Working Papers

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

• Presentations: Cornell, CUHK, PolyU HK, CityU HK, University of Cincinnati, CMU, CUHK (Shenzhen), HKUST (Guangzhou), 8th World Symposium on Investment Research, 9th CCER SI, 2025 China Fintech Research Conference, UBC Summer Finance Conference 2025

• Abstract: In response to the exponential growth of share repurchases, the SEC adopted a rule in May 2023 requiring firms to disclose realized repurchases on a daily rather than quarterly basis. The rule was later vacated following legal challenges. We show both theoretically and empirically that more frequent disclosure increases—rather than decreases—share repurchase activity. Disclosure reduces information asymmetry and the price impact of repurchases, lowering the marginal cost of buying additional shares and incentivizing firms to repurchase more. At the same time, firms oppose increased disclosure because it leads to price jumps and raises the average cost of repurchases. 

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

• 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