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Email: runjing.lu@utoronto.ca Twitter： @RunjingLu

Working Papers

Market Signals from Social Media (w/ Tony Cookson, Will Mullins, and Marina Niessner). SSRN.  

  • Summary: We develop daily market-wide sentiment and attention indexes derived from millions of posts across major investor social media platforms and provide new evidence on the daily market dynamics of sentiment and attention.
     

Roe v. Rates: Reproductive Healthcare and Public Financing Costs (w/ Zihan Ye). SSRN.  

  • Selected conferences: 2025 AEA, 2024 Virtual Municipal Finance Workshop, 2023 FRA

  • Summary: After the U.S. Supreme Court overturned Roe v. Wade, states enacting near-total abortion bans experience an increase in municipal bond yields relative to states with preexisting laws protecting abortion. The effects are stronger in counties with higher ex-ante utilization of abortion services, sharper ex-post declines in access to abortion, greater public support for abortion rights, and higher dependence on female labor force participation. We identify negatively impacted firms and reduced net in-migration as key factors underlying the rise in yields.  
     

Cross-State Strategic Voting (w/ Gordon Dahl, Joey Engelberg, and Will Mullins). SSRN.
Conditionally accepted, American Economic Journal: Economic Policy

  • Selected conferences: 2024 AEA

  • Summary: We estimate that 6.1 million US voters were registered to vote in two states in 2020, opening up the possibility for them to choose where to vote. Double registrants are concentrated in the wealthiest zipcodes and disproportionately choose to vote in swing states (higher incentive) and states which automatically send out mail-in ballots (lower cost). 
     

​Stale Information in the Spotlight: The Effects of Attention Shocks on Equity Markets (w/ Siyu Chen). SSRN.​

  • Best Doctoral Paper Prize in Financial Markets at the 2018 SWFA

  • Summary: Using a Regression Discountnuity Design, we study the causal impact of an influential star analyst award on market reaction and analysts’ post-award performance. Award announcement leads to higher market reaction to stocks with preexisting recommendations from barely winners than those from barely nonwinners. Evidence strongly suggests that attention trading and speculative trading are the main driving force. 

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Selected Publications

Partisan Entrepreneurship (w/ Joey Engelberg, Jorge Guzman, Will Mullins). SSRN. NBER. 

Forthcoming, Journal of Finance.​

  • Covered in WSJ Real Time Economics

  • Best Paper Prize in Corporate Finance at the 2022 MFA Conference 

  • Best Paper Prize at the 2021 Colorado Finance Summit

  • Selected conferences: 2021 NBER SI Entrepreneurship 

  • Summary: We show that Republicans start more firms than Democrats, and that this difference is time-varying: Republicans increase their relative entrepreneurship during Republican administrations and decrease it during Democratic administrations (and vice versa).
     

Partisan Sentiment and Innovation: Evidence from Patenters (w/ Joey Engelberg, Will Mullins, and Rick Townsend). SSRN.

Forthcoming, Review of Financial Studies.

  • Selected conferences: 2023 Kelly Holden

  • Summary: We show that Democrat inventors are more likely to patent (relative to Republicans) after Obama's 2008 election but less likely so after Trump's 2016 victory. We also show a large drop in patenting by Immigrant inventors (relative to non-immigrants) after the 2016 election. Finally, we document an increasing trend in partisan concentration by technology class and firm and a decreasing tendency to form mixed-party teams over the past two decades. 
     

The Social Signal (w/ Tony Cookson, Will Mullins, and Marina Niessner). Journal of Financial Economics, Editor's Choice, Vol. 158, August 2024. JFE. SSRN. Firm-Day Attention and Sentiment Data (2012-2021).​

  • Best Paper Prize in Investments and Asset Pricing at the 2023 MFA Conference

  • Best Paper Award at the 2022 Michigan State FCU Conference 

  • Summary: We study social media attention and sentiment from three major platforms: Twitter, StockTwits, and Seeking Alpha. We find that attention is highly correlated across platforms, but sentiment is not. We also find that sentiment and attention are both positively related to retail trading imbalance, but contain different return-relevant information. Sentiment-induced retail trading imbalance predicts positive next-day returns, but attention-induced imbalance predicts strongly negative next-day returns. These results highlight the practical importance of distinguishing between social media sentiment and attention.
     

Partisan Fertility and Presidential Elections (w/ Gordon Dahl and William Mullins), American Economic Review: Insights, Vol. 4, pp. 473-90, December 2022. AER:I. SSRN. NBER.

  • Covered in Bloomberg, Vox Talks. 

  • Summary: We show large downstream fertility effects following Trump's 2016 election victory: Republican-leaning counties experienced a sharp increase in fertility relative to Democratic counties, while Hispanic fertility fell relative to non-Hispanics within the same county.

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How Racial Animus Forms and Spreads: Evidence from the Coronavirus Pandemic (w/ Yanying Sheng). Journal of Economic Behavior & Organization, Vol. 200, pp. 82-98, August 2022. JEBO. SSRN. arXiv.​

  • Covered in CEPR Covid Econ papers, Vox Talks, South China Morning Post, Weekendavisen

  • Summary: We show that local COVID-19 cases led to a surge in anti-Asian animus using Google search and Twitter posts. We further find that both online animosity and offline anti-Asian hate incidents jumped when President Trump linked China and COVID-19 in his tweets, demonstrating the influence of public figures on such issues.

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