Working Papers

• On the Source and Instability of Probability Weighting, 2023. (with Cary Frydman) SSRN Abstract
• Law of Small Numbers in Financial Markets: Theory and Evidence, 2023. (with Cameron Peng)
• Model-free and Model-based Learning as Joint Drivers of Investor Behavior, 2023. (with Nicholas C. Barberis) NBER Abstract
  • Revision requested, Journal of Finance.
• A Structural Neural Autopilot Analysis of Social Media Use Around the Pandemic Lockdown, 2023. (with Yi Xin, Jessica Fong, Matthew Shum, and Colin Camerer)
  • Revision requested, Science Advances.

Publications/Forthcoming Articles

• Reflexivity in Credit Markets, (with Robin M. Greenwood and Samuel G. Hanson). Journal of Finance, forthcoming.
• Asset Pricing with Return Extrapolation, (with Pengfei Sui). Journal of Financial Economics (2022), 145 (2), 273-295.
• Efficient Coding and Risky Choice, (with Cary Frydman). Quarterly Journal of Economics (2022), 137 (1), 161-213.
  • Winner of the 2023 Vernon L. Smith Excellence Award.
  • Finalist of the 2023 Exeter Prize.
• Prospect Theory and Stock Market Anomalies, (with Nicholas C. Barberis and Baolian Wang). Journal of Finance (2021), 76 (5), 2639-2687.
• Extrapolative Beliefs in the Cross-Section: What Can We Learn from the Crowds?, (with Zhi Da and Xing Huang). Journal of Financial Economics (2021), 140 (1), 175-196.
  • Winner of the 2019 MFA Outstanding Paper Award.
  • Media coverage: Bloomberg Opinion.
• Extrapolation and Bubbles, (with Nicholas C. Barberis, Robin M. Greenwood, and Andrei Shleifer). Journal of Financial Economics (2018), 129 (2), 203-227. (Lead Article)
  • Online Appendix
• X-CAPM: An Extrapolative Capital Asset Pricing Model, (with Nicholas C. Barberis, Robin M. Greenwood, and Andrei Shleifer). Journal of Financial Economics (2015), 115 (1), 1-24. (Lead Article)
  • Winner of the 2014 Q-Group Jack Treynor Prize.
• Realization Utility with Reference-Dependent Preferences, (with Jonathan E. Ingersoll, Jr.). Review of Financial Studies (2013), 26 (3), 723-767.
  • A non-technical summary titled “Why Do Investors Trade? A Realization Utility Explanation” is featured in the inaugural issue of Finance and Accounting Memos.

Older Working Papers

• The Cushioning Benefits of Biased Beliefs, 2018. (with Matthew Shum and Mali Zhang) SSRN Abstract
• A Speculative Asset Pricing Model of Financial Instability, 2015. SSRN Abstract
  • Winner of the Finance Top Graduate Award.