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).
Working Papers
1. Underreaction Associated with Return Extrapolation: Evidence from Post-earnings-announcement Drift, with Siyang Li
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 novel data from a stock forum, we analyze return extrapolation in the cross-section. Our findings indicate that extrapolators overreact to the returns but underreact to the fundamentals. The post-earnings-announcement drift (PEAD) is more pronounced among firms with a high firm-level degree-of-extrapolation (DOX). Additionally, investors ask fewer questions about high-DOX firms’ fundamental information on official online interactive platforms. Extrapolation reduces the informativeness of stocks due to investors’ inattention to fundamentals. Furthermore, extrapolators’ overreaction to returns and underreaction to fundamentals increase stock price crash risks. These findings support explanations of extrapolation based on 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: Bad Signal of No Analyst Report, with Jiahao Shi, 2024 [New]
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)
This study introduces a novel measure of analyst silence and explores its cross-sectional asset pricing implications and impact on the capital market. Consistent with the intuition that analysts tend to choose silence over issuing adverse reports when faced with bad news, we find that analyst silence and future stock returns are negatively correlated. Stock portfolios with low analyst silence generate 0.99% more monthly returns than portfolios with high silence. Analyst silence is associated with more bad news and less good news in the future. Further evidence suggests that while analyst silence hinders information dissemination, it also serves a monitoring role. Our results indicate that analysts can keep silent in a strategic way.
6. 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, 2024 [New]
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长期市场表现的关系。研究发现，（1）上市前实施高额现金分红的公司，其IPO后长期市场表现显著较差，这一负面效应在成长型公司和融资约束较高的公司中尤为突出；（2）通过构建考虑公司盈利能力、成长性、规模及杠杆水平的超额分红指标，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，而分红不足公司则呈现微弱的正相关关系；（3）IPO前超额分红行为通过挤占公司资本性支出、降低投资效率等渠道削弱了企业的增长潜力。本研究不仅丰富了公司股利政策的经济后果研究，也为完善新股发行监管制度提供了重要的经验证据。
Ad-hoc Referee
Management Science, Journal of Banking and Finance, Journal of Empirical Finance