Research
RESEARCH AREAS
Behavioral Finance, Investor Attention, Information Economics
Social Networks, FinTech, Crowd Funding
Liquidity, Institutional Investors, Market Efficiency
ESG, Executive Compensation
PUBLICATIONS
Retail Attention, Institutional Attention
Journal of Financial and Quantitative Analysis, 2023, 58(3), 1005-1038.
Coauthors: Hongqi Liu and Yi Tang
Best Paper Awards finalist, 2018 FMA Asia Pacific Conference
Social Proximity to Capital: Implications for Investors and Firms
Review of Financial Studies, 2022, 35(6), 2743-2789.
Coauthors: Theresa Kuchler, Yan Li, Johannes Stroebel and Dexin Zhou
Social-Proximity-to-Capital (SPC) data: available for download
Face Value: Trait Inference, Performance Characteristics, and Market Outcomes for Financial Analysts
Journal of Accounting Research, 2022, 60, 653-705.
Coauthors: Siew Hong Teoh, Yakun Wang, and Jiawen Yan
Featured: Cambridge University News (5/2022): Face Value: the importance for financial analysts;
UCLA Anderson Review (2/2023): How a Stock Analyst’s Face Affects Their Earning Estimates;
Wall Street Journal (5/7/2023): Male Stock Analysts With ‘Dominant’ Faces Get More Information—and Have Better Forecasts.
Investor Attention and Asset Pricing Anomalies
Review of Finance, 2022, 26 (3), 563-593.
Coauthors: Lei Jiang, Jinyu Liu, Baolian Wang
Social Networks, Trading, and Liquidity
Journal of Portfolio Management, 2022, 48 (6) 196-215
Coauthors: Qiguang Wang and Dexin Zhou
Book Chapters: Market Makers, Market Liquidity, The Structure of Security Markets
The Encyclopedia of Finance, C.F. Lee, Editor, Kluwer Academic Press, 2021
Coauthors: Robert A. Schwartz
Review of Financial Studies, 2020, 33(2), 747-782
Coauthors: Sila Allen, Jian Hua and Robert Schwartz
Nominated for Best Paper Award, Financial Management Association Meetings 2017.
Liquidity Shocks and Market Reactions
Review of Financial Studies, 2014, 27 (5), 1434-1485
Coauthors: Turan Bali, Yannan Shen and Yi Tang
Winner of the Chinese Finance Association (TCFA) Best Paper Award
Featured in Institutional Investor (3/21/2012): “Keep a Weather Eye on Stock Liquidity, Study Says”
Managerial Incentives and Stock Price Manipulation
Journal of Finance, 2014, 69, 487–526, Lead Article
Coauthor: Ailsa Roell
Market Structure and Price Formation at Market Openings and Closings: Evidence from Nasdaq’s Calls
Journal of Financial Markets, 2013, 16, 331-361
Coauthors: Michael Pagano and Robert Schwartz
The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets
Journal of Financial Intermediation, 2012, 21(1), 50-78
Coauthors: Linda Allen and Aron Gottesman
Featured in Reuters (4/24/2012): “Banks' better information may hurt loan investors”
Manipulation and Equity-Based Compensation
American Economic Review P&P, 2008, 98(2): 285-90
Coauthor: Ailsa Roell
Executive Pay, Earnings Manipulation and Shareholder Lawsuits
Review of Finance, 2008, 12, 141-184
Coauthor: Ailsa Roell
Investor Attention and Time-Varying Comovements
European Financial Management, 2007, 13, 394-422
Coauthors: Tim Bollerslev and Wei Xiong
Investor Attention, Overconfidence and Category Learning
Journal of Financial Economics, 80, 2006, 563-602
Coauthor: Wei Xiong
Book Chapters: Market Makers, Market Liquidity, The Structure of Security Markets
The Encyclopedia of Finance, C.F. Lee, Editor, Kluwer Academic Press, 2006
Coauthors: Robert A. Schwartz
Learning with Information Capacity Constraints
Journal of Financial and Quantitative Analysis, 40, 2005, 307-329.
WORKING PAPERS
News Diffusion in Social Networks and Stock Market Reactions
Coauthors: David Hirshleifer and Qiguang Wang
First place winner, Driehaus Center for Behavioral Finance Research Prize
Western Finance Association Meeting (Scheduled), American Economics Association Meeting, NBER Conference on Big Data and Securities Markets, American Finance Association Meeting, China International Conference in Finance, Midwest Finance Association Meeting
Social Ties and Peer Effects in Crowdfunding Markets
Coauthor: Linyi Zhang
Best Paper Award, 2021 International Conference on Smart Finance
China Meeting of the Econometric Society, Conference on Markets and Economies with Information Frictions, Asian Finance Association Meeting, Southwestern Finance Association Meeting, International Conference on Smart Finance, International Conference on Finance & Technology
Joint News, Attention Spillover, and Market Returns
Coauthors: Jun Tu, Li Guo, Yubo Tao
SMU Finance Summer Camp, China International Conference in Finance, Financial Management Association Conference, Summer Meeting of the Econometric Society, Shanghai Financial Forefront Symposium
Retail Investor Attention and Insider Trading
Coauthors: Sattar Mansi, Jianping Qi, and Han Shi
Financial Management Association Asia Conference, World Finance Conference
Attention, Social Interaction, and Demand for Lottery-Like Stocks
Coauthors: Turan Bali, David Hirshleifer and Yi Tang
Featured in Financial Times (9 December 2021), Meme mania is reshaping US markets
American Finance Association Meeting, Miami Behavioral Finance Conference
Esg-Linked Pay Around the World —Trends, Determinants, and Outcomes
Coauthors: Sonali Hazarika, Aditya Kashikar, Ailsa Röell and Shen Yao
Featured in UNPRI (17 June 2021), ESG-linked pay: What does the research say?
American Economics Association Meeting, Financial Management Association Meeting, the Fifth Conference on CSR, the Economy and Financial Markets, Paris Financial Management Conference
Baruch's 2rd Annual Cross-College Faculty Research Symposium Research Award
Social Ties, Comovements, and Predictable Returns
Coauthors: Sheriden Titman, Muhammed Yonac and Dexin Zhou
Finalist, 2022 PanAgora Quantitative Research Institute Crowell Prize
NBER Behavioral Finance, Urban Economics Association Meeting, FSU Suntrust Conference, China International Conference in Finance, Financial Management Association Meeting, Midwest Finance Association Meeting, Eastern Finance Association Meeting, Conference on Financial Economics and Accounting
Social Networks and Supply and Demand on Online Lending Marketplaces
Coauthors: Linda Allen, and Yu Shan
FMA Europe Best Paper Award Seminalist 2019
Conference on Fintech, Social Finance, and Financial Stability, China International Conference in Finance, Summer Institute of Finance, HKU FinTech conference, Sun Yat-Sen University International Finance Conference, FMA European Conference, Midwest Finance Association Meeting, Southwestern Finance Association Meeting, China International Risk Forum
Market Returns and a Tale of Two Types of Attention
Coauthors: Zhi Da, Jian Hua and Chih-Ching Hung
Featured in Alpha Architect (8/12/2021), "Relative sentiment and market returns"
American Finance Association Meetings (Scheduled), Midwest Finance Association Meeting, China International Conference in Finance, Northern Finance Association Meeting
Liquidity Shocks and Institutional Trading
Coauthors: Xi Dong and Karolina Krystyniak
European Finance Association Meeting, Financial Management Association Meeting, SFA Annual Meeting, China International Conference in Finance, Quadrant Behavioral Finance Conference
CEO Incentives: Measurement, Determinants, and Impact on Performance
Coauthors: Ailsa Roell and Hongfei Tang
Coauthors: Kewei Hou and Wei Xiong
Winner of Q-Group Research Award
Coauthors: Kewei Hou and Wei Xiong
Time to Digest and Volatility Dynamics
Coauthor: Wei Xiong