Publications

Reject and Resubmit at American Economic Review
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We investigate the trading strategies of retail investors by applying LLMs to analyze messages posted by users on StockTwits.
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Revise and Resubmit at Journal of Financial Economics
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2024 FMA Best Paper in Derivatives & Options
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LLMs manifest common behavioral biases when forecasting expected returns but are better at gauging risks than humans.
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The fund flows are negatively related to fund performance approximately six to ten years prior, reflecting investor disappointment.
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We show mutual funds’ securities lending patterns can help differentiate shares borrowed for hedging and for informed trading.
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ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
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Tweets posted via smartphones predict next-day returns and news, suggesting smartphones facilitate rapid access to information.
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PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives’ incentive.
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When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
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A media outlet issues more positive news coverage of a firm when they have common institutional investors.
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