xicheng.li@connect.ust.hk
PhD candidate in Finance, HKUST Business School
Hello, I'm Xicheng. I work in empirical asset pricing, with a focus on the role of investor behavior in shaping asset prices.
Working Papers
- Horizon Bias and Equity Term Premia around Earnings News, Job Market Paper [Paper] [Slides]
- 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 overpricing of long-duration stocks relative to short-duration stocks. Earnings announcements provide fundamental news that updates biased beliefs and corrects mispricing, producing a large fraction of the equity term premium around these events.
Presentations: AFA PhD Poster Session 2026, AFBC 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.