top of page

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



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

[《中国会计评论》, 2022]


Political Incentive, Official Turnover, and Corporate Bankruptcy (with Jiayin Hu, Beichen Huang, and Haotian Xiang)
[《经济学》(季刊), forthcoming ]

Home Price Extrapolation Beliefs and Rental Housing Demand (with Shangchen Li, Jiayin Hu, and Zheng Zhang) 

[《金融研究》, forthcoming ]







bottom of page