Shiyang Huang
Prof. Shiyang HUANG
Deputy Area Head of Finance

3917 8564

KK 834

Academic & Professional Qualification
  • Ph.D., London School of Economics and Political Science
  • M.A., Tsinghua University
  • B.A., Tsinghua University

Dr. Shiyang HUANG received his Ph.D. degree in finance from the London School of Economics in 2015.  He also holds a master degree and a bachelor degree in economics from Tsinghua University.  He joined The University of Hong Kong in 2015.

Shiyang’s research agenda focuses on financial economics and empirical asset pricing.  He has published research papers in several academic journals including Journal of Financial Economics, Management Science and Journal of Economic Theory.  He also won the best paper awards at academic conferences, including Best Paper Award at 7th Melbourne Asset Pricing Meeting, Conference Best Paper Award at China International Conference in Finance of 2019, Best Paper Award at 14th Annual Conference in Financial Economics Research by Eagle Labs (IDC) of 2017, Yihong Xia Best Paper Award at hina International Conference in Finance of 2015, Conference Best Paper Award at Paris December Finance Meeting of 2014,  IdR QUANTVALLEY / FdR Quantitative Management Initiative Research Award of 2013.

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Research Interest
  • Financial Economics
  • Asset Pricing
  • Information Economics
Selected Publications
  • “The Smart Beta Mirage” (with Yang Song and Hong Xiang), Journal of Financial and Quantitative Analysis, forthcoming.
  • “Derivatives and Market (Il)liquidity” (with Bart Zhou Yueshen and Cheng Zhang), Journal of Financial and Quantitative Analysis, 59(1), 2024, 157-194.
  • “Managerial Overconfidence and Market Feedback Effects” (with Suman Banerjee, Vikram Nanda and Steven Chong Xiao), Management Science, 69(12), 2023, 7285-7305.
  • “Skill Acquisition and Data Sales” (with Yan Xiong and Liyan Yang), Management Science, 68(8), 2022, 6116-6144.
  • “A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle” (with Charles M.C. Lee, Yang Song and Hong Xiang), Journal of Financial Economics, 145(2), 2022, 83-102.
  • “Informed Trading in Government Bond Markets” (with Robert Czech, Dong Lou and Tianyu Wang), Journal of Financial Economics, 142(3), 2021, 1253-1274
  • “Psychological Barrier and Cross-firm Return Predictability” (with Tse-Chun Lin and Hong Xiang), Journal of Financial Economics, 142(1), 2021, 338-356
  • “The Rate of Communication” (with Byoung-Hyoun Hwang and Dong Lou), Journal of Financial Economics, 141(2), 2021, 533-550
  • “Speed Acquisition” (with Bart Zhou Yueshen), Management Science, 67(6), 2021, 3492-3518
  • “Public Market Players in the Private World: Implications for the Going-Public Process” (with Yifei Mao, Cong (Roman) Wang and Dexin Zhou), The Review of Financial Studies, 34(5), 2021, 2411-2447
  • “Innovation and Informed Trading: Evidence from Industry ETFs” (with Maureen O’Hara and Zhuo Zhong), The Review of Financial Studies, 34(3), 2021, 1280-1316
  • “Offsetting Disagreement and Security Prices” (with Byoung-Hyoun Hwang, Dong Lou and Chengxi Yin), Management Science, 66(8), 2020, 3444-3465
  • “Institutionalization, Delegation, and Asset Prices” (with Zhigang Qiu and Liyan Yang), Journal of Economic Theory, 186, 2020, 104977
  • “Attention Allocation and Return Co-movement: Evidence from Repeated Natural Experiments” (with Yulin Huang and Tse-Chun Lin), Journal of Financial Economics, 132(2), 2019, 369-383
Recent Publications
Derivatives and Market (Il)liquidity

We study how derivatives (with nonlinear payoffs) affect the underlying asset’s liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors’ utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors’ relative delta hedging sensitivity (i.e., the gamma of the derivatives). The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.

Managerial Overconfidence and Market Feedback Effects

We show that managerial learning from stock prices can lead to feedback loop vulnerability: corrective actions based on perceived negative market signals reduce the sensitivity of asset payoffs to stock market information. Less sensitivity discourages liquidity provision and increases the price impact of liquidity shocks. Interestingly, overconfident managers who disregard stock price information may be less vulnerable to the adverse price impact of nonfundamental liquidity shocks. Our empirical evidence strongly supports the model’s underlying premises and predictions: First, investment decisions of overconfident CEOs are significantly less responsive to stock price fluctuations. Second, the price impact of liquidity shocks, for example, mutual fund fire sales, is substantially smaller for firms with overconfident CEOs.

A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle

We re-examine the puzzling pattern of lead-lag returns among economically-linked firms. Our results show that investors consistently underreact to information from lead firms that arrives continuously, while information with the same cumulative returns arriving in discrete amounts is quickly absorbed into price. This finding holds across many different types of economic linkages, including shared-analyst-coverage. We conclude that the ǣfrog in the panǥ (FIP) momentum effect is pervasive in co-momentum settings, suggesting that information discreteness (ID) serves as a cognitive trigger that reduces investor inattention and improves inter-firm news transmission.

Skill Acquisition and Data Sales

We develop a data-sales model to study the implications of alternative data for financial markets. Investors acquire skills to process the purchased raw data, and developing such skills is costly and involves considerable uncertainty. The data vendor controls the size of the data sample to influence the precision of the information investors can extract from the purchased data. Price informativeness is hump-shaped in skill-acquisition costs although the cost of capital and return volatility are U-shaped in skill-acquisition costs. Similar patterns can arise for skill mean and volatility. Our analysis suggests that the funds and data industries foster each other.

Psychological barrier and cross-firm return predictability

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially explain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to news about economically linked firms but the 52-week high effect reduces such reactions, providing direct evidence that the 52-week high affects the belief-updating process.

The Rate of Communication

We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause “treated investors” to trade abnormally. We then trace the “contagion” of abnormal trading activity from the treated investors to their neighbors and their neighbors’ neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies with the characteristics of the underlying investor population.

Disrupt your traditional perception to ETFs – Discover how short interest of ETFs benefits the stock market

While some criticises that traditional ETFs are too passive in reflecting market signals, research from Dr. Shiyang Huang, Associate Professor in Finance, HKU Business School and his team shows that Industry ETFs are able to hedge the industry and play a great role in improving market efficiency in the US market. The Industry ETF was proven as a positive financial innovation for both investors and the market and therefore should be encouraged by regulators.

港大教授倡監管機構 鼓勵開發行業ETF


Public Market Players in the Private World: Implications for the Going-Public Process

We investigate the effect of pre-IPO investments by public market institutional investors (institutions) on the exit of venture capitalists (VCs). Results indicate that institutions’ pre-IPO investments reduce IPO underpricing by mitigating VCs’ reliance on all-star analysts to boost market liquidity. We conclude that institutions facilitate VC exits in the secondary market. Supporting this view, our analysis reveals that the presence of institutions allows VCs to exit with a reduced price impact in the secondary market. Consistent with the ease of exit, VCs offer fewer shares at the IPO and are more likely to invest in institutionally backed startups.

The Cost of Distraction

What could be the result if some compelling opportunities, like lottery jackpots, were potentially lucrative enough to distract the investors' attention from monitoring the stock market?