Publications and Manuscripts (Selected)

• Indebted to Nature: Corporate Biodiversity Endowment and Bond Market Reactions, with Yizheng P. Li and Pinwen L. Mu. [SSRN]

  • We explore the financial implications of biodiversity conservation with the combination of a novel firm-level biological diversity endowment (BDE) measure and a natural experiment (i.e., a plausibly exogenous shock to biodiversity transition risk). We document that high-BDE firms are treated less favorably than low-BDE firms by creditors in corporate bond market.

• FinTech Revolution: The Hidden Impact of Private Money Creation on the Cross Section of Stock Returns, with Wenqiong Liu and Steven Wu. [SSRN] [Media Coverage] (Reject and Resubmit, JFQA)

  • Private money creation exerts a disproportionate impact on stock returns. This explains why the long-short strategies that buy non-speculative stocks and sell speculative stocks display predictable patterns. Causality is addressed using the recent FinTech revolution: The cross-sectional predictability is magnified by more than 100 percent after the exogenous shock. 

  • An earlier version of the paper was the finalist for the 2023 EFMA Capital Markets Best Paper Awards at the 2023 EFMA Annual Conference

• Blinded by Lottery Preferences? Earnings News, Gambling-Motivated Trading, and Informational Efficiency, with Vidhi Chhaochharia, Jiaqi Guo, and Alok Kumar. [SSRN]

  • Lottery preferences of less sophisticated investors and their gambling-motivated trading limit the effectiveness of corporate disclosures and affects the informational efficiency of market prices. Although earnings disclosure reduces information uncertainty, opinion divergence between less sophisticated traders and arbitrageurs increases following earnings announcements.

• Augmented Salience Proxies, with Z. Bai, Y. Gao, Y. Li, and X. Xiong.  (Revise and Resubmit, RAPS)

  • We introduce one novel type of  augmented ST measures that better depicts investor behavior, and broadens the application of salience theory. 

• Specifics Matter: An Analysis of Mutual Fund ESG Disclosures, with Huayu Shi, John Lee, and Helen Lu. [SSRN]

  • We apply a Large Language Model (LLM) to quantify the specificity of mutual funds’ ESG disclosures, and document that funds with more specific ESG disclosures attract greater fund flows, particularly among institutional-oriented funds and during periods of heightened climate concern. Disclosure specificity is also positively associated with subsequent holding-level ESG performance. 

• Understanding the Performance of Currency Basis-Momentum, European Financial Management (forthcoming), with Minyou Fan, Ang Li, and Jiadong Liu. doi: 10.1111/eufm.12555  [SSRN]

  • By decomposing currency Basis-Momentum (BM) into a combination of existing signals, we show that both carry- and momentum-related components contribute to the returns of BM strategies. Compared to carry trade, BM strategies exhibit significantly lower risk, leading to superior risk-adjusted performance.

• The Nexus of Overnight Trend and Asset Prices in China, Journal of Economic Dynamics and Control, 2025, volume 170, with Jiaqi Guo, Kai Li, and Youwei Li. doi:10.1016/j.jedc.2024.104997 [SSRN] 

  • Leveraging cyclical variations in clientele difference within a day, we validate an adapted version of the Hong and Stein (1999) model to explore the market implications of slow information diffusion in China. The model predicts that overnight returns, rather than total returns, strongly forecast future returns and firm fundamentals due to the underreaction of informed overnight clientele to value-relevant signals. 

• Attention Allocation: An Empirical Analysis of the Asymmetric Market Responses to Information Shocks in China, Financial Review, 2025, volume 60(2), 623-652, with Ya Gao, Youwei Li, Samuel Vigne, and Xiong Xiong. doi:10.1111/fire.12425 [SSRN] 

  • Investors allocate their attention disproportionately within a day, which has implications on information efficiency: (i). The market underreacts (overreacts) to overnight (intraday) informational shocks in subsequent days; (ii). The underreaction (overreactions) stems mainly from the short (long) leg of stocks with negative (positive) jumps; (iii). The underreaction (overreaction) pattern strengthens (attenuates) during market crashes, as investors pay limited attention when overall market performance is poor.

• Understanding the Performance of Components in Betting Against Beta, Critical Finance Review, 2022, volume 11(1), 1-36. doi:10.1561/104.00000099  [CFR version]  [SSRN]

  • Betting against beta (BAB) can be decomposed into three investable components: Two cross-sectional components exploiting the beta anomaly attributable to stock selection and rank weighting scheme, and one time-series component with a dynamic net-long position due to “beta-parity”. Only the time-series component serves as the robust source for the profits of the BAB-type strategies.

• Correlation and the Omitted Variable: A Tale of Two Prices, Financial Management, 2021, volume 50, 519-552, with Zheyao Pan. doi:10.1111/fima.12333 [SSRN]

  • Correlation is “plagued” by firm size (the omitted variable) to exhibit a negative price. Once isolating the size impact, a hidden positive price emerges for the size-orthogonalized component of correlation.

• Investor Overconfidence and the Security Market Line: New Evidence from China, Journal of Economic Dynamics and Control, 2020, volume 117, with Kai Li and Youwei Li. doi: 10.1016/j.jedc.2020.103961 [SSRN]  

  • Investor overconfidence resolves the puzzle of a highly downward-sloping security market line (SML) in China: The slope of the SML becomes more “inverted” when investors get more overconfident. This dynamic overconfidence effect is intensified with biased self-attribution. As a general symptom of overconfidence in the cross section, high-beta stocks are also the mostly heavily traded. After accounting for trading volume, there is no longer the low-beta anomaly at the firm and portfolio levels. 

  • The paper won the Research Excellence Award at the 2018 New Zealand Finance Meeting

  • The paper was nominated as the Semifinalist in the Best Paper Awards (Category: Investments) at the 2019 FMA Annual Meeting

• Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China, Journal of Empirical Finance, 2017, volume 42, 212-239, with Youwei Li. doi: 10.1016/j.jempfin.2017.04.001  [SSRN] [Slides] [Data]

  • Investor sentiment in China exhibits a striking term structure: It serves as a strong momentum predictor in the near term (i.e., the monthly frequency) and gradually shifts to a contrarian predictor in the long run. This challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. 

  • Top cited paper in Journal of Empirical Finance 2017 on the topic of Chinese financial market 

Work-in-Progress (Selected)

• Currency Premia, with Lukas Menkhoff.  

• Inflation Momentum, with Minyou Fan and Jiadong Liu.

Conference, Seminar, and Workshop Presentation and Discussion

• Risk Sciences Annual Conference, NTU, Singapore, 2025

• Fudan International School of Finance (FISF) Seminar, Fudan University, Shanghai, 10 October, 2024

• The 8th CCER Summer Institute hosted by National School of Development, Peking University, Beijing,  29 June - 1 July, 2024* 

• New Zealand Finance Meeting (NZFM), Auckland, New Zealand, 7-8 December 2023 

• The 30th Finance Forum, the Annual Meeting of the Spanish Finance Association (AEFIN), Málaga, Spain, 6-7 July 2023*

• The 12th Portuguese Financial Network Conference (PFN), Madeira, Portugal, 5-7 July 2023*

• Annual Meeting of the European Financial Management Association (EFMA), Cardiff, UK, 28 June - 1 July 2023*

• The European Conference of the Financial Management Association International (FMA), Aalborg, Denmark, 7-9 June 2023*

• The 39th International French Finance Association Conference, Bordeaux, France, 5-7 June 2023*

• Belgian Financial Research Forum (BFRF), Brussels, Belgium, 20-21 April 2023*

• The 27th New Zealand Finance Colloquium (NZFC), Wellington, New Zealand, February 2023 

• The 19th Chinese Finance Annual Meeting (CFAM), Shanghai, China, 2022 (online mode)

• Annual Meeting of the Financial Management Association International (FMA), New Orleans, US, 2019 

• Financial Markets & Corporate Governance Conference, Sydney, Australia, 2019*

• New Zealand Finance Meeting (NZFM), Queenstown, New Zealand, 2018 

• INFINITI Conference in International Finance, Sydney, Australia, 2018 

• Annual Conference of the European Economics and Finance Society (EEFS), London, UK, 2018

• Auckland Finance Meeting (AFM), Queenstown, New Zealand, 2017*

• Annual Meeting of the Financial Management Association International (FMA), Boston, US, 2017 

• Auckland Finance Meeting (AFM), Auckland, New Zealand, 2016

• Annual Meeting of the Financial Management Association International (FMA), Las Vegas, US, 2016 

• The 33rd International Conference of French Finance Association (AFFI), Liège, Belgium, 2016*

• The 21st edition of the Spring Meeting of Young Economists (SMYE), Lisbon, Portugal, 2016

• Annual Meeting of the Royal Economics Society (RES), Brighton, UK, 2016

• Joint Conference on Institutional Investors and Emerging Market Finance, Ghent, Belgium, 2015 

• Annual Meeting of the European Financial Management Association (EFMA), Amsterdam, Netherlands, 2015

• Annual Conference of the International Finance and Banking Society (IFABS), Hangzhou, China, 2015 

• Annual Conference of the European Economics and Finance Society (EEFS), Brussels, Belgium, 2015

• The 13th INFINITI Conference in International Finance, Ljubljana, Slovenia, 2015 

• Belgian Financial Research Forum (BFRF), Louvain-la-Neuve, Belgium, 2014 

• Annual Meeting of German Finance Association (DGF), Wuppertal, Germany, 2013

• The 7th CSDA International Conference on Computational and Financial Econometrics, London, UK, 2013

•  Market Microstructure: Confronting Many Viewpoints, Institute Louis Bachelier, Paris, France, 2012 (poster presentation)

* = presented by co-author                                                        

Teaching

Finance 761: Portfolio Theory and Investment Analysis (University of Auckland), 2021 - Present

Finance 751: Modern Corporate Finance (University of Auckland), 2025 - Present

Finance 362: Risk Management (University of Auckland), 2022, 2024 - Present

Finance 261: Introduction to Investments (University of Auckland), 2020 - Present

ACCTG 151: Financial Literacy (University of Auckland), 2023 

FINC 403: Studies in Capital Markets (University of Otago), 2017-2019

FINC 202: Investment Analysis and Portfolio Management (University of Otago), 2017-2019

F000719/F000734: Advanced Investment Analysis (Ghent University), 2016

Education

PhD. Economics, Ghent University, Belgium 

• Funded by BoF (Bijzonder Onderzoeksfonds) and FWO (Research Foundation Flanders)

MSc. Finance (summa cum laude), Universiteit Antwerpen Management School, Belgium

• • ING BANK Best Thesis Award 

  •  Erasmus Mundus Scholarship

MSc. International Business, Universiteit Maastricht, the Netherlands

• • Orange Tulip Scholarship

BSc. Economics, Fudan University, China