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I am an Assistant Professor of Finance at the David Eccles School of Business, University of Utah. I received my Ph.D. from Stanford Graduate School of Business in 2019.
My research on institutional finance shows that investor demand can explain a large fraction of asset price movements. For instance, flow-induced price pressures explain around 30% of size and value factor movements, as well as the sharp drop of momentum-related factor profits after 2002, etc. My coauthors and I also used a Morningstar 2002 methodology change to show causal evidence of demand on style-level returns. My "behavioral" research explores the consequences of endogenous attention allocation by agents. Endogenous investor attention allocation explains the speed at which corporate bonds respond to different shocks; loan officer attention allocation under time constraints hinders financial inclusion for disadvantaged individuals. On a "more behavioral" note, retail investors with limited attention/sophistication fail to adjust for risk when allocating capital across mutual funds and corporate bonds. Here is my CV. You can reach me at jiacui.li@eccles.utah.edu. |
Image: Llamas in Machu Picchu |