Working Papers

1. Disclosing Share Repurchase More Frequently? with Mao Ye and Feng Zhang 

• Presentations: Cornell, The Chinese University of Hong Kong, The Hong Kong Polytechnic University, City University of Hong Kong, University of Cincinnati, Carnegie Mellon University, CUHK (Shenzhen), HKUST (Guangzhou), 8th World Symposium on Investment Research, 9th CCER SI, 2025 China Fintech Research Conference, UBC Summer Finance Conference 2025, 2026 NFA

• Abstract: Corporate signaling theory predicts firms favor frequent post-trade disclosure of share repurchases, yet firms litigated against the SEC's daily-disclosure proposal. Modeling firms as informed traders, we show higher disclosure frequency reduces information asymmetry and the marginal cost of repurchases, encouraging larger buybacks; firms resist because disclosure erodes their informational advantage and raises average execution prices. Exploiting 2004 Rule 10b-18 amendment with U.K./Canadian cross-listed firms as controls, we find more frequent disclosure lowers price impact by 6.8 basis points, lowers earnings announcement CAR by 0.743%, raises repurchase prices by 6.79%, and increases average repurchase dollar volume by 2.25 million dollars.

2. Asset Prices and Portfolio Adjustment under Supply Shocks with Mao Ye, Chen Yao, and Shidong Shao

• 2025 FMA Semi-Finalist; Previously circlulated as "Supply-based Asset Pricing"

• Presentations: 2025 ESADE Spring Workshop, 2025 CICF, Stockholm Business School, Vienna Graduate School of Finance, 9th CCER SI, 2025 China Fintech Research Conference, 2025 SAFE Asset Pricing Workshop, Universitu of British Columbia, 2025 FMA, Market Microstructure Exchange, 2025 CUHK-RAPS Conference, Singapore Management University, Tsinghua University, FIRS 2026, 14th Helsinki Finance Summit, 2026 Bayes Junior Asset Management and Asset Pricing Workshop

• Abstract: We provide the first estimate of the price impact of exogenous changes in share supply: a 1% uninformed increase in shares outstanding lowers stock prices by 2.6%. Our identification exploits the 2016 SEC Tick Size Pilot. Although treatment and control firms announced similar repurchase programs, treatment firms repurchased 22% fewer shares due to an unforeseen conflict between the pilot and repurchase regulations. Unshocked control stocks allow us to absorb price spillovers and estimate a relative price multiplier, approximating the own-price multiplier at the stock level. Investment advisors and mutual funds absorb most shocks, followed by banks and other 13F institutions. 

 Working in Progress

1. Informed Trading in Parallel Market with Dong Lu and Biao Guo