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Financial Markets and Asset Pricing

Earnings-Announcement Timing Factors
with Juhani Linnainmaa
December 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. We use analysts' forecast term structure data to show that market myopia is pervasive and 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
[Published at Pacific-Basin Finance Journal, 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, r
ental 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.

Political Economy

Central-to-Local Economic Policy Transmission in China
with Jiayin Hu and Zhenhuan Lei
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


行业研报、公司研报与分析师乐观偏差(合作者:李尚宸,张峥)[Published in 《中国会计评论》, 2022]
Stock Analysts' Industrial Reports and Optimism Bias (with Shangchen Li and Zheng Zhang)


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)[Forthcoming 《经济学》(季刊)]
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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