Research Interest
- Empirical Asset Pricing; Behavioral Finance; Machine Learning
Publications
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Proximity to the 52-week high and the risk-return trade-off , with Xingyu Chen, Jun Tu, Liyao Wang, and Luying Wang, Journal of Economic Dynamics and Control 185, 105286, 2026.
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Sticky Expectations and Cross-Firm Return Predictability, with Hui Ding and Fuwei Jiang, Journal of Business Finance and Accounting 52, 2278-2298, 2025.
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Presidential Economic Approval Rating and the Cross-Section of Stock Returns, with Zhi Da, Dashan Huang, and Liyao Wang, Journal of Financial Economics 147, 106-131, 2023. PEAR index
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Far Away From Home: Investors’ Underreaction to Geographically Dispersed Information, with Liya Chu, Dawei Liang, and Jun Tu, Journal of Economic Dynamics and Control 136, 104325, 2022.
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Concept Links and Return Momentum, with Qianqian Du, Dawei Liang, and Jun Tu, Journal of Banking and Finance 134, 106329, 2022.
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Media Connection and Return Comovement, with Li Guo and Jun Tu, Journal of Economic Dynamics and Control 130, 104191, 2021.
Working Papers
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Talking their Own Book: Brokerage Proprietary Trading and Analyst Bias , with Xingyu Chen and Ronghua Luo.
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Partisan Hedge Funds , with Dashan Huang, Lin Sun, and Melvyn Teo.
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Modeling Trading Volume with Instrumented PCA , with Tarun Chordia, Amit Goyal, Dashan Huang, and Yubo Tao.