Working Paper
Subjective Risk-Return Trade-off (with Chen Lin, and Chanik Jo) July 2022
--- We conduct a novel survey and document a robust “higher risk, lower return” relationship among risky assets. This relationship remains significant even for wealthy, highly educated, and financially-literate individuals. Negative risk-return trade-offs translate into under-diversified portfolios and over-investment in assets with high subjective Sharpe ratios.
Main Street's Pain, Wall Street's Gain (with Nancy Xu) Updated July 2022, First Draft: Dec 2021,
--- In the Covid period, a one standard deviation increase in the initial jobless claims (IJC) surprise (8.7%) significantly predicts higher daily major stock index returns of 26-38 basis points. We highlight fiscal policy expectation as a new channel that explains the "bad is good" stock price responses, and provide time-series and cross-section evidence.
Persistence despite Revolutions (with Alberto Alesina, Marlon Seror, David Yang, and Weihong Zeng) Updated August 2022, First Draft: August 2020,
--- Intergenerational Income persistence across Communist revolutions in China. The paper emphasizes the importance of intra-household culture transmission.
Distrust and Cryptocurrency (with Bo Tang) September 2020
--- Distrust in domestic institutions contributes to cryptocurrency demand.
Language Unification and Identity
Low-quality Issuance (with Shushu Liang)
Millionaire or Tiger Parents (with Mingzhu Tai, Tianwang Liu, Wanting Yan)
--- We conduct a novel survey and document a robust “higher risk, lower return” relationship among risky assets. This relationship remains significant even for wealthy, highly educated, and financially-literate individuals. Negative risk-return trade-offs translate into under-diversified portfolios and over-investment in assets with high subjective Sharpe ratios.
Main Street's Pain, Wall Street's Gain (with Nancy Xu) Updated July 2022, First Draft: Dec 2021,
--- In the Covid period, a one standard deviation increase in the initial jobless claims (IJC) surprise (8.7%) significantly predicts higher daily major stock index returns of 26-38 basis points. We highlight fiscal policy expectation as a new channel that explains the "bad is good" stock price responses, and provide time-series and cross-section evidence.
Persistence despite Revolutions (with Alberto Alesina, Marlon Seror, David Yang, and Weihong Zeng) Updated August 2022, First Draft: August 2020,
--- Intergenerational Income persistence across Communist revolutions in China. The paper emphasizes the importance of intra-household culture transmission.
Distrust and Cryptocurrency (with Bo Tang) September 2020
--- Distrust in domestic institutions contributes to cryptocurrency demand.
Language Unification and Identity
Low-quality Issuance (with Shushu Liang)
Millionaire or Tiger Parents (with Mingzhu Tai, Tianwang Liu, Wanting Yan)
Publication
Redeemable Platform Currencies (with Kenneth Rogoff) August 2021, Review of Economic Studies 2022 Forthcoming
--- A model of digital currency backed by redemptions on internet platforms. We discuss the platform currency features and optimal design.
Converging to Convergence (with Michael Kremer, and Jack Willis) August 2020, NBER Macroeconomic Annual 2021, Published in May 2022
--- Absolute convergence holds in the recent two decades. Institutions also converge and contribute to the economic convergence.
Bubble for Fama (with Andrei Shleifer and Robin Greenwood) July 2018, Journal of Financial Economics, Published in January 2019
--- Empirical predictability in stock market bubble
--- JFE Fama - DFA Best Paper Award
--- A model of digital currency backed by redemptions on internet platforms. We discuss the platform currency features and optimal design.
Converging to Convergence (with Michael Kremer, and Jack Willis) August 2020, NBER Macroeconomic Annual 2021, Published in May 2022
--- Absolute convergence holds in the recent two decades. Institutions also converge and contribute to the economic convergence.
Bubble for Fama (with Andrei Shleifer and Robin Greenwood) July 2018, Journal of Financial Economics, Published in January 2019
--- Empirical predictability in stock market bubble
--- JFE Fama - DFA Best Paper Award
