Welcome!
I am an Associate Professor at Department of Finance and Business Economics, Faculty of Business Administration, University of Macau.
Before joining UM, I worked at Renmin University of China (2020-2024) and University of Bath (2018-2020). I received my Bachelor degree from Tsinghua University in 2012, and my Ph.D. degree from The University of Hong Kong in 2018.
My research interests include empirical asset pricing, institutional investors, and behavioral finance.
Address:
E22-4071
Faculty of Business Administration,
University of Macau, E22,
Avenida da Universidade, Taipa, Macau, China
Email:
Phone:
(853) 8822 4070
SSRN:
Selected Publications
Economic Links from Bonds and Cross-Stock Return Predictability
(with Jian Feng, Xiaolin Huo, Yifei Mao, and Hong Xiang)
Journal of Financial Economics, 2025, Volume 171, 104110
Does Liquidity Management Induce Fragility in Treasury Prices: Evidence from Bond Mutual Funds
(with Shiyang Huang, Wenxi Jiang, and Xiaoxi Liu)
Review of Financial Studies, 2025, Volume 38, Issue 2, 337-380
Editor's Choice & Lead Article
Winner of the Best Paper Award (Third Place), 9th China Investment Annual Conference, 2021
Semifinalist for the Best Paper Award, FMA Annual Meeting, 2021
The Booms and Busts of Beta Arbitrage
(with Shiyang Huang, Dong Lou, and Christopher Polk)
Management Science, 2024, Volume 70, Issue 8, 5367-5385 (Internet Appendix)
Geographic Proximity in Short Selling
(with Xiaolin Huo and Vesa Pursiainen)
Journal of Financial Markets, forthcoming
Winner of the Best Paper Award in Investment, FMA Annual Meeting, 2022
Coreversal: The Booms and Busts of Arbitrage Activities in China
(with Zhigang Qiu, Luyao Shen, and Weinan Zheng)
Journal of Empirical Finance, 2023, Volume 71, 51-65
Journal of Empirical Finance, 2021, Volume 62, 1-11 (Internet Appendix)
Lead Article
Winner of The Best Pitch Award, FMA European Conference, 2019
Strategic Insider Trading: Disguising Order Flows to Escape Trading Competition
(with Dingwei Gu, Hanwen Sun, and Huainan Zhao)
Journal of Corporate Finance, 2021, Volume 67, 101891
(with Chengxi Yin and Weinan Zheng)
Journal of Financial Markets, 2021, Volume 52, 100561
(with Shiyang Huang and Chengxi Yin)
Journal of Empirical Finance, 2019, Volume 54, 39-57
Skewness, Individual Investor Preference, and the Cross-Section of Stock Returns
(with Tse-Chun Lin)
Review of Finance, 2018, Volume 22, Issue 5, 1841–1876
Other Publications
Refereed
Like a Moth to a Flame: Does the Stock Market Exacerbate Credit Risks of Peer-to-Peer (P2P) Lending?
(with Xiaoran Ni, Zhigang Qiu, and Kailun Zhang)
European Financial Management, 2025, Volume 31, Issue 2, 711-744
Semifinalist for the Best Paper Award, FMA Annual Meeting, 2022
Winner of the Best Paper Award (First Place), 9th China Investment Annual Conference, 2021
Unpredicted Costly Dividends and Temporary Short Squeezes
(with Xiaolin Huo, Zhigang Qiu and Sijie Yang)
European Financial Management, 2023, Volume 29, Issue 5, 1553-1575
The Term Structure of Mutual Fund Herding
(with Xiaolin Huo and Weinan Zheng)
European Financial Management, 2023, Volume29, Issue 3, 901-929
Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II
(with Yihan Li and Vesa Pursiainen)
Financial Analysts Journal, 2022, Volume 78, Issue 4, 77-97
Winner of the Best Paper Award (First Place), The 28th SFM conference, 2020
Winner of the Best Paper Award (Second Place), ERIC Doctoral Consortium 2021
Invited
The Crash Consequences of Inalienable Human Capital (with Xiaoran Ni)
China Accounting and Finance Review, forthcoming
No More Free Lunch: The Increasing Popularity of Machine Learning and Financial Market Efficiency
(with Jian Feng)
Economic and Political Studies, 2024, Volume 12, Issue 1, 34-57
Selected Working Papers
When Disagreement Cuts Both Ways: Pricing Cash-Flow Disagreement in Stocks and Bonds
(with Xinyi Shao, Hong Xiang, and Minghai Xu)
Extrapolation and Market Reactions to News
(with Xinyi Shao, Jiaxing Tian, and Hong Xiang)
(with Songtao Tan, Yuchen Xu, Peixuan Yuan, and Yun Zhu)