Selected Publications
[4] Anomaly Discovery and Arbitrage Trading, with Qi Liu, Lei Lu, Bo Sun, Hongjun Yan, Journal of Financial and Quantitative Analysis, 2023.
- Award/Media: Featured in BarclayHedge
- Conferences: AEA 2019
- Schools: Yale University, University of Toronto, University of Virginia, University of Wisconsin Madison, University of Florida, HKUST, Johns Hopkins University, Boston University, Georgetown University, Rutgers University, DePaul University, PBCSF Tsinghua University, Peking University,SAIF, Temple University, SEM Tsinghua University, University of Sydney, University of Manitoba
[3] Anomalies and the Expected Market Return, with Yan Li, Dave Rapach, and Guofu Zhou, Journal of Finance, 2022.
- Award/Media: 2022 PriceWaterhouseCoopers (PwC)’s Best Academic Paper of the Year Award
- Schools: London Business School, Washington University at Saint Louis, Baruch College, City University of New York, Syracuse University, University of North Carolina at Charlotte, University of Bath, Chinese University of Hong Kong (Shenzhen)
- Industry: Wolfe Research 6th Annual Global Quantitative and Macro Investment Conference
[2] Media Coverage and the Cost of Debt, with Haoyu Gao, Junbo Wang, Yanchu Wang, Chunchi Wu, Journal of Financial and Quantitative Analysis, 2020.
[1] Liquidity Risk and Mutual Fund Performance, with Shu Feng and Ronnie Sadka, Management Science, 2019.
- Conferences: AEA 2012, CICF 2015, 1st Asset Management Summit, Luxembourg, 5th Conference on Professional Asset Management, Inquire Europe, 4th Financial Risks International Forum
- Schools: INSEAD, Boston College, Boston University, Clark University
- Industry: Defined Contribution Institutional Investment Association (DCIIA) Academic Forum, Fidelity Investments, Acadian Asset Management, Panagora Asset Mangement
Other Publications
[6] Corporate Social Responsibility Exposure and Performance of Mutual Funds, with Susan Feng, Sitikantha Parida, Zhihong Wang, Journal of Investing, 2019.
[5] Dynamic autocorrelation of intraday stock returns, with Susan Feng, Leng Ling, and Pingping Song, Finance Research Letters, 2017.
[5] Dynamic autocorrelation of intraday stock returns, with Susan Feng, Leng Ling, and Pingping Song, Finance Research Letters, 2017.
Selected Working Papers
[7] Fast and Slow Arbitrage: The Predictive Power of Capital Flows for Factor Returns, with Namho Kang (Bentley University) and Joel Peress (INSEAD)
[8] Anomalies Never Disappeared: The Case of Stubborn Retail Trading, with Cathy Yang (Baruch College)
[9] Short Covering with Jesse Blocher (Vanderbilt University), Matthew Ringgenberg (University of Utah), and Pavel Savor (Depaul University)
[10] Flows to International Mutual Funds: Old Money vs. New Money, with Azi Ben-Rephael (Rutgers University), Massimo Massa (INSEAD), and Changyun Zhou (SWUFE)
[11] Inside and Outside Informed Trading, with Zhi Da (University of Notre Dame), Ke Wu (Renmin University), and Dexin Zhou (Baruch College)
[12] Negative Information Revelation: Informed Sales Meet Short Sales, with Hong Liu (Washington University at St. Louis), Siyi Shen (CUHK), and Yajun Wang (Baruch College)
[13] Equity lender base and limits to arbitrage: Position-level evidence from mutual funds, with Qifei Zhu (NTU)
[14] Anomaly and Market Return Predictability Abroad, with Yan Li (SWUFE), Yanran Li (Baruch College), Dave Rapach (Fed), and Guofu Zhou (Washington University at St. Louis).
[15] Does Democratized Information Access Demand Democratized AI? A Tale of the Rich, the Poor, and the AI (ChatGPT), with Anne Chang (Baruch College), and Changyun Zhou (SWUFE)
[16] Inside Out: Who Trade Before the Start of Cyber Attacks? with Ed Xuejun Li (Baruch College), Xintian Lin (CUFE), Xin Yuan (DUFE)
[17] Dynamic Excess Autocorrelation and Mutual Fund Performance, with Massimo Massa (INSEAD)
[18] Liquidity Shocks and Institutional Trading, with Karolina Krystyniak (UOIT) and Lin Peng (Baruch College)
[19] FOMC Announcements, Short Selling, and Anomalies, with Zhi Da (Notre Dame), Jinfei Sheng (UC Irvine), Yushui Shi (UC Irvine)
[20] Born Different: Volume-induced Reversals in Foreign-traded Stocks
- Revise and Resubmit 2nd Round, Review of Financial Studies
- Award/Media: The 2019 PanAgora Asset Management Crowell Prize (Third Prize) : Yahoo! News, Associate Press, Business Insider
- Conferences: AFA 2020, FIRS 2021, SFS Cavalcade 2019 (AP), CICF 2019, 13th Annual Hedge Fund Research Conference 2022, MFA 2021, Mutual Fund, Hedge Fund, and Factor Investing, Paris December Finance Meeting
- Schools: London School of Economics, INSEAD, Baruch College, City University of New York, University of Oklahoma, Bentley University, Chinese University of Hong Kong (Shenzhen), Vienna University of Economics and Business, Edinburgh Business School, Bristol University
- Industry: PanAgora Asset Management
[8] Anomalies Never Disappeared: The Case of Stubborn Retail Trading, with Cathy Yang (Baruch College)
- Conferences: AFA 2024, Eagle Finance Conference 2024 (scheduled), Frontiers of Factor Investing 2024 Conference (scheduled), 2023 FMA Consortium, 2023 Greater New York Finance Women Inaugural Symposium
- Schools: Baruch College, City University of New York
[9] Short Covering with Jesse Blocher (Vanderbilt University), Matthew Ringgenberg (University of Utah), and Pavel Savor (Depaul University)
- Award/Media: Alpha Achitect
- Conferences: WFA 2024 (scheduled), SFS Cavalcade 2023, E(uropean)FA 2023, CICF 2021, MFA 2024
- Schools: Harvard University, Baruch College, City University of New York, Peking University (HSBC campus)
[10] Flows to International Mutual Funds: Old Money vs. New Money, with Azi Ben-Rephael (Rutgers University), Massimo Massa (INSEAD), and Changyun Zhou (SWUFE)
- Award/Media: The 2019 PanAgora Asset Management Crowell Prize (First Prize): Pensions & Investments, Yahoo! News, Associate Press, Business Insider; Eugene M. Lang Junior Faculty Research Fellowship Award
- Conferences: E(uropean)FA 2021, 3rd Future of Financial Information Conference 2021 (a SFS conference), CICF 2021, MFA 2022, 5th News and Finance Conference at Columbia University, 2021, AFA 2020 (Ph.D. Poster Session)
- Schools: University of Virginia (McIntire and Darden), Baruch College, City University of New York, Rutgers University
- Industry: PanAgora Asset Management
[11] Inside and Outside Informed Trading, with Zhi Da (University of Notre Dame), Ke Wu (Renmin University), and Dexin Zhou (Baruch College)
- Conferences: E(uropean)FA 2024 (scheduled), CICF 2023, RUC-VUW Joint Virtual Research Workshop 2022, the 3rd International FinTech Research Forum 2022, 2022 Five-Star Workshop in Finance
- Schools: Baruch College
[12] Negative Information Revelation: Informed Sales Meet Short Sales, with Hong Liu (Washington University at St. Louis), Siyi Shen (CUHK), and Yajun Wang (Baruch College)
- Conferences: CICF 2021, 14th Annual Hedge Fund Research Conference 2023
- Schools: Washington University at St. Louis, Baruch College, City University of New York, Chinese University of Hong Kong (Shenzhen), Fanhai at Fudan University, CKGSB, PBCSF at Tsinghua University, SAIF
[13] Equity lender base and limits to arbitrage: Position-level evidence from mutual funds, with Qifei Zhu (NTU)
- Conferences: ABFER 2024 (schedueld), MFA 2024, 15th Annual Hedge Fund Research Conference 2024
- Schools: University of Cambridge, Baruch College, City University of New York, Hong Kong University, Chinese University of Hong Kong, City University of Hong Kong, Nanyang Technological University
[14] Anomaly and Market Return Predictability Abroad, with Yan Li (SWUFE), Yanran Li (Baruch College), Dave Rapach (Fed), and Guofu Zhou (Washington University at St. Louis).
- Conferences:
- Schools: Baruch College, City University of New York
[15] Does Democratized Information Access Demand Democratized AI? A Tale of the Rich, the Poor, and the AI (ChatGPT), with Anne Chang (Baruch College), and Changyun Zhou (SWUFE)
[16] Inside Out: Who Trade Before the Start of Cyber Attacks? with Ed Xuejun Li (Baruch College), Xintian Lin (CUFE), Xin Yuan (DUFE)
[17] Dynamic Excess Autocorrelation and Mutual Fund Performance, with Massimo Massa (INSEAD)
- Conferences: AFA 2014, FIRS 2014, CICF 2013, Helsinki Finance Summit, Symposium on Financial Econometrics and Market Microstructure
- Schools: INSEAD, Baruch College, CUNY
- Industry: Research Affiliates, Cornerstone
[18] Liquidity Shocks and Institutional Trading, with Karolina Krystyniak (UOIT) and Lin Peng (Baruch College)
- Conferences: E(uropean)FA 2018, CICF 2016, MFA, FMA
- Schools: Baruch College, CUNY
[19] FOMC Announcements, Short Selling, and Anomalies, with Zhi Da (Notre Dame), Jinfei Sheng (UC Irvine), Yushui Shi (UC Irvine)
- Conferences: AEA 2018, The 10th Annual Hedge Fund and Private Equity Research Conference
[20] Born Different: Volume-induced Reversals in Foreign-traded Stocks
- Award/Media: Best paper award for Ph.D. (SWFA)
- Schools: Cornell University (Invited), Boston College, INSEAD, Baruch College, CUNY, George Washington University, James Madison University, Manchester Business School, University of Louisville, Kentucky, Singapore Management University, Nanyang Technological University, City University of Hong Kong
- Conferences: Tripple Crown Conference, FMA, SWFA
- Industry: Barclays Capital, State Street Global Advisors