research
Working Papers
Research Interests
- Empirical Asset Pricing
- Behavioural Finance
- Financial Market
- Investment
- Asset Management
- CryptoCurrency
- AI Applications in Finance
Research Interests Presentations
Video introductions to key papers in my research areas — click titles to watch
Behavioural Finance
Sentiment
Theory
- Noise Trader Risk in Financial Markets — De Long, Shleifer, Summers & Waldmann, JPE 1990
- Risk, Uncertainty, and Divergence of Opinion — Miller, JF 1977
- The Limits of Arbitrage — Shleifer & Vishny, JF 1997
- A Model of Investor Sentiment — Barberis, Shleifer & Vishny, JFE 1998
- Investor Psychology and Security Market Under- and Overreactions — Daniel, Hirshleifer & Subrahmanyam, JF 1998
Measure
- Investor Sentiment and the Cross-Section of Stock Returns — Baker & Wurgler, JF 2006
- Investor Sentiment in the Stock Market — Baker & Wurgler, JEP 2007
- The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns — Stambaugh, Yu & Yuan, JFE 2014
Empirical
- Returns to Buying Winners and Selling Losers — Jegadeesh & Titman, JF 1993
- Investor Sentiment and the Closed-End Fund Puzzle — Lee, Shleifer & Thaler, JF 1998
- Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns — Frazzini & Lamont, JFE 2008
- From Efficient Markets Theory to Behavioral Finance — Shiller, JEP 2003
- Investor Sentiment and the Mean–Variance Relation — Yu & Yuan, JFE 2011
- Global, Local, and Contagious Investor Sentiment — Baker, Wurgler & Yuan, JFE 2012
- The Short of It: Investor Sentiment and Anomalies — Stambaugh, Yu & Yuan, JFE 2012
- Expectations of Returns and Expected Returns — Greenwood & Shleifer, RFS 2014
- Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle — Stambaugh, Yu & Yuan, JF 2015
- Mispricing Factors — Stambaugh & Yuan, RFS 2017
Attention
Theory
- A Simple Model of Capital Market Equilibrium with Incomplete Information — Merton, JF 1987
- Investor Attention, Overconfidence and Category Learning — Peng & Xiong, JFE 2006
- Salience and Asset Prices — Bordalo, Gennaioli & Shleifer, AER 2013
- A Rational Theory of Mutual Fund Attention Allocation — Kacperczyk, Van Nieuwerburgh & Veldkamp, Econometrica 2016
Measure
- In Search of Attention — Da, Engelberg & Gao, JF 2011
- The Sum of All FEARS — Da, Engelberg & Gao, RFS 2015
- It Depends on Where You Search — Ben-Rephael, Da & Israelsen, RFS 2017
Empirical
- Massively Confused Investors Making Conspicuously Ignorant Choices — Rashes, JF 2001
- Limited Attention, Information Disclosure, and Financial Reporting — Hirshleifer & Teoh, JFE 2003
- All That Glitters — Barber & Odean, RFS 2008
- Economic Links and Predictable Returns — Cohen & Frazzini, JF 2008
- Limited Attention and the Allocation of Effort in Securities Trading — Corwin & Coughenour, JF 2008
- Demographics and Industry Returns — DellaVigna & Pollet, AER 2007
- Frog in the Pan: Continuous Information and Momentum — Da, Gurun & Warachka, RFS 2014
- Distracted Shareholders and Corporate Actions — Kempf, Manconi & Spalt, RFS 2017
- Does It Pay to Pay Attention? — Gargano & Rossi, RFS 2018
- Attention allocation and return co-movement — Huang, Huang & Lin, JFE 2019
- Attention to Global Warming — Choi, Gao & Jiang, RFS 2020
- Salience Theory and Stock Prices — Cosemans & Frehen, JFE 2021
- Attention-Induced Trading and Returns — Barber, Huang, Odean & Schwartz, JF 2022
- Financial Attention — Sicherman, Loewenstein, Seppi & Utkus, RFS 2016
- Market returns and a tale of two types of attention — Hu, Ke & Yu, MS 2025
- Institutional Attention and Fund Performance — Chen, Da & Huang, SSRN 2025
Overreaction, Beliefs & Biases
Theory
- Overreaction and Diagnostic Expectations in Macroeconomics — Bordalo, Gennaioli & Shleifer, JEP 2022
- Stocks as Lotteries: The Implications of Probability Weighting for Security Prices — Barberis & Huang, AER 2008
Empirical
- Diagnostic Expectations and Stock Returns — Bordalo, Gennaioli, La Porta & Shleifer, JF 2019
- Belief Overreaction and Stock Market Puzzles — Bordalo, Gennaioli, La Porta & Shleifer, JPE 2024
- Who Gambles in the Stock Market? — Kumar, JF 2009
Mutual Fund
Theory
- Mutual Fund Flows and Performance in Rational Markets — Berk & Green, JPE 2004
- An Institutional Theory of Momentum and Reversal — Vayanos & Woolley, RFS 2013
Measure
- Measuring Skill in the Mutual Fund Industry — Berk & van Binsbergen, JFE 2015
Empirical
- Another Puzzle: The Growth in Actively Managed Mutual Funds — Gruber, JF 1996
- On Persistence in Mutual Fund Performance — Carhart, JF 1997
- Costly Search and Mutual Fund Flows — Sirri & Tufano, JF 1998
- Does Fund Size Erode Mutual Fund Performance? — Chen, Hong, Huang & Kubik, AER 2004
- Asset fire sales (and purchases) in equity markets — Coval & Stafford, JFE 2008
- Luck versus Skill in the Cross-Section of Mutual Fund Returns — Fama & French, JF 2010
- A Flow-Based Explanation for Return Predictability — Lou, RFS 2012
- Measuring Mutual Fund Flow Pressure as Shock to Stock Returns — Wardlaw, JF 2020
ETF
Empirical
- Do ETFs Increase Volatility? — Ben-David, Franzoni & Moussawi, JF 2018
- Competition for Attention in the ETF Space — Ben-David, Franzoni, Kim & Moussawi, RFS 2023
- Active ETFs as Attention Assets — Cookson, Engelberg & Mullins, SSRN 2025
- Exchange-Traded Funds and Real Investment — Antoniou, Li, Liu, Subrahmanyam & Sun, RFS 2023
- Innovation and Informed Trading: Evidence from Industry ETFs — Huang, O’Hara & Zhong, RFS 2021
- The Value of ETF Liquidity — Khomyn, Putnins & Zoican, RFS 2024
Empirical Asset Pricing
Financial Distress & Default Risk
- In Search of Distress Risk — Campbell, Hilscher & Szilagyi, JF 2008
- The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds — Avramov, Chordia, Jostova & Philipov, Review of Finance 2022
- A Unified Model of Distress Risk Puzzles — Chen, Hackbarth & Strebulaev, JFE 2022
- Is the Risk of Bankruptcy a Systematic Risk? — Dichev, JF 1998
- Book-to-Market Equity, Distress Risk, and Stock Returns — Griffin & Lemmon, JF 2002
- Anomalies and Financial Distress — Avramov, Chordia, Jostova & Philipov, JFE 2013
- Default Risk in Equity Returns — Vassalou & Xing, JF 2004
Information, Trading & Crash Risk
- Momentum Crashes — Daniel & Moskowitz, JFE 2016
- Are Insider Trades Informative? — Lakonishok & Lee, RFS 2001
- The Dog That Did Not Bark: Insider Trading and Crashes — Marin & Olivier, JF 2008
- The Impact of Prices on Analyst Cash Flow Expectations — Chaudhry, JFE 2025
- Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices — Chen, Hong & Stein, JFE 2001
Demand-Based Pricing & Index Effects
- The Disappearing Index Effect — Greenwood & Sammon, JF 2025
- Index Rebalancing and Stock Market Composition: Do Indexes Time the Market? — Sammon & Shim, JFE 2026
- Market-Wide Predictable Price Pressure — Hartzmark & Solomon, AER 2025
- Do Demand Curves for Stocks Slope Down? — Shleifer, JF 1986
- Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures — Harris & Gurel, JF 1986
- Why Do Portfolio Choice Models Predict Inelastic Demand? — Davis, Kargar & Li, JFE 2025
- A Demand System Approach to Asset Pricing — Koijen & Yogo, JPE 2019
- Does Arbitrage Flatten Demand Curves for Stocks? — Wurgler & Zhuravskaya, Journal of Business 2002
- In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis — Gabaix & Koijen, SSRN 2021
- The Equity Share in New Issues and Aggregate Stock Returns — Baker & Wurgler, JF 2000
- Passive Investing and the Rise of Mega-Firms — Jiang, Vayanos & Zheng, RFS 2025
- Which Investors Matter for Equity Valuations and Expected Returns? — Koijen, Richmond & Yogo, Review of Economic Studies 2024
- Benchmarking Intensity — Pavlova & Sikorskaya, RFS 2023
- How Competitive is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing — Haddad, Huebner & Loualiche, AER 2025
- Anticipated and Repeated Shocks in Liquid Markets — Lou, Yan & Zhang, RFS 2013
- Regression Discontinuity and the Price Effects of Stock Market Indexing — Chang, Hong & Liskovich, RFS 2015
Style, Comovement & Predictability
- The Value Spread — Cohen, Polk & Vuolteenaho, JF 2003
- Dissecting the Aggregate Market Elasticity — Duarte, Kargar, Li & Silva, SSRN 2025
- Style Investing — Barberis & Shleifer, JFE 2003
- Comovement — Barberis, Shleifer & Wurgler, JFE 2005
- Persistent and Transitory Components of Firm Characteristics: Implications for Asset Pricing — Baba-Yara, Boons & Tamoni, JFE 2024
- Anomaly Time — Bowles, Reed, Ringgenberg & Thornock, JF 2024
- Dynamic Asset (Mis)pricing: Build-up versus Resolution Anomalies — Van Binsbergen, Boons, Opp & Tamoni, JFE 2023
- Does Academic Research Destroy Stock Return Predictability? — McLean & Pontiff, JF 2016
- Anomalies and Their Short-Sale Costs — Muravyev, Pearson & Pollet, JF 2025
Classic Cross-Sectional Anomalies
- Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis — Basu, JF 1977
- The Relationship Between Return and Market Value of Common Stocks — Banz, JFE 1981
- Asset Pricing and the Bid-Ask Spread — Amihud & Mendelson, JFE 1986
- Illiquidity and Stock Returns: Cross-Section and Time-Series Effects — Amihud, Journal of Financial Markets 2002
- Liquidity Risk and Expected Stock Returns — Pastor & Stambaugh, JPE 2003
- Risk, Return, and Equilibrium: Empirical Tests — Fama & MacBeth, JPE 1973
- The Cross-Section of Expected Stock Returns — Fama & French, JF 1992
- Common Risk Factors in the Returns on Stocks and Bonds — Fama & French, JFE 1993
- Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns — Daniel & Titman, JF 1997
- Multifactor Explanations of Asset Pricing Anomalies — Fama & French, JF 1996
- Dissecting Anomalies — Fama & French, JF 2008
- Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? — Bernard & Thomas, Journal of Accounting Research 1989
- Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? — Sloan, The Accounting Review 1996
- Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence — Bhandari, JF 1988
- Does the Stock Market Overreact? — De Bondt & Thaler, JF 1985
- Evidence of Predictable Behavior of Security Returns — Jegadeesh, JF 1990