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Financial Markets and Asset Pricing

Earnings-Announcement Timing Factors
with Juhani Linnainmaa
July 2023 [Submitting (S), Presenting (P)] 
Award: Alpha Letters / CQA Prize Winner at CQA Spring 2019
Contrarian factors have earned almost no premiums since 2003, but their underlying characteristics continue to associate with significant mispricing. The market may have become more efficient, but perhaps to a less extent than we thought.

Myopic Prices
with Yingzi Zhu and Guofu Zhou
June 2023 [S, P]
Many believe that stock markets are myopic, but the asset pricing literature offers surprisingly little support for this view. I use analysts' forecast term structure data to show that market myopia is pervasive and substantially distorts prices.

Which Expectation? 
with Juhani Linnainmaa and Guofu Zhou
May 2023 [

Asset pricing anomalies are often associated with expectation errors in either cash flow level or cash flow growth, but not both. These two types of errors explain a large fraction of anomaly portfolios' deviation from CAPM.

The Three-Envelope Strategy: Expectations and Blame in CEO Transitions
with Hao Qu
May 2023 [P]

Stock prices and analysts' forecasts drop upon new CEOs' first corporate ne
ws release. These drops revert in the following quarters. The "three-envelope strategy" (a well-known joke) works in real life.

China's Financial Markets

Expectation Disarray: Analysts' Growth Forecast Anomaly in China
with Laura Xiaolei Liu, Xinyu Zhang, and Yandi Zhu
June 2023 [

The well-known LTG anomaly (La Porta 1996; Bordalo et al. 2019) flips sign in China. Investors largely neglect analysts' forecasts, especially long-horizon forecasts, which contain valuable information despite being predictably biased. 

Endogenously Uninformed: Evidence from Comment Letters in China
with Ning Hu, Siyuan Liang, and Changtuo Luo
May 2023 [P]

Comment letters from China's stock market regulators crowd out investors' private information generation. Public signals can hurt price efficiency because they alter investors' attention allocation.

Real Estate

Horizon Risk in Renting: Evidence from a PropTech Rental Platform
with Jiayin Hu, Maggie Hu, Shangchen Li, and Zheng Zhang
May 2023 [S, P]

In many countries, rental housing contracts are short-term (e.g., one year), and renewal is uncertain. What determines landlords' willingness to supply long-duration rental contracts? We use unique data to investigate this question.

Apartment Remodeling and Housing Affordability
with Jiayin Hu, Shangchen Li, and Yue Yu
June 2023 [P]

Can turning rental units' living rooms into bedrooms improve housing affordability? We use unique data to investigate this question.

Political Economy

Central-to-Local Economic Policy Transmission in China
with Jiayin Hu
May 2023 [P]

Using textual data, we characterize the central-to-local policy transmission strength for each city-year in China since 2002. Central policies announced in mayors' initial year persistently influence the subsequent local policy paths.

Research Written in Chinese


Stock Analysts' Industrial Reports and Optimism Bias (with Shangchen Li and Zheng Zhang)


Political Incentive, Official Turnover, and Corporate Bankruptcy (with Jiayin Hu, Beichen Huang, and Haotian Xiang)


房价外推预期和长租需求(合作者:李尚宸,胡佳胤,张峥)[S, P]
Home Price Extrapolation Beliefs and Rental Housing Demand (with Shangchen Li, Jiayin Hu, and Zheng Zhang) 







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