Research

PUBLICATIONS

Unleashing the Crowd: the Effect of Social Networks in Crowdfunding Markets

Management Science, forthcoming.

Coauthor: Linyi Zhang

Best Paper Award, 2021 International Conference on Smart Finance

Retail Attention and Insider Trading 

Journal of Financial and Quantitative Analysis, forthcoming.

Coauthors: Sattar Mansi, Jianping Qi, and Han Shi

Market Returns and a Tale of Two Types of Attention 

Management Science, forthcoming.

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, Midwest Finance Association Meeting, China International Conference in Finance, Northern Finance Association Meeting

News Diffusion in Social Networks and Stock Market Reactions

Review of Financial Studies, 2025, 38(3), 883-937.

Coauthors: David Hirshleifer and Qiguang Wang

First place winner, Driehaus Center for Behavioral Finance Research Prize

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.

Awarded the Top Downloaded Article status by JAR (based on the number of downloads during the first 12 months of publication).

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;

Chicago Booth Review (9/3/2024): Artificial Intelligence--Images and Audio Are Now Data Too 

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

Resiliency and Stock Returns

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

Learning with Information Capacity Constraints

Journal of Financial and Quantitative Analysis, 40, 2005, 307-329.

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

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

WORKING PAPERS

Joint News, Attention Spillover, and Market Returns

Coauthors: Jun Tu, Li Guo, Yubo Tao, R&R Review of Financial Studies

SMU Finance Summer Camp, China International Conference in Finance, Financial Management Association Conference, Summer Meeting of the Econometric Society, Shanghai Financial Forefront Symposium

Social Interactions and Lottery Stock Mania

Previously circulated under the title: Attention, Social Interaction, and Demand for Lottery-Like Stocks

Coauthors: Turan Bali, David Hirshleifer, Yi Tang,, and Qiguang Wang

Featured in Financial Times (9 December 2021), Meme mania is reshaping US markets 

American Finance Association Meeting, Miami Behavioral Finance Conference, China International Conference in Finance

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 

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 Finance Association Meeting, Annual Conference on Empirical Legal Studies, 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 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

Wisdom or Whims? Decoding the Language of Retail Trading with Social Media and AI

Coauthors: Shuaiyu Chen, and Dexin Zhou

Previously circulated under the title: Wisdom or Whims? Decoding Investor Sentiment, Trading Strategies, and Market Outcomes with AI

2024 Generative AI in Finance conference, 2024 USC Conference on Social and Behavioral Finance, 2025 Wolfe Research AI in Finance Conference, 2025 China International Conference in Finance, 2025 The Asian Bureau of Finance and Economic Research Conference, Technical University of Munich Workshop on the Latest Advances in NLP and Generative AI in Finance and Management, Oxford-Man Institute Machine Learning and Finance conference

Measuring Local Climate Attention: Does it Affect Investors and Firms?

Coauthors: Leonard Kostovetsky, Christopher Rauh, and Muhammed Yönaç

2024 Financial Management Association Meeting, 2025 Baruch/JFQA Climate Finance and Sustainability Conference, Frankfurt School of Finance & Management, 

Face-to-Face or Face on Screen:  Social Interactions and Mutual Fund Trading

    Coauthors: Yi Dong, Lu Qiu, and Xinrong Xiao

2023 China International Conference in Finance

ESG Investing and Stock Return Comovements 

Coauthors: Marcin Kacperczyk, Jing Xie

2022 Conference on CSR, the Economy and Financial Markets, 2023 China Finance Review International & China International Risk Forum Joint Conference, 2023 Financial Management Association Meeting, 2024 China International Conference in Finance, 2025 Financial Intermediation Research Society Conference  

Weathering the Storm: Natural Disasters, Household Finances, and Government Safety Nets

Coauthors: Rong Hu and Yiyi Zhao

2024 China International Conference in Finance, 2025 CES China Conference

Beyond Borders: The Influence of Social Networks and Labor Flows on Innovation Spillovers

Coauthors: Qiguang Wang and Linyi Zhang 

2025 China International Conference in Finance, Chinese University of Hong Kong, Hong Kong Polytechnic University, National Taiwan University, Fordham Financial Market Workshop

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

A Tale of Two Types of Anomalies:  The Implication of Investor Attention for Price and Earnings Momentum 

Coauthors: Kewei Hou, Roger Loh, and Wei Xiong

Winner of Q-Group Research Award

R2 and Price Inefficiency

Coauthors: Kewei Hou and Wei Xiong

Time to Digest and Volatility Dynamics

Coauthor: Wei Xiong