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 (Scheduled), 2027 AFA (Scheduled)
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.
Asset Prices and Portfolio Adjustment under Supply Shocks with Mao Ye, Chen Yao, and Shidong Shao
2025 FMA Semi-Finalist; Previously known 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.
Informed Trading in Parallel Market with Dong Lu and Biao Guo
Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation, with Zhihang Liang and Wenjun Jiang, Insurance: Mathematics and Economics, Vol 104: 200-221, 2022.
Abstract: This paper studies the design of optimal insurance from an insurer’s perspective when it is subject to adverse selection issue. Different from the literature, the insureds who are exposed to different types of risks are allowed to apply different preference measures. By assuming that the insureds’ preferences are dictated by some distortion risk measures that always over-estimate the tail risk, we figure out the optimal policy menu without assuming the parametric form of indemnity functions. We also find that the insureds who deem their losses riskier than those of others will always purchase full insurance, which is consistent with the results in past studies. Furthermore, we show that in the presence of adverse selection the optimal policy menu always outperforms the optimal single policy in the sense that the former can yield a larger expected profit for the insurer. This outcome also echoes some existing results in the literature.