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.
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
Topic 1: Behavioral Finance and Asset Pricing
In this research area, I study how investors' beliefs and preferences shape investment decisions and asset prices. My current research focuses on extrapolative beliefs, dividend, and lottery preferences.
1. Motivated Extrapolative Beliefs, solo, 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 paper studies whether investors’reference-dependent positions shape how they form extrapolative beliefs. I show that investors with paper losses rely more on optimistic extrapolative signals, whereas investors with paper gains rely more on pessimistic signals. This state-dependent reliance on extrapolative signals is consistent with motivated beliefs. Motivated extrapolative beliefs generate substantial return predictability, with return spreads of approximately 1% per month. The effect is stronger where limits to arbitrage are more severe, comoves with survey expectations and order imbalance, and is more pronounced among household investors. Motivated extrapolative beliefs also help explain the profitability of momentum strategies. The evidence suggests that investors do not simply extrapolate past returns. Instead, they selectively rely on extrapolative signals when those signals are psychologically valuable given their current gains or losses.
2. Return Extrapolation and Underreaction to Earnings Announcements, 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), Wuhan University, Xiamen University, Renmin University, Huazhong University of Science and Technology
Award: THU-PKU-RUC Doctoral Forum Best Paper
This paper examines whether return extrapolation affects the incorporation of earnings news into prices. Using textual data from a leading Chinese stock forum, we construct firm-level measures of investor expectations and estimate the degree of return extrapolation (DOX) across firms and over time. We find that firms with higher DOX exhibit significantly stronger post-earnings-announcement drift, consistent with greater underreaction to earnings news. Consistent with an attention-allocation mechanism, high-DOX firms attract more discussion of past returns and less discussion of accounting fundamentals, and the relation between DOX and drift is weaker when investors allocate more attention to fundamentals. We further show that high-DOX firms have weaker announcement-window earnings responses and less informative prices. Overall, the evidence suggests that return-based belief formation can crowd out investors’ processing of accounting information and delay the incorporation of earnings news into prices.
3. “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, 拟接收修改 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。
4. Nominal Price and Predictable Price Pressure from Dividend Reinvestment, with Siyang Li and Xiaoyan Zhang, SSRN Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6459800 [New]
This paper shows that nominal share price shapes predictable price pressure from dividend reinvestment. Because cash dividends are typically small relative to the cost of acquiring additional shares, dividends are harder to reinvest into high-priced stocks. Consistent with this friction, low-priced dividend payers earn higher abnormal returns around payment dates. A portfolio that buys low-priced dividend payers and sells high-priced dividend payers earns abnormal returns of 0.165% on payment days and 0.520% over the subsequent 20 trading days. Using split-induced variation in nominal price, we find that reinvestment returns rise when splits mechanically lower share prices. Trading and holdings data reveal that both retail and institutional investors reinvest dividends more strongly into low-priced stocks, especially when they exhibit round-lot trading or holding behavior. Fractional trading attenuates but does not eliminate the relation between nominal price and reinvestment price pressure. Low-priced firms also pay dividends more intensively, consistent with catering to reinvestment demand.
Topic 2: FinTech
This theme explores new developments in the market, such as social media and blockchain technologies.
Award: AFBC Alt Data Tech Prize
Frequent and large-scale crashes are hallmarks of cryptocurrencies. We show that these crashes are predictable: assets experiencing large price swings subsequently exhibit significantly negative risk-adjusted returns at horizons up to eight weeks. These patterns are consistent with a framework featuring slow-moving capital and network effects, in which large swings reflect deteriorating trading efficiency and reduced participation. A long-elastic-winner, short-inelastic-loser strategy (EWIL) substantially outperforms momentum and persists at longer horizons. Evidence from ICO-induced Ethereum blockchain congestion causally supports this mechanism but not alternative explanations. Our results show that slow-moving capital and network effects intertwine to shape cryptocurrency pricing.
Topic 3: The Chinese Capital Market
In this research area, I study the interactions among investors, firms, and financial intermediaries in the Chinese capital market. I am particularly interested in the behavior of retail investors and its implications for corporate decision-making and asset pricing.
6. The Truth of Silence: When No Analyst Report Speaks Volumes, with Jiahao Shi, SSRN Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5350997 Reject and Resubmit at Journal of Banking and Finance
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 introduces a novel measure of analyst silence and examines its implications for cross-sectional asset pricing and capital market outcomes. We hypothesize that analysts strategically remain silent rather than issue unfavorable reports when confronted with bad news. Consistent with this prediction, we find that analyst silence predicts lower future stock returns. Portfolios with low analyst silence earn monthly returns that are 0.99% higher than those with high analyst silence. Analyst silence also predicts more future negative news and less future positive news. Additional evidence suggests that while analyst silence impedes information dissemination, it also plays a monitoring role. Overall, our findings indicate that analysts strategically use silence as an information disclosure strategy.
7. Dividends as a Smoke Screen: Opportunistic Initiations in China, with Siyang Li and Xiaoyan Zhang, [New]
Presented at: China Banking and Corporate Finance (CBCF 2026), Dishui Lake Finance Conference International (DFCI, 2026)
Award: Dishui Lake International Conference in Finance Best Paper
Dividend initiations are traditionally viewed as positive signals of governance quality and future performance, yet they can also be opportunistic. Using ex ante public information, we identify a set of opportunistic initiations. These events generate short term positive abnormal returns but reverse sharply over longer horizons. Exploiting proprietary trading data, we show smaller retail investors systematically accumulate opportunistic dividends and exhibit poorer return predictability, whereas larger retail and institutional investors sell into these events and display superior predictability. Opportunistic dividends substitute for several tunneling activities, provide insiders with liquidity, and precede lower investment efficiency and weaker earnings growth. Overall, our findings show that dividend initiations—often viewed as value enhancing—can also facilitate insider rent extraction.
8. Trading on Dividends: Evidence from China, with Siyang Li and Xiaoyan Zhang, [In Progress]
Presented at: Future Scholars in Finance Forum (FSFF, 2025)
Dividend issuance is one of the most important corporate events. Yet, it is insufficiently understood how investors trade on dividends. Using comprehensive retail and institutional trading data from China, we examine how various investors process and trade on information regarding dividends. We find that smaller investors pursue more pronounced contrarian strategies with longer horizons when trading dividend-paying firms during normal periods. Around dividend events, they tend to buy prior to record dates and sell following ex-dividend days. Large retail and institutional investors trade in the opposite direction. Consequently, smaller retail investors exhibit stronger return predictability for payers relative to non-payers, though this advantage diminishes around dividend events. An event study of dividend tax reform further corroborates this mechanism. Overall, our findings underscore the importance of investor heterogeneity and time-varying liquidity demand in shaping dividend-related trading behavior and price discovery.
Ad-hoc Referee
Management Science, Journal of Banking and Finance, Journal of Empirical Finance