, and Ran Shi.
Abstract: We construct managed portfolios based on textual analysis of firms’ earnings conference call transcripts and investigate their asset pricing implications. Loadings on the textmanaged portfolios can explain a comparable amount of stock-level return variation as those on the conventional characteristics-based factors. Combining the earnings call text and firm characteristics enhances the conditional mean-variance efficiency of factor portfolios but not the predictive power for stock returns. Drawing on the insights of Kozak and Nagel (2024), our evidence suggests that the earnings call text contains information about the return covariances missing from characteristics. Text-managed portfolios are exposed to investor sentiments and forecast macroeconomic outcomes.
Draft available upon request.
Endogenous Formation of Guaranteed Loan Networks, with Shiyang Huang, Xinhai Liu, Dong Lou, and Kathy Yuan.
Presented at Australasian Finance and Banking Conference (2023), 中国金融学科年会 (2023).
Abstract: Chinese banks in the early 2000's adopted a guaranteed-loan approach to extend credit to small and medium businesses; specifically, to qualify for non-collateralized borrowing, each loan must be guaranteed by a third-party. Firms responded to this new loan facility by forming a nexus of guarantee-guarantor relations. We study the endogenous formation of the guaranteed-loan network and its impact on firm outcomes. First, there have emerged two types of network structures: core-peripherals and circles. The core and its peripherals are vastly different from each other; moreover, the larger the core-peripheral structure, the better the loan performance of the peripheral firms. In contrast, circle members are similar to each other, consistent with a framework of positive assortative mating; furthermore, the shorter the circle, the better the loan performance of circle members. Finally, circle members in local areas with an existing core-peripheral structure have worse loan performance.
Draft available upon request.