Zeyao Luan

Publication

News-based Investor Disagreement and Stock Returns, with Sophia Zhengzi Li, Review of Accounting Studies, 30 (2025): 2312–2375.

Presentations:  AFFECT Early Idea Session, Greater New York Finance Women Inaugural Symposium, SWFA 2024, MFA 2024, Rutgers School of Business - Camden, AsianFA 2024, PanAgora Asset Management, FMA 2024, University of Nevada - Las Vegas, Review of Accounting Studies 2024 Conference, E(astern)FA 2025.

Working Paper 

Anomaly Disagreement, 2025. (JMP)

Abstract: I construct an anomaly disagreement measure based on the weighted standard deviation of non-zero signals across the 153 anomalies examined in Jensen, Kelly, and Pedersen (2023). I find that higher disagreement reduces the return predictive power of the average anomaly signal and is itself associated with a positive risk premium. Consistent with limited investor response under disagreement, I show that both short sellers and institutional investors adjust their holdings less aggressively when disagreement is high, particularly among short-term investors. Finally, I document that greater anomaly disagreement is associated with slower information resolution around earnings announcements.

Work in Progress

When Words Collide: AI Detection of Management and Analyst Disagreement, with Sophia Zhengzi Li and Peixuan Yuan.

News-Driven Resolution of Macroeconomic Uncertainty, with Tim Bollerslev and Sophia Zhengzi Li.