Expectations, Information, and Markets
[Working paper, Published, Available soon]
Earnings-Announcement Timing Factors
with Juhani Linnainmaa
Contrarian factors have earned almost no premiums since 2003, but their underlying characteristics continue to be associated with significant mispricing. We explain why.
Myopic Expectations and Stock Market Mispricing
with Guofu Zhou and Yingzi Zhu
Many believe that stock markets are myopic, but the asset pricing literature offers surprisingly little support for this view. We use a new framework to study analysts' forecast term structure data to show that market expectations are myopic and distort prices.
Which Expectation?
with Juhani Linnainmaa and Guofu Zhou
Asset pricing anomalies are often associated with biased expectations in either cash flow level or cash flow growth, but not both. Biases in the level and growth expectations are complementary, rather than substitutable, in explaining various market outcomes.
Expectation Disarray: Analysts' Growth Forecast Anomaly in China
with Laura Xiaolei Liu, Xinyu Zhang, and Yandi Zhu
[Pacific-Basin Finance Journal, 2023]
The well-known LTG anomaly flips sign in China. Investors neglect analysts' forecasts, especially long-horizon forecasts, which contain valuable information despite being predictably biased.
Expectations and Blame in CEO Transitions
with Laura Xiaolei Liu, Yue Liu, and Hao Qu
Stock prices and analysts' forecasts drop upon new CEOs' first corporate news release after forced CEO turnovers. These drops revert in the following quarters. The "three-envelope strategy" (a well-known joke) works in real life.
Endogenously Uninformed
with Ning Hu, Changtuo Luo, and Siyuan Liang
Forward Rigidity in Macroeconomic Forecasts
with Junjie Guo, Haotian Xiang, Yinxi Xie, and Yandi Zhu
Basis Reversal
with Alberto Rossi and Yandi Zhu
Real Estate
Horizon Risk in Renting: Evidence from a PropTech Rental Platform
with Jiayin Hu, Maggie Hu, Shangchen Li, and Zheng Zhang
Rental housing contracts are often short-term, and renewal is uncertain. What determines landlords' willingness to supply long-duration rental contracts? We use unique data to investigate this question.
Political Economy
Central-to-Local Economic Policy Transmission
with Jiayin Hu
Research Written in Chinese
行业研报、公司研报与分析师乐观偏差（合作者：李尚宸，张峥）
Stock Analysts' Industrial Reports and Optimism Bias (with Shangchen Li and Zheng Zhang)
[《中国会计评论》, 2022]
政策导向、官员变更与企业破产（合作者：胡佳胤，黄北辰，向昊天）
Political Incentive, Official Turnover, and Corporate Bankruptcy (with Jiayin Hu, Beichen Huang, and Haotian Xiang)
[《经济学》(季刊), forthcoming ]
房价外推预期和长租需求（合作者：李尚宸，胡佳胤，张峥）
Home Price Extrapolation Beliefs and Rental Housing Demand (with Shangchen Li, Jiayin Hu, and Zheng Zhang)
[《金融研究》, forthcoming ]