Nanying Lin, PhD, FRM

My research interest is primarily in empirical asset pricing, including short-sale constraints, mispricing, investor sentiment, disagreement, hedge fund performance, cryptocurrency, and AI in finance. I'm currently working on multiple studies, and one of which is titled “Short-selling Profitability, Market Power, and Asset Pricing Anomalies.”  In this study, we measure a stock’s short-selling profitability (SSP) as its price sensitivity to short-selling activities over recent periods. Our findings show that short-selling strongly and negatively predicts future returns, particularly among high-SSP stocks. Furthermore, we identify SSP as a novel determinant of cross-sectional stock lending fees. While the profitability of anomalies decreases when accounting for short-selling fees, they remain exploitable among high-SSP stocks. These results support the existence of a stock-lending market in which lenders allow short sellers to retain a portion of arbitrage profits. This suggests that short-selling constraints alone do not fully explain the persistence of anomalies, especially among high-SSP stocks.

In the future, I will continue pursuing my current research focus and attempt to publish papers in top journals. 

Besides research, I am intensely interested in teaching undergraduate courses in finance. I am a certified Financial Risk Manager (FRM), enhancing my ability to teach a broad range of finance courses. My teaching interests include Investments, Financial Modelling, Corporate Finance, Financial Derivatives, and Financial Risk Management. 

• “The Value of Investor Sophistication” (with Chengbo Fu, Gady Jacoby, and Lei Lu)

  • Financial Management (2025),  54(4), 761-790. https://doi.org/10.1111/fima.12497 

• "Disagreement Exploitation and Hedge Fund Performance” (with Gady Jacoby, Shi Li, and Yan Yang)

  • Financial Management (2024), 1-33. https://doi.org/10.1111/fima.12471

• “Sentiment and the Cross-section of Expected Stock Returns” (with Gady Jacoby, Chi Liao, and Lei Lu)

  • Financial Review (2024), 1–27. https://doi.org/10.1111/fire.12380 

• “CSR disclosure of foreign versus U.S. firms: Evidence from ADRs” (with Reza Chowdhury, Chengbo Fu, and Qiping Huang)

  • Journal of International Financial Markets, Institutions & Money, Volume (70), 101275 (2021).

• "The Value of Accessing the Stock Lending Market: Stock Lending Income Bond and Asset Prices. (with Seungho Jeon and Li Yu). 

  • Finance Research Letters (2025), 108471.

  • https://www.sciencedirect.com/science/article/pii/S1544612325017258

• "Financial institutions and CO2 emissions in the G20: Fuel-specific and income-level insights" (with Mansoor Pirabi, Chengbo Fu, and Zhihao Huang)

  • International Review of Economics and Finance (2026), 104992

  • https://www.sciencedirect.com/science/article/pii/S105905602600105X

• "Short-selling Profitability, Market Power, and Asset Pricing Anomalies" (with Zhi Da, Lei Lu, and Chengbo Fu)

  • R&R under Review of Financial Studies

• “Implied Asset Volatility and Stock Misvaluation: A Mertonian Perspective” (with Chengbo Fu and Xiankui Hu)

  • R&R under Journal of Empirical Finance

• "How Rational Is AI Investment Advice? Risk-Return Relevance in Artificial Intelligence (AI) Investments" (with Tianxiang Chu, Oscar Gilbert, and Gady Jacoby)

  • R&R under Journal of Behavioral and Experimental Finance

• "AI-mimicking Institutional Investors"

  • Work in Progress

• "Behind the Riskiness of Cryptocurrencies: Stablecoin as Intermediary, Run Risk, and Crypto Asset Prices"

  • Working on the next version

• "Short-selling Profitability Exploitation and the Cross-section of Hedge Fund Performance" (with Chengbo Fu and Austin Murray)

  • Working on the next version

• “Effects of Geopolitical Risk on Equity-Agricultural-Commodity Correlations” (with Shi Li and Xiaoping Song)

  • SSRN Link

• “Consumption Sentiment and Asset Prices” (with Gady Jacoby and Chi Liao)

  • SSRN Link

• Investments, Financial Analytics and Modeling, Financial Statement Analysis

  • Spring 2026 (Average Teaching Evaluation: 4.77)

• Investments, Financial Analytics and Modeling, Financial Risk Management

  • Fall 2025  (Average Teaching Evaluation: 4.74)

• Macroeconomics and Financial Statement Analysis

  • Summer 2025 (Teaching Evaluation not available)

• Investments, Financial Analytics and Modeling, Financial Statement Analysis, and Microeconomics

  • Spring 2025 (Average Teaching Evaluation: 4.49)

• Investments, Financial Analytics and Modeling, Financial Risk Management

  • Fall 2024 (Average Teaching Evaluation: 4.36)

• Corporate Finance I,  Corporate Finance II, and Intermediate Accounting II

  • Spring 2023; Spring 2024

• Investments, Intermediate Accounting I, and Corporate Finance I

  • Spring 2020; Fall 2022; Fall 2023

  • Teaching evaluation: 4.52/5.00

• Economics and Financial Applications

  • Spring 2021, remote learning, Instructor

  • Teaching evaluation: 3.82/5.00

• Financial Derivatives for Actuarial Practices

  • Fall 2021, remote learning, Instructor