Research

Publications

Selected Working Papers

“Joint News, Attention Spillover, and Market Returns” (with Lin Peng, Yubo Tao and Jun Tu)

• Revise & Resubmit, Review of Financial Studies

“Do the Trades and Holdings of Market Participants Contain Information About Stocks? A Machine-Learning Approach” (with Victor DeMiguel, Bo Sang and Joe Zhang)

• Presented at UWFC, MFA and NFA, accepted to SFS Cavalcade NA 2025

“The pollution premium in China” (with Xili Zhang, Ruiting Zhang and Donghui Li)

• Revise & Resubmit, Journal of Banking and Finance

“Sentiment, Limited Attention and Mispricing” (with Xinrui Duan, Weikai Li and Jun Tu)

• Revise & Resubmit, Journal of Economic Dynamics and Control
• EFMA 2019 Best Paper Award Nomination

“Decomposing Stock Factors” (with Wolfgang Karl Hardle, Yuqian Jin, Qingfu Liu and Chuanjie Wang)

• Reject & Resubmit, Review of Finance

“Media-based Inter-industry Network and Information Transmission” (with Weikai Li, Jun Tu and Yu Wang)

• The Best Paper Award at WRDS Advanced Research Scholar Program

“Optimizing Market Anomalies in China” (with Yu Wang and Xinrui Duan)

“Does Trading Volume Mitigate or Amplify Mispricing” (with Xinrui Duan, Luyin Wang and Jun Tu)

“Identifying Information from Heterogeneous Investors” (with Bo Sang and Yu Wang)

“Crypto-specific Lexicon, Sentiment Projection and Return Predictability of Cryptocurrency” (with Cathy Yi-Hsuan Chen and Thomas Renault)

Other Publications

“Stock Market Index Enhancement Via Machine Learning” (with Liangliang Zhang, Weiping Zhang)

• Forthcoming, Emerging Markets Review

“Risk Analysis of Cryptocurrency as An Alternative Asset Class” (with Xiangjun Li)

• Published in Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen and Ludger Overbeck (Eds.), Applied Quantitative Finance, 2016, 3rd Edition (Chapter 16). Springer-Verlag Berlin Heidelberg

“Evaluating the Potential of Alternative Cryptocurrencies” (with David Lee Kuo Chuen, Chong Eu Bobby Ong and Teik Ming Lee)

• Published in David Lee Kuo Chuen, Handbook of Digital Currency – Bitcoin, Innovation, Financial Instruments, and Big Data, 2014, 1st Edition (Chapter 5). Elsevier
• Presented at China 5th Annual Statistic Conference (2014)

“Textual Analysis and Machine Learning: Crack Unstructured Data in Finance and Accounting” (with Feng Shi and Jun Tu)

• Journal of Finance and Data Science 2.3 (2016): 153-170
• Presented at China Securities Regulatory Commission (2016), School of Business and Economics, Humboldt-Universität zu Berlin (2016), and 2016 Conference on (Statistical) Machine Learning and Its Applications (Sichuan, China)

“Cryptocurrency: A New Investment Opportunity?” (with David Lee Kuo Chuen and Yu Wang)

• Leading Article. The Journal of Alternative Investments Winter 2018, 20 (3) 16-40 (Google Citation: 773)