Published/Accepted
Endogenous Inattention and Risk-Specific Price Underreaction in Corporate Bonds
Journal of Financial Economics, 2022, publisher link
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
What Drives the Size and Value Factors?
Accepted, Review of Asset Pricing Studies (editor's choice), publisher link
Clarification: this paper shows that fund flows drive the price fluctuations in size and value factors but does not the average returns.
Video presentation at VAMSS (virtual asset management seminar series)
AFA, WFA, SFS Cavalcade, CICF, MFA, AFBC, AFM
2018 Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research
Working Papers
Prices Are Less Elastic For Less Diversifiable Demand, with Zihan Lin
R&R
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 (scheduled)
Quantifying the Power of Asset Pricing Tests (draft available soon), with Cesare Robotti
CFE, MFA, HK Poly U, Emory, JHU Carey, Dartmouth Tuck
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 (scheduled), AEA (scheduled)
Retail Bond Investors and Credit Ratings
R&R (2nd round)
with Ed deHaan and Edward Watts
Discontinued Positive Feedback Trading and the Decline of Return Predictability
R&R
with Itzhak Ben-David, Andrea Rossi, and Yang Song
NBER asset pricing, Cavalcade, WFA, EFA, AFA (scheduled)
Endogenous Inattention and Risk-Specific Price Underreaction in Corporate Bonds
Journal of Financial Economics, 2022, publisher link
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
What Drives the Size and Value Factors?
Accepted, Review of Asset Pricing Studies (editor's choice), publisher link
Clarification: this paper shows that fund flows drive the price fluctuations in size and value factors but does not the average returns.
Video presentation at VAMSS (virtual asset management seminar series)
AFA, WFA, SFS Cavalcade, CICF, MFA, AFBC, AFM
2018 Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research
Working Papers
Prices Are Less Elastic For Less Diversifiable Demand, with Zihan Lin
R&R
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 (scheduled)
Quantifying the Power of Asset Pricing Tests (draft available soon), with Cesare Robotti
CFE, MFA, HK Poly U, Emory, JHU Carey, Dartmouth Tuck
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 (scheduled), AEA (scheduled)
Retail Bond Investors and Credit Ratings
R&R (2nd round)
with Ed deHaan and Edward Watts
Discontinued Positive Feedback Trading and the Decline of Return Predictability
R&R
with Itzhak Ben-David, Andrea Rossi, and Yang Song
NBER asset pricing, Cavalcade, WFA, EFA, AFA (scheduled)