1. Investor Sentiment and the Mean-Variance Relation, (with Yu Yuan), Journal of Financial Economics 100, May 2011, pp. 367-281
2. Investor Attention, Psychological Anchors, and Stock Return Predictability (with Jun Li), Journal of Financial Economics 104, May 2012, pp. 401-419
3. The Short of It: Investor Sentiment and Anomalies (with Rob Stambaugh, and Yu Yuan), Journal of Financial Economics 104, May 2012, pp. 288-302
•Inaugural AQR Insight Award, honorable mention, 2012
•RWC Marshall Blume Prize, honorable mention, 2011
4. Technological Growth and Asset Pricing, (with Nicolae Garleanu and Stavros Panageas), Journal of Finance 67, August 2012, pp. 1265-1292
•Smith-Breeden Prize (First Prize), 2012
5. Government Investment and the Stock Market (with Frederico Belo), Journal of Monetary Economics 60, April 2013, pp. 325-339
6. A Sentiment-based Explanation of the Forward Premium Puzzle, Journal of Monetary Economics 60, May 2013, pp.474-491
7. Uncertainty, Risk, and Incentives: Theory and Evidence, (with Zhiguo He, Si Li and Bin Wei), Management Science 60, January 2014, pp. 206-226
•3rd Annual TCFA Best Paper Award, 2012
8. The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, (with Rob Stambaugh and Yu Yuan), December 2014, Journal of Financial Economics 114, pp. 613-619
9. Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion (with Nicolae Garleanu and Stavros Panageas), July 2015, American Economic Review 105, pp. 1979-2010
10. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (with Rob Stambaugh and Yu Yuan), October 2015, Journal of Finance 70, pp. 1903-1948
11. Asset Pricing in Production Economies with Extrapolative Expectations (with David Hirshleifer and Jun Li), November 2015, Journal of Monetary Economics 76, pp. 87-106
12. Reference-Dependent Preferences and the Risk-Return Trade-off (with Huijun Wang and Jinghua Yan), February 2017, Journal of Financial Economics 123, pp.395-414
•Q-Group Research Award, 2012
•Chicago Quantitative Alliance Academic Competition, Third Prize, 2014
13. Optimal Long-Term Contracting with Learning, (with Zhiguo He, Bin Wei, and Feng Gao), October 2017, Review of Financial Studies 30, pp.2006-2065.
14. Short- and Long-Run Business Conditions and Expected Returns (with Qi Liu, Libin Tao and Weixing Wu), December 2017, Management Science 63, pp.4137-4157.
15. Investor Sentiment and Economic Forces (with Junyan Shen and Shen Zhao), April 2017, Journal of Monetary Economics 86, pp. 1-21, Lead Article
•Chicago Quantitative Alliance Academic Competition, First Prize, 2012
•Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013
•TCFA Best Paper Award, 2013
16. Impediments to Financial Trade: Theory and Applications (with Nicolae Garleanu and Stavros Panageas), 2020, Review of Financial Studies 33, pp. 2697-2727
17. Lottery-Related Anomalies: The Role of Reference-Dependent Preferences (with Li An, Huijun Wang, and Jian Wang), 2020, Management Science 66, pp. 473-501
•CQAsia Academic Competition, First Prize, 2016
18. Time-Varying Demand for Lottery: Speculation Ahead of Earning Announcements (with Bibo Liu, Huijun Wang and Shen Zhao), 2020, Journal of Financial Economics 138, pp. 789-817
19. Aggregate Expected Investment Growth and Stock Market Returns (joint with Jun Li and Huijun Wang), 2021, Journal of Monetary Economics 117, pp. 618-638
20. Attention and Underreaction-Related Anomalies (with Xin Chen, Wei He, and Libin Tao), 2023, Management Science 69(1), pp.636-659
21. Attention Spillover in Asset Pricing (with Xin Chen, Li An, and Zhengwei Wang), 2023, Journal of Finance 78, pp 3515-3559
22. Macroeconomic Perceptions, Financial Constraints, and Anomalies (with Wei He and Zhiwei Su), 2024, Journal of Financial Economics 162, pages 103952.
23. Time Variation in Extrapolation and Anomalies (with Wei He, Zhiwei Su, and Yuehan Wang), 2025, Management Science, Forthcoming
24. Investor Sentiment and the Pricing of Characteristics-Based Factors (with Zhuo Chen, Bibo Liu, Huijun Wang and Zhengwei Wang), December 2025, Review of Financial Studies 38, pp. 3580–3625
Working Paper
1. Categorical Thinking and the Experience Effect: Evidence from Price-Based Return Predictability (joint with Chun Liu, Huaixin Wang, and Yuehan Wang), February 2026
2. Memory and Stock Preferences: Evidence from IPO Lotteries (with Conghui Hu, Yu-Jane Liu, and Xin Xu), December 2025
3. Similar Stocks (with Wei He, Huaixin Wang, and Yuehan Wang), February 2024
4. Investor Heterogeneity and Factor Pricing (joint with Grace Xing Hu and Zhao Jin), October 2025
5. Extrapolative Market Participation (with Wanbin Pan, Zhiwei Su, and Huijun Wang), May 2025
· XiYue Best Paper Award, CICF, 2022
6. Extrapolation and Risk-Return Trade-offs (with Qi Liu, Zhiwei Su, and Huijun Wang), April 2025
· GARP Research Excellence Award, CIRF, 2022
7. Salience and Short-term Momentum and Reversals (with Yili Chen and Huaixin Wang), July 2025
8.Macro Risk Premia and the Business Cycle (with Zhiwei Su), November 2025
9. The Repurchase Effect and Asset Prices (with Haiqiang Chen, Ming Gu, and Zhitao Xiong), November 2025
10. Yield Curve Arbitrage in the Credit Market (with Jiarui Deng and Zhan Shi), November 2025
