Recently, a paper authored by Professor Xiaoyan Zhang, Chair Professor of Finance and Associate Dean at Tsinghua University PBC School of Finance (PBCSF), has been recognized as an ESI Highly Cited Paper in the field of Economics & Business. Co-authored with Charles M. Jones (Columbia University), Donghui Shi (Fudan University), and Xinran Zhang (Central University of Finance and Economics), the paper titled Retail Trading and Return Predictability in China was published in the prestigious Journal of Financial and Quantitative Analysis (JFQA) in 2024.
Key Contributions of the Paper
This groundbreaking research uses comprehensive stock trading data from all investors in China to separate retail investors into five groups, and documents strong heterogeneity in trading dynamics and performances. Retail investors with smaller account sizes demonstrate cannot predict future returns correctly, display daily momentum patterns, fail to process public news and show overconfidence and gambling preferences. While retail investors with larger account balances balances predict future returns correctly, display contrarian patterns, and incorporate public news in trading.
The rise of zero-commission trading platforms such as Robinhood, the surge in retail trading during the COVID-19 pandemic, and events like the GameStop retail trading underscore the increasing significance of retail investors in global financial markets. Against this backdrop, China’s growing prominence in international capital markets has spurred high-quality research on its unique market characteristics. This paper provides a foundational framework for understanding retail investor behavior in China, contributing to subsequent studies published in top-tier journals, including Journal of Financial Economics, Journal of Accounting and Economics, Management Science, and Journal of Financial and Quantitative Analysis.
About ESI Highly Cited Papers
Essential Science Indicators (ESI) Highly Cited Papers are those that rank in the top 1% of their academic field worldwide based on citation counts over the past decade. This designation is widely regarded as a key metric for evaluating the academic influence of researchers, institutions, and nations.
About Professor Xiaoyan Zhang
Professor Xiaoyan Zhang serves as Associate Dean and Xinyuan Chair Professor of Finance at Tsinghua University PBC School of Finance. She is also the Deputy Director of Institute of Fintech Research at Tsinghua University, and the Director of Wealth Management Research Center. Currently, Professor Zhang is also a member of Academic Committee of the People’s Bank of China, member of the Global Future Council at the World Economic Forum, senior financial expert for the Shanghai Stock Exchange, and a senior fellow of the Asian Bureau of Finance and Economic Research (ABFER). Professor Zhang served on the CSRC 17th Issuance Examination Committee, and currently serves on the World Economic Forum’s Global Future Council, China Global Economic Governance 50 Forum, China Wealth Management 50 Forum, and Expert Committee of National Internet Finance Association.
Professor Zhang’s research interests span Chinese capital markets, fintech, empirical asset pricing, and international finance. Her work has been published in leading academic journals, including Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, earning her multiple best paper awards. She serves as an associate editor for Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Empirical Finance, and Financial Management.
Her team’s research on Chinese capital market and Carbon neutral financial markets receives multiple grants from the National Natural Sciences Foundation of China and other prominent institutions.
Professor Zhang enjoys teaching in investments, global capital market, financial derivatives, risk management and empirical asset pricing for undergraduate, Master of Finance, MBA, EMBA, PH.D. and executive programs. She received many teaching awards from Cornell, Purdue and Tsinghua University. In recognition of her significant contributions to teaching and research, Professor Zhang was named one of the “Global Top 40 under 40” business school professors.
