Working Papers

Market-Level Tug of War and Asset Pricing with Lei Zhao and Chardin Wese Simen.

Presentations: Factor Investment (2026), Paris December (2024), ESCP Asset Pricing Workshop (2024), FMA Asia (2022)

Award: The Best Pitch Award of the 2024 FMA Europe Conference

Abstract: We propose a simple indicator function based on the aggregate tug-of-war between overnight and intraday traders, and use it to classify trading days as either quiet or noisy days. Analyzing these two types of days, we find that the Capital Asset Pricing Model (CAPM) holds on quiet days but fails on noisy days. This result is robust after controlling for major information events, such as macroeconomic and earnings news releases, thereby challenging existing findings in the literature. To rationalize the results, we present and test a mechanism based on over-correction.

Journal Articles

The Female Finance Penalty: Why Are Women Less Successful in Academic Finance Than Related Fields?

with Chris Brooks, Lisa Schopohl, James Walkers, and Millie Zhu. (Research Policy, Volume 54, Issue 4, May 2025, 105207)

Competitive Categorization and Networks: Cognitive Strategic Groups

Previous title: News Co-Coverage-Based Strategic Groups

Code and Data are both available

with Tian Han, Abby Ghobadian, Andrew Yim, and Howard Thomas. (British Journal of Management, Volume 34, Issue 4, October 2023, Pages 1687-1713)

When is a MAX not the MAX? How News Resolves Information Uncertainty

Media coverage by Dow Jones.com

with Chris Brooks and Adrian R. Bell. (Journal of Empirical Finance, Volume 57, June 2020, Pages 33-51)

Tomorrow's Fish and Chip Paper? Slowly-incorporated News and the Cross-section of Stock Returns

Media coverage by Dow Jones.com

with Chris Brooks and Adrian R Bell. (European Journal of Finance, Volume 27, 2021 – Issue 8)

Books and Chapters

Python Guide to Accompany Introductory Econometrics for Finance

Data and code are available here

with Chris Brooks. (Cambridge University Press © Chris Brooks (2019))

Funded Projects

Media, Momentum and the UK Stock Market: 1888–2021

Co-investigator with Clive Walker (PI) and Jiadong Liu, £ 9,994 funded by 22-23 BA/Leverhulme Small Research Grants scheme.

From Pen to Print: Tracing the Evolution of Poverty Narratives in The Times Over Centuries

Principal investigator with Jin Zheng (Co-I) and Adrian Bell (Co-I), £5,933.03 funded by 23-24 Bristol Poverty Institute Seedcorn Fund.

Working in Progress

Corporate News and Stock Return Jumps Around the World with Jian Chen, Yaqin Hu, and Xiaofei Zhao.

Presentations: ANU seminar, Bristol brownbag

Abstract: What role do corporate news events play in generating jumps in stock returns worldwide, and what explains the substantial cross-country heterogeneity in this relation? Using a comprehensive dataset of corporate news events for publicly listed firms across 55 countries, we provide the first evidence that both the occurrence of news events and their textual content are important sources of stock return jumps globally. More importantly, we document substantial cross-country heterogeneity in the news–jump effect, which is strongly and positively associated with country-level Internet penetration, among other information environment characteristics. Additional analyses of international information flows provide evidence of cross-border news–jump spillovers. These spillover effects are stronger when the affected country has higher Internet penetration. Overall, our findings highlight the important role of information technology in facilitating discontinuous price discovery upon news arrival.

Corporate Relocation and Lead-lag Return Effects along the Supply Chain with Wenye (William) Pan and Fangming Xu.

Presentations: SFA (2026), FMA Europe (2026), AFFI (2026), Cardiff University

Abstract: We document that establishment-level corporate relocation has significant implications for firm-level lead–lag return effects. Using U.S. publicly listed supplier–customer links, we show that the previously documented nonsynchronous return pattern between customers and suppliers is attenuated when suppliers relocate their establishments closer to their customers. To explore the underlying mechanism, we find that supplier–customer proximity exhibits stronger economic relatedness and attracts greater investor attention, thereby mitigating inattention-driven lead–lag effects along the supply chain. Overall, our findings suggest that firms’ relocation decisions can materially improve market efficiency.

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