Research

Published Papers

The Year-End Trading Activities of Institutonal Investors: Evidence from Daily Trades with Gang Hu, Jeffrey Pontiff, and Qinghai Wang, Review of Financial Studies, Conditionally Accepted

The Business Cycle, Investor Sentiment, and Costly External Finance, with Mengxin Zhao, Journal of Finance, Forthcoming

Why Does the Law Matter? Investor Protection and its Effect on Investment, Finance, and Growth, 2012, with Tianyu Zhang and Mengxin Zhao, Journal of Finance LXVII, 313-350.

• Summarized in Harvard Law School Forum on Corporate Governance and Regulation
• Internet Appendix
• Data: q and cash flow sensitivities for 44 countries 

Fooled by Compounding, 2012, Journal of Portfolio Management 38 Winter, 108-116.

Share Issuance and Cash Savings, 2011, Journal of Financial Economics 99, 693-715.

• MIT Sloan Experts Blog discussion of this paper
• Media Coverage: 
• Thomson Reuters News and Insight; New York Times Deal Book

Idiosyncratic Risk, Long-Term Reversal, and Momentum, 2010, Journal of Financial and Quantitative Analysis 45, 883-906.

• Second Place Award, Best Dissertation Proposal in Investments, 2005 FMA Meetings

Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers, 2010, with Ying Duan and Gang Hu, Journal of Financial Intermediation 19, 564-579.

• First Place Award, 2007 Chicago Quantitative Alliance Academic Competition
• Link to the CXO Advisory Group's summary of this paper

Share Issuance and Cross-Sectional Returns: International Evidence, 2009, with Jeffrey Pontiff and Akiko Watanabe, Journal of Financial Economics 94, 1-17 (Lead Article).

• First Place Award, Jensen Prize for the Best Corporate Finance Paper in the Journal of Financial Economics in and Organizations
• Pacific Basin Finance Journal Research Excellence Award on Investments, 2008 Asian and Nippon Finance Associations Joint International Conference

When is Stock-Picking Likely to be Successful? Evidence from Mutual Funds, 2009, with Ying Duan and Gang Hu, Financial Analysts Journal 65, 55-65.

• Link to the CXO Advisory Group's summary of this paper

Working Papers

Does Academic Research Destroy Stock Return Predictability? with Jeffrey Pontiff

• Dauphine-Amundi Foundation Research Grant Award
• Institute for Quantitative Research in Finance (Q-Group) Research Grant Award

• Bob Officer Finance Down Under Conference Best Paper Award

• MIT Sloan Experts Blog Discussion of this paper

• Media Coverage:
• Financial Times (Feature of the Week); New York Times; Financial Times Magazine; The Economist; Wall Street Journal; Financial Times; Fortune; Chronicle of Higher Education; Deal Breaker; Today's Campus; Wall Street Journal Blog; The Australian; Marketwatch; MoneySense   

Investor Protection and Choice of Share Issuance Mechanism with Tianyu Zhang and Mengxin Zhao

Creative Destruction and Finance: Evidence from the Last Half Century with Claire Liang and Mengxin Zhao

Equity Market Liberalization, Fundamental Volatility, and External Finance with Jeffrey Pontiff and Mengxin Zhao

Equity Market Timing, Cash Savings, and Investment Smoothness: Evidence from Around the World with Mengxin Zhao