Research

Working Papers

Subjective Learning of Trading Talent: Theory and Evidence from Individual Investors in the U.S.

I propose a model for subjective learning of trading talent, and match it to trading records data to explain disposition effect and investor attrition.

(Available here)

Transaction Risks in Intraday Trading with Subjective Beliefs

I study a model with two agents, i.e., fund manager and retail investor, to reveal the asset pricing implications of transaction risks in equity market.

(The paper may be available upon request)

Reference Point for Volatility and Disposition Effect

I exploit trading records data to identify the volatility effect on volume, and develop a portfolio choice model that predicts disposition effect.

(The paper may be available upon request)