Research

RESEARCH AREAS

  • Behavioral Finance, Investor Attention, Information Economics

  • Social Networks, FinTech, Crowd Funding

  • Liquidity, Institutional Investors, Market Efficiency

  • ESG, Executive Compensation

PUBLICATIONS

Social Proximity to Capital: Implications for Investors and Firms

Review of Financial Studies, Forthcoming

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, Forthcoming

Coauthors: Siew Hong Teoh, Yakun Wang, and Jiawen Yan

Featured in Cambridge University News (5/2012): Face Value: the importance for financial analysts

Retail Attention, Institutional Attention

Journal of Financial and Quantitative Analysis, Forthcoming

Coauthors: Hongqi Liu and Yi Tang

Best Paper Awards finalist, 2018 FMA Asia Pacific Conference

Investor Attention and Asset Pricing Anomalies

Review of Finance, Forthcoming

Coauthors: Lei Jiang, Jinyu Liu, Baolian Wang

Social Networks, Trading, and Liquidity

Journal of Portfolio Management, Forthcoming

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

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

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

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

Trends, Determinants, and Effects of ESG-linked Pay around the World

Coauthors: Sonali Hazarika, Aditya Kashikar, Ailsa Röell and Shen Yao

Featured in UNPRI (17 June 2021), ESG-linked pay: What does the research say?

Financial Management Association Meeting (scheduled)

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

Social Networks and Market Reaction to Earnings News

Coauthors: David Hirshleifer and Qiguang Wang

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

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

American Finance Association Meetings, 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

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 Sympothsium

Retail Investor Attention and Insider Trading

Coauthors: Sattar Mansi, Jianping Qi, and Han Shi

Financial Management Association Asia Conference, World Finance Conference

Social Ties, Comovements, and Predictable Returns

Coauthors: Sheriden Titman, Muhammed Yonac and Dexin Zhou

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

TikTok Sentiment, Emotional Contagion, and Global Stock Returns

Coauthor: Ran Chang

Shanghai Financial Forefront Symposium

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 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