Research
Main Publications
Institutional Trading,
News, and Accounting Anomalies, (with Feifei Wang
and Lingling Zheng). Forthcoming in Journal of
Accounting and Economics.
Do Sophisticated Investors
Follow Fundamental Analysis Strategies? (with Feifei
Wang and Lingling Zheng). Forthcoming in Review of
Accounting Studies.
Financial Industry Affiliation and Hedge Fund
Performance, (with Lingling Zheng), Management Science 67, 2021, 7844-7865.
On the Performance of
Volatility-Managed Portfolios, (with Scott Cederburg,
Mike OꞌDoherty,
and Feifei Wang), Journal of Financial Economics
138, 2020, 95-117.
Shorting
Flows, Public Disclosure, and Market Efficiency,
(with Xue Wang and Lingling
Zheng), Journal of Financial Economics
135, 2020, 191-212.
Investor
Overconfidence, Firm Valuation, and Corporate Decisions, (with
Biljana Nikolic), Management Science 64, 2018, 5349-5369.
Fundamental Analysis and the Cross-section of Stock
Returns: A Data-mining Approach, (with Lingling
Zheng), Review of Financial Studies
30, 2017, 1382-1423.
Anticipating the 2007-2008 Financial
Crisis: Who Knew What and When Did They Know It?
(with Paul Brockman and Biljana Nikolic), Journal
of Financial and Quantitative Analysis 50, 2015, 647-669.
The Performance of Investment Bank Affiliated Mutual
Funds: Conflicts of Interest or Informational Advantage? (with Grace Hao), Journal of Financial and Quantitative Analysis
47, 2012, 537-565.
The Interim Trading Skills of
Institutional Investors (with Andy Puckett), Journal of Finance 66, 2011, 601-633.
The Predictive Content of Aggregate Analyst
Recommendations (with John Howe and Emre Unlu), Journal of Accounting Research 47,
2009, 799-821.
Block Ownership, Trading Activity, and Market
Liquidity (with Paul Brockman and Dennis Chung), Journal of Financial and Quantitative Analysis 44, 2009, 1403-1426.
Institutional Investors and Equity Returns: Are
Short-term Institutions Better Informed? (with Zhe
Zhang), Review of Financial Studies
22, 2009, 893-924.
Liquidity, Investment Style, and the
Relation Between Fund Size and Fund Performance, Journal of Financial and Quantitative Analysis 43, 2008, 741-768.
Does Idiosyncratic Risk Really Matter?
(with Turan Bali, Nusret Cakici, and Zhe Zhang), Journal of Finance 60, 2005, 905-929.
Other Publications
The Price Effect of
Temporary Short-selling Bans: Theory and Evidence, (with Haoshu Tian and Lingling Zheng), Forthcoming
in Journal of Financial Markets.
Expected Stock
Returns and Volatility: Three Decades Later, (with Haim Kassa
and Feifei Wang), Forthcoming in Critical Finance Review.
Time-Series and Cross-Sectional Momentum in Anomaly
Returns (with Feifei Wang and Lingling
Zheng), European Financial Management.
27, 2021, 736-771.
Downside Risk and
the Performance of Volatility-managed Portfolios, (with Feifei
Wang), Journal of Banking and Finance
131, 2021, 106198.
Should Mutual Fund Investors Time Volatility?
(with Feifei Wang and Lingling
Zheng), Financial Analysts Journal 77,
2021, 30-42.
Differences of Opinion, Institutional Bids, and
IPO Underpricing, (with Shenghao Gao, Paul Brockman,
and Qingbin Meng), Journal of Corporate Finance 60, 2020, 101540.
Momentum, Reversal, and Fund Manager Overconfidence,
(with Biljana Nikolic), Financial
Management 45, 2016, 609-639.
Institutions and the Turn-of-the-Year Effect? Evidence
from Actual Institutional Trades (with Andrew Lynch and Andy Puckett), Journal of Banking and Finance 49,
2014, 56-68.
Aggregate Short Selling, Commonality, and
Stock Market Returns (with Andrew Lynch, Biljana Nikolic, and Han Yu), Journal of Financial Markets 17, 2014,
199-229.
Are Short Sellers Informed? Evidence from
REITs (with Dan French and Andrew Lynch), Financial Review 47, 2012, 145-170.
Agency Costs, Governance, and Organizational Forms:
Evidence from the Mutual Fund Industry (with Steve Ferris), Journal of Banking and Finance 33,
2009, 619-626.
Block Ownership and Firm-Specific
Information, (with Paul Brockman), Journal
of Banking and Finance 33, 2009, 308-316.
Price Momentum and Idiosyncratic Volatility (with
Matteo Arena and Stephen Haggard), Financial
Review 43, 2008, 159-190.
Security Concentration and Fund Management: Do
Focused Funds Offer Superior Performance? (with Travis Sapp), Financial Review 43, 2008, 27-49.
Do Independent Directors and Chairmen Matter?
The Role of Boards of Directors in Mutual Fund Governance (with Steve
Ferris), Journal of Corporate Finance 13,
2007, 392-420.
Agency Conflicts
in Delegated Portfolio Management: Evidence from Namesake Mutual Funds
(with Steve Ferris), Journal
of Financial Research 30, 2007, 473-494.
The Determinants and Implications of Mutual
Fund Cash Holdings: Theory and Evidence, Financial Management 67 (2), 2006, 67-91.
The Nasdaq-Amex
Merger, Nasdaq Reforms, and the Liquidity of Small Firms (with
Travis Sapp), Journal of Financial
Research 26, 2003, 225-242.
Valuation of Commodity
Derivatives in a New Multi-factor Model, Review of Derivatives Research
5, 2002, 251-271.
Divergence of Opinion,
Uncertainty and the Quality of Initial Public Offerings (with
Todd Houge, Tim Loughran and Gerry Suchanek), Financial
Management 30 (4), 2001, 5-23.
Working Papers
Real-time Machine
Learning in the Cross-Section of Stock Returns, (with Bin Li, Alberto
Rossi, and Lingling Zheng). R&R at Journal of
Financial Economics.
Responsible Asset Managers,
(with Ke Shen, Shuran
Zhang, and Haibei Zhao).