Research interests: Capital markets with information frictions; behavioral finance.

Education: Ph.D. in Economics, Cornell University, 2010

Curriculum Vitae: CV (February 2019)

Editorial Positions:

Journal of Finance, Associate Editor, 2018 – present.

Journal of Economic Theory, Associate Editor, 2018 – present.

Journal of Financial Markets, Associate Editor, 2016 – present.

Management Science, Associate Editor, 2018 – present.

Publications (See also Google Scholar and Scopus Profile)

1. Back-Running: Seeking and Hiding Fundamental Information in Order Flows, with Haoxiang Zhu, Review of Financial Studies, forthcoming.
(Theory) Fundamental informed investors and order-flow informed traders ("back-runner") play a hide-and-seek game.

2. Good Disclosure, Bad Disclosure, with Itay Goldstein, Journal of Financial Economics, 2019, 131(1): 118–138..
(Theory) Real-efficiency implications of different types of public information.

3. State-Owned Enterprises, Competition, and Disclosure, with Francesco Bova, Contemporary Accounting Research, 2018, 35(2): 596–621.
(Theory) A private firm can be more profitable competing against a state-owned enterprise than against another private firm.

4. Non-Fundamental Speculation Revisited, with Haoxiang Zhu, Journal of Finance, 2017, 72(6): 2759-2772.
(Theory) A linear pure strategy equilibrium fails to exist in Madrigal's (1996, Journal of Finance) setup, when the non-fundamental information is sufficiently precise.

5. Employee Bargaining Power, Inter-Firm Competition, and Equity-Based Compensation, with Francesco Bova, Journal of Financial Economics, 2017, 126(2): 342-363.
(Theory) Equity compensation allows a firm to negotiate a lower wage rate and become more competitive in the product market.

6. Information Disclosure in Financial Markets, with Itay Goldstein, Annual Review of Financial Economics, 2017, 9: 101-125.
(Theory) A coherent framework summarizing a few key channels through which public information affects financial market and real economy.

7. Disagreement, Underreaction, and Stock Returns, with Ling Cen and John Wei, Management Science, 2017, 63(4): 1214-1231.
(Theory, Empirical) Disagreement predicts future returns only in down markets.

8. Differential Access to Price Information in Financial Markets, with David A. Easley and Maureen O'Hara, Journal of Financial and Quantitative Analysis, 2016, 51(4): 1071-1110. Lead article.
(Theory) Curbing access to price information harms market quality and information production.
     Winner of the 2016 JFQA William F. Sharpe Award for Scholarship in Financial Research.
     Winner of the 2011 Northern Finance Association (NFA) Award for the Best Paper on Capital Markets.
     Winner of the 2011 Inaugural Meeting of The Chinese Finance Association (TCFA) Award for the Best Paper on Global Financial Markets.

9. Public Information and Uninformed Trading: Implications for Market Liquidity and Price Efficiency, with Bing Han and Ya Tang, Journal of Economic Theory, 2016, 163(5): 604-643.
(Theory) Public information improves market liquidity but harms information aggregation when noise traders chase market liquidity.
     Winner of the 2013 Chinese Finance Association (TCFA) Award for the Best Paper on Corporate Finance.

10. Loss Aversion, Survival, and Asset Prices, with David A. Easley, Journal of Economic Theory, 2015, 160(12): 494-516.
(Theory) Market selection is slow in terms of wealth dynamics, but it is effective in terms of pricing impact dynamics.
     Winner of the 2012 Northern Finance Association (NFA) Award for the Best Paper on Capital Markets.

11. Information Diversity and Complementarities in Trading and Information Acquisition, with Itay Goldstein, Journal of Finance, 2015, 70(4): 1723-1765.
(Theory) Title is self-explanatory.

12. Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation, with David A. Easley and Maureen O'Hara, Review of Financial Studies, 2014, 27(4): 1190-1237.
(Theory) The opaque trading of hedge funds creates its own risk to the economy: An ambiguity aversion approach.

13. Speculation and Hedging in Segmented Markets, with Itay Goldstein and Yan Li, Review of Financial Studies, 2014, 27(3): 881-922.
(Theory) More informed traders may reduce price informativeness, leading to strategic complementarities in information production when traders have different investment opportunities.

14. Rational Information Leakage, with Raffi Indjejikian and Hai Lu, Management Science, 2014, 60(11): 2762-2775.
(Theory) Leaking information to an unrelated party can benefit the insider.

15. Prospect Theory, the Disposition Effect, and Asset Prices, with Yan Li, Journal of Financial Economics, 2013, 107(3): 715-739.
(Theory) Diminishing sensitivity leads to the disposition effect, price momentum, and price-volume co-movement, while loss aversion predicts the opposite.
     Winner of the 2009 FMA Conference Best Paper Award.
     Summarized in Finance and Accounting Memos (inaugural issue).

16. Asset-Pricing Implications of Dividend Volatility, with Yan Li, Management Science, 2013, 59(9): 2036-2055.
(Theory, Empirical) Dividend volatility as a fundamental risk metric can predict stock returns.

17. Social Networks, Information Acquisition, and Asset Prices, with Bing Han, Management Science, 2013, 59(6): 1444-1457.
(Theory) Social communication improves (harms) market quality in economies with exogenous (endogenous) information.

18. Investor Sentiment, Disagreement, and the Breadth-Return Relationship, with Ling Cen and Hai Lu, Management Science 2013, 59(5): 1076-1091.
(Theory, Empirical) The Baker-Wurgler sentiment index helps to predict the breadth-return relation in the U.S. market.

19. Testing Conditional-Factor Models: A Nonparametric Approach, with Yan Li, Journal of Empirical Finance, 2011, 18(5): 972-992.
(Empirical) Propose a state-variable-free, nonparametric approach to testing conditional factor models.

20. Complementarities, Multiplicity, and Supply Information, with Jayant V. Ganguli, Journal of the European Economic Association, 2009, 7(1): 90-115.
(Theory) Supply information increases coordination possibilities in the financial market, leading to multiple equilibria, which is suggestive of excess volatility and crashes.

21. Theory of Negative Consumption Externalities with Applications to the Economics of Happiness, with Guoqiang Tian, Economic Theory, 2009, 39(3): 399-424.
(Theory) Increasing wealth can hurt social welfare via "peer-group effects."

Selected Working Papers

22. Disclosure, Competition, and Learning from Asset Prices.
(Theory) Oligopoly firms use disclosure to endogenously shape their information environments in financial markets.

23. Costly Interpretation of Asset Prices, with Xavier Vives.
(Theory) An extension of the rational expectations equilibrium concept that allows investors to make personalized information inference from prices.

24. Institutionalization, Delegation, and Asset Prices, with Shiyang Huang and Zhigang Qiu.
(Theory) Institutionalization raises the performance sensitive part of the equilibrium contract, making institutional investors effectively more risk averse.

25. Skill Acquisition and Information Sales, with Shiyang Huang and Yan Xiong.
(Theory) Institutions acquire costly skills to buy and trade on the data provided by data vendors.

26. Commodity Financialization and Information Transmission, with Itay Goldstein.
(Theory) An asymmetric information model of commodity futures prices affecting spot prices through a supply channel.

Teaching: Capital Market Theory (Undergraduate); Advanced Derivatives (MBA); Financial Theory (Ph.D.)