Publication
1. Borrowing from Friends of Friends: Indirect Social Networks and Bank Loans, with Sterling Huang, Bo Li, Massimo Massa, and Hong Zhang, Management Science (Forthcoming).
We examine how indirect connections (i.e., friends of friends), an important yet understudied feature of social networks, may affect bank loan contracts. We find that indirect connections-initiated new loans exhibit significantly lower spreads. Bank monitoring, loan quality, and firm investments are also negatively affected, suggesting that indirect connections may give rise to a favoritism treatment by banks in the extensive margin (i.e., issuing new loans).
2. 成长的代价：上市前超额现金分红与上市后长期表现, with 刘宇, 张晓燕 2025 [New] 资本市场研究 总第一期
本文基于2000-2024年手工收集的IPO公司上市前的现金分红数据，系统考察了上市前现金分红与公司上市后长期市场表现的关系。研究发现，（1）上市前高现金分红的公司，其IPO后长期市场表现显著较差；（2）本文结合公司盈利能力、成长性、规模及杠杆水平构建了超额分红指标，并发现超额分红公司的IPO前分红水平与上市后长期表现呈显著负相关，而在分红不足公司中，二者则呈现微弱的正相关关系；（3）IPO前超额分红行为伴随着公司资本性支出降低与投资效率的下降。基于以上研究结论，本文建议监管部门完善IPO前现金分红信息披露要求，制定更加详细的IPO前超额分红的监管标准，以进一步保障投资者权益。本文不仅丰富了公司现金股利政策的经济后果与IPO后长期表现的研究，也为完善新股发行监管制度提供了重要的经验证据。
Working Papers
1. Underreaction Associated with Return Extrapolation: Evidence from Post-earnings-announcement Drift, with Siyang Li , SSRN Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3978914
Presented at: CIFFP (2023), China Finance Annual Meeting (CFAM, 2023), AsianFA (2022), THU-PKU-RUC Doctoral Forum (2023), China Financial Research Conference (CFRC, 2024)
Award: THU-PKU-RUC Doctoral Forum Best Paper
Using data from a leading stock forum, we investigate return extrapolation in the cross-section. We find that extrapolators overreact to past returns but underreact to fundamental information. The post–earnings-announcement drift (PEAD) is significantly more pronounced among firms with a higher firm-level degree of extrapolation (DOX). Furthermore, investors in high-DOX firms disproportionately focus on non-fundamental returns over fundamentals. The relation between DOX and PEAD becomes more pronounced when investor attention to fundamentals is relatively low. Such extrapolative behavior ultimately reduces stock price informativeness. Collectively, our findings provide new insights into return extrapolation from the perspective of limited asymmetric attention.
2. “一本万利”还是“孤注一掷”：现金股利、彩票型偏好与股票横截面收益率, solo, 2024, 2nd round R&R at 经济学(季刊).
Presented at: China International Conference in Finance (CICF, 2024), 中国衍生品青年论坛
本文分析了公司现金股利对投资者彩票型偏好在股票横截面收益率定价能力的影响。 研究发现，在现金股息率较低的股票中，彩票型股票未来收益率显著低于非彩票型股票；而在股 息率较高的股票中，彩票型异象负向定价能力有限。本文进一步利用半强制分红政策作为准自然 实验考察现金股利对投资者博彩偏好影响的因果关系。研究发现，半强制分红政策后，受到影响 的公司分红水平相对上升，博彩偏好程度相对降低。
Award: AFBC Alt Data Tech Prize
Bubbles and crashes are hallmarks of cryptocurrencies. Can such bubbles/crashes be predicted in the cross-section of cryptocurrencies? We document that consecutive large price runups and price drawdowns, a leading asset pricing implication of slow-moving capital, can help predict crypto-crashes and negative returns. This effect may arise when investors reduce demand after experiencing inelasticity, leading to predictive price declines. Analysis using ICOs as a source of Ethereum blockchain congestion supports this mechanism. Additionally, capital inelasticity contradicts momentum, allowing an elastic-winner-minus-inelastic-loser strategy to deliver superior performance. Our results highlight novel properties of inelastic markets.
4. Motivated Extrapolative Beliefs, solo, 2024, SSRN Link: https://papers.ssrn.com/abstract=4753510
Presented at: Western Finance Association Annual Meeting (WFA 2025), AFA PhD Poster Session (2024), China Finance Annual Meeting (CFAM, 2023), AsianFA (2023), The 5th Greater China Area Finance Conference (GCAF 2024), Conference of Contemporary Topics on Financial Markets (CTFM 2024), Beijing Foreign Studies University
Award:
1. WFA The Brattle Group Ph.D. Candidate Awards For Outstanding Research
2. this paper helps me get the AFA PhD Travel Grant.
3. CFAM Best Paper (2nd prize)
4. CTFM Best Paper (in Asset Pricing)
This study investigates the relationship between investors’ prior gains or losses and their adoption of extrapolative beliefs. Our findings indicate that investors facing prior losses tend to rely on optimistic extrapolative beliefs, whereas those experiencing prior gains adopt pessimistic extrapolative beliefs. These results support the theory of motivated beliefs. The interaction between the capital gain overhang and extrapolative beliefs results in noteworthy mispricing, yielding monthly returns of approximately 1%. Motivated extrapolative beliefs comove with investors’ survey expectations and trading behavior, and help explain momentum anomalies. Additionally, households are susceptible to this belief distortion. Institutional investors can avoid overpriced stocks associated with motivated (over-)optimistic extrapolative beliefs.
5. The Truth of Silence: When No Analyst Report Speaks Volumes, with Jiahao Shi, 2024 SSRN Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5350997
Presented at: Camphor Economics Circle (Fujian) “Cloud Seminar”, The 5th “Big Data Econometrics Theory and Applications - Financial Technology and Financial Big Data Econometric Modeling” Seminar, China Banking & Corporate Finance Conference (CBCF, 2025), China Finance Annual Meeting (CFAM, 2025), Sydney Banking and Financial Stability Conference (SFBC, 2025)
This study proposes a novel measure of analyst silence and investigates its cross-sectional asset pricing implications. Consistent with the intuition that analysts may remain silent rather than issuing unfavorable reports when confronted with bad news, we document a significant negative correlation between analyst silence and future stock returns. Stock portfolios with low analyst silence generate 0.99% more monthly returns than portfolios with high silence. We further show that analyst silence predicts the arrival of more adverse news and fewer favorable news in subsequent periods, and that silence impedes the dissemination of information, particularly bad news. The return predictability of silence is stronger for analysts with greater reputation concerns. Taken together, our findings suggest that analysts employ silence strategically, with important consequences for the efficiency of capital markets.
Ongoing Projects
1. Trading on Dividends: Evidence from China, with Siyang Li
Presented at: CFSF (China Future Scholars in Finance Forum, 2025)
2. Suspicious Dividends in China, with Siyang Li
Ad-hoc Referee
Management Science, Journal of Banking and Finance, Journal of Empirical Finance