xicheng.li@connect.ust.hk
PhD candidate in Finance
HKUST Business School
Clear Water Bay, Kowloon, Hong Kong
Hello, I'm Xicheng. My research focuses on asset pricing and behavioral finance.
Working Papers
- Horizon Bias and Equity Term Premia around Earnings News, Job Market Paper [Paper]
- Green Price Pressure with Don Noh, Sangmin Oh, Sean Shin, and Jihong Song [Paper] [SSRN]
I study the cross-sectional equity term premium, the return spread between short- and long-duration stocks, around earnings announcements. Horizon bias leads to systematic mispricing before earnings release, while higher limits to arbitrage allow such mispricing to build up.
Presentations: AFA PhD Poster Session 2026, AFBC PhD Forum 2025
We study the catering channel of sustainable investing: managers improve environmental performance to capture valuation premia created by investor demand for sustainability.
Presentations: SUFE-HKUST Workshop 2025, SGF 2024, MFA 2024, AFA 2024, HEC-HKUST Sustainable Fin. Conf. 2023, SoFiE 2023, Seoul National Univ. 2025, Sungkyunkwan Univ. 2024, Korea Univ. 2023
Works in Progress
- Short-Sale Constraints and Positive Feedback Trading with Don Noh and Jianfeng Yu
Using investor-type-level data from the Korean stock market, we document that retail investors, particularly mobile traders, engage in a nuanced positive-feedback trading pattern: they are contrarian after moderate returns but become momentum traders following extreme positive returns.
- Retail Trading and Announcement Anomaly Returns
Retail investors are net buyers of short-leg stocks across equity anomalies, including value, profitability, and low risk categories, before earnings announcements. The short legs in these anomalies contribute disproportionately to anomaly returns in the announcement window.