Wenwei Lin

[1] Fractional Trading

joint with Zhi Da and Vivian Fang

• Review of Financial Studies, 2025, 38 (3), 623-660.

• Editor's Choice

• Media mentions: The Globe and Mail

• Mentioned in the SEC's proposed rule on Regulation Best Execution 

• Mentioned in the SEC's proposed rule on Order Competition Rule

We observe a surge of tiny trades, measured using off-exchange one-share trades, among high-priced stocks compared to low-priced stocks after FT is introduced to the U.S. equity markets. These tiny trades, when coordinated during attention-grabbing events, are forceful enough to exert large price pressure on high-priced stocks. FT can even fuel meme stock-like trading frenzies and bubbles in high-priced stocks.

[2] Is There a Confidence Interval for That? A Critical Examination of Null Outcome Reporting in Accounting Research

joint with William Cready, Jiapeng He, Chengdao Shao, Di Wang, and Yang Zhang

• Behavioral Research in Accounting, 2022, 34(1), 43-72.

• Prize recipient of 2025 Notable Contribution to Accounting Literature Award from the American Accounting Association

• Media mentions: AAA Awards Press Release

Null outcomes reflect an inability to reject a null they, unlike rejections, do not lend themselves to specifically conclusive interpretations. (Type-I vs Type-II errors.) We propose and illustrate the use of descriptive techniques in the form of confidence intervals as an appropriate approach for interpreting null outcomes.

[3] Informative Price Pressure

joint with Salman Arif and Zhi Da

Informed investors often hedge their stock bets right before FOMC meetings. The resulting price pressure, when aggregated across stocks, reveals their long-term view of the stock market (with a minus sign). Consistent with this, we find that the average stock market return on the day before recent FOMC meetings, while completely reverted the next day, strongly and negatively predicts stock market returns up to two years in the future. The market return predictability also extends to other important macroeconomic announcements.

[4] Cryptocurrency Institutionalization: Learning and Style Investing

joint with Stephanie Dong, Vivian Fang, and Preetesh Kantak

• Semifinalist for the Best Paper Award in Investment at the 2023 FMA Meeting

• Media mentions: StarTribune, The FinReg Blog

We observe a structural shift in the crypto-stock correlation in March 2020, which appears to be triggered by the Fed's policy response to the COVID-19 pandemic and linked to a growing presence of institutional investors in the crypto markets. We analyze when and how institutional investors acquire information about crypto assets in the earlier stage.

[5] Strategic Informed Trades and Tiny Trades

Utilizing the reported fractional trades, I document how institutional investors strategically respond to noise trader risks around positive 8-K filings.

• Stocks exposed to intense fractional trading exhibit substantial price pressure and volatility following filings, displaying an initial overshoot and subsequent reversal.

• Institutional investors leverage such price pressure and volatility by delaying immediate sales upon filing and even accumulating additional stakes to ride the mispricing post-filing.

[6] The Curious Case of Meme Stocks

joint with Vivian Fang and Gaoqing Zhang

• Accepted by 2021 Financial Research Association Meeting Early Ideas 

We build a model featuring a leader who receives a private signal and followers who observe the leader's disclosed investment. The model reveals that the success of a meme stock rally hinges on the influence of a social media platform (which not only affects the size of followers but also the weight they put on the leader's disclosure), the perceived credibility of the leader's disclosure, and the lack of private information by the followers. However, whether the leader possesses good or bad private information is ambiguous as coordination may succeed either way.