Working Papers
Prices Are Less Elastic For Less Diversifiable Demand, with Zihan Lin
R&R @ Journal of Finance
Asian FA, Arizona, USC, BYU Marriott, Penn State, FMA, Mid Atlantic Research Conference in Finance, Stanford GSB, Stanford SITE, MFA, Campbell, U Connecticut, UIUC Gies, USC Marshall, Utah Eccles, UVA Darden, Georgetown, George Mason, Cornell, Rome University, Chicago Booth Asset Pricing Conference
Over-Attributing Price Movements to Cash Flows (draft available soon), with Lawrence Jin
Brandeis, Boston College, USC Marshall Macro-finance Reading Group, Watsach Finance Conference, CUHK, CUHK Shenzhen, CKGSB, PKU Guanghua, SAIF, Fudan Fanhai
Why is Asset Demand Inelastic? , with Carter Davis and Mahyar Kargar
Wabash Finance Conference, Indiana, AFA
Dissecting the Aggregate Market Elasticity (draft available soon), with Victor Duarte, Mahyar Kargar, and Dejanir Silva
Wabash Finance Conference
Attention Constraints and Financial Inclusion
with Bo Huang, Tse-Chun Lin, Mingzhu Tai, and Yiyuan Zhou
Econometric Society meetings in Asia+Australia+China+Africa, BFWG, Colorado Boulder, Washington Foster, Utah, Great Bay Area Finance Conference, NBER SI, Online Seminar on the Economics of Discrimination and Disparities, Consumer Financial Protection Bureau, AEA
Published/Accepted
Endogenous Inattention and Risk-Specific Price Underreaction in Corporate Bonds
Journal of Financial Economics, 2022, publisher link
What Drives the Size and Value Factors?
Review of Asset Pricing Studies, 2022 (editor's choice), publisher link
Takeaway: 30% of Fama-French size and value factors' price variation are driven by non-fundamental price pressures.
2018 Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research
2023 Review of Asset Pricing Studies Rising Star Award
Ratings-Driven Demand and Systematic Price Fluctuations with Itzhak Ben-David, Andrea Rossi, and Yang Song
Review of Financial Studies, 2022, publisher link
NBER working paper No. 28103
What Do Mutual Fund Investors Really Care About? with Itzhak Ben-David, Andrea Rossi, and Yang Song
Review of Financial Studies, 2022, publisher link
Selected media coverage: ETF.com, Yahoo Finance, Columbia Law School Blue Sky Blog, Alpha Architect
Retail Bond Investors and Credit Ratings
Journal of Accounting and Economics, 2023, publisher link
with Ed deHaan and Edward Watts
Discontinued Positive Feedback Trading and the Decline of Return Predictability
Accepted, Journal of Financial and Quantitative Analysis
with Itzhak Ben-David, Andrea Rossi, and Yang Song
Selected media coverage: Alpha Architect
Prices Are Less Elastic For Less Diversifiable Demand, with Zihan Lin
R&R @ Journal of Finance
Asian FA, Arizona, USC, BYU Marriott, Penn State, FMA, Mid Atlantic Research Conference in Finance, Stanford GSB, Stanford SITE, MFA, Campbell, U Connecticut, UIUC Gies, USC Marshall, Utah Eccles, UVA Darden, Georgetown, George Mason, Cornell, Rome University, Chicago Booth Asset Pricing Conference
Over-Attributing Price Movements to Cash Flows (draft available soon), with Lawrence Jin
Brandeis, Boston College, USC Marshall Macro-finance Reading Group, Watsach Finance Conference, CUHK, CUHK Shenzhen, CKGSB, PKU Guanghua, SAIF, Fudan Fanhai
Why is Asset Demand Inelastic? , with Carter Davis and Mahyar Kargar
Wabash Finance Conference, Indiana, AFA
Dissecting the Aggregate Market Elasticity (draft available soon), with Victor Duarte, Mahyar Kargar, and Dejanir Silva
Wabash Finance Conference
Attention Constraints and Financial Inclusion
with Bo Huang, Tse-Chun Lin, Mingzhu Tai, and Yiyuan Zhou
Econometric Society meetings in Asia+Australia+China+Africa, BFWG, Colorado Boulder, Washington Foster, Utah, Great Bay Area Finance Conference, NBER SI, Online Seminar on the Economics of Discrimination and Disparities, Consumer Financial Protection Bureau, AEA
Published/Accepted
Endogenous Inattention and Risk-Specific Price Underreaction in Corporate Bonds
Journal of Financial Economics, 2022, publisher link
What Drives the Size and Value Factors?
Review of Asset Pricing Studies, 2022 (editor's choice), publisher link
Takeaway: 30% of Fama-French size and value factors' price variation are driven by non-fundamental price pressures.
2018 Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research
2023 Review of Asset Pricing Studies Rising Star Award
Ratings-Driven Demand and Systematic Price Fluctuations with Itzhak Ben-David, Andrea Rossi, and Yang Song
Review of Financial Studies, 2022, publisher link
NBER working paper No. 28103
What Do Mutual Fund Investors Really Care About? with Itzhak Ben-David, Andrea Rossi, and Yang Song
Review of Financial Studies, 2022, publisher link
Selected media coverage: ETF.com, Yahoo Finance, Columbia Law School Blue Sky Blog, Alpha Architect
Retail Bond Investors and Credit Ratings
Journal of Accounting and Economics, 2023, publisher link
with Ed deHaan and Edward Watts
Discontinued Positive Feedback Trading and the Decline of Return Predictability
Accepted, Journal of Financial and Quantitative Analysis
with Itzhak Ben-David, Andrea Rossi, and Yang Song
Selected media coverage: Alpha Architect