Professor
Department of Finance

Licheng Sun

2168 Constant Hall
Norfolk, 23529

Ph.D. in Finance, University of Georgia, (2002)

Expertise

Finance
Asset Pricing

Articles

Connolly, B., Stivers, C. and Sun, L. (2022). Stock Returns and Inflation Shocks in Weaker Economic Times. Financial Management 51 (3) , pp. 827-867.
Zhu, Z., Sun, L., Tu, J. and Ji, Q. (2022). Oil Price Shocks and Stock Market Anomalies. Financial Management 51 (2) , pp. 573-612.
Shen, J., Najand, M. S., Sun, L. and Griffith, J. M. Predicting Stock and Bond Market Returns with Emotions: Evidence from Futures Markets. Journal of Behavioral Finance.
Zhu, Z., Sun, L. and Stivers, C. (2021). Price Anchors and Short-Term Reversals. Financial Management 50 (2) , pp. 425-454.
Zhu, Z., Sun, L. and Tu, J. (2021). Earnings Momentum Meets Short-Term Return Reversal. Accounting and Finance 61 (S1) , pp. 2379-2405.
Zhu, Z., Sun, L. and Yung, K. (2020). Fundamental Strength Strategy: The Role of Investor Sentiment versus Limits to Arbitrage. International Review of Financial Analysis 71.
Zhu, Z., Ji, Q., Sun, L. and Zhai, P. (2020). Oil Price Shocks, Investor Sentiment, and Asset Pricing Anomalies in the Oil and Gas Industry. International Review of Financial Analysis 70.
Sun, L., Zhu, Z., Yung, K. and Chen, M. (2020). Limited Investor Attention, Relative Fundamental Strength, and the Cross-Section of Stock Returns. British Accounting Review 52.
Sun, L., Zhu, Z., Tu, J. and Xinrui, D. (2019). Momentum and Reversal: The Role of Short-Selling. Journal of Economic Dynamics and Control 104 , pp. 95-110.
Sun, L., Zhu, Z. and Chen, M. (2019). Fundamental Strength and Short-Term Return Reversal. Journal of Empirical Finance 52 , pp. 22-39.
Sun, L., Meng, L. and Najand, M. S. (2017). The Role of U.S. Market on International Risk-Return Tradeoff Relations. Financial Review 52 (3) , pp. 499-526.
Sun, L., Najand, M. S. and Shen, J. (2016). Stock Return Predictability and Investor Sentiment: A High-Frequency Perspective. Journal of Banking and Finance 73 , pp. 147-164.
Sun, L. and Stivers, C. T. (2016). Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification. The Financial Review 51 (3) , pp. 403-433.
Sun, L. and Stivers, C. (2013). Returns and Option Activity over the Option-Expiration Week for S&P 100 Stocks. Journal of Banking and Finance 37 (11) , pp. 4226–4240.
Sun, L. and Stivers, C. (2013). Market Cycles and the Performance of Relative-Strength Strategies. Financial Management 42 (2) , pp. 263–290.
Sun, L., Stivers, C. and Kongera, A. (2013). Stock Strategies with the January Barometer and the Yield Curve. Journal of Investment Management 11 (1) , pp. 32-49.
Sun, L. and Stivers, C. (2010). Cross-sectional Return Dispersion and Time-Variation in Value and Momentum Premiums. Journal of Financial and Quantitative Analysis 45 (4) , pp. 987-1014.
Sun, L., Stivers, C. and Sun, Y. (2009). The Other January Effect: International, Style, and Subperiod Evidence. Journal of Financial Markets 12 (3) , pp. 521-546.
Sun, L., Connolly , B. and Stivers, C. (2007). Commonality in the time-variation of stock–stock and stock–bond return comovements. Journal of Financial Markets 10 (2) , pp. 192-218.
Sun, L. and Boscaljon, B. (2006). A Simple Portfolio Insurance Strategy for Retirement Investing. Journal of Financial Service Professionals 60 (5) , pp. 60-65.
Sun, L. (2005). Regime Shifts in Interest Rate Volatility. Journal of Empirical Finance 12 , pp. 418-434.
Sun, L., Connolly , B. and Stivers, C. (2005). Stock Market Uncertainty and the Stock-Bond Return Relation. Journal of Financial and Quantitative Analysis 40 (1) , pp. 161-194.
Sun, L. (2003). Nonlinear Drift and Stochastic Volatility: An Empirical Investigation of Short-Term Interest Rate Models. Journal of Financial Research 26 (3) , pp. 389-404.

Presentations

Sun, L. and Liang, Q. (November , 2022). Retail Trading around Earnings Announcements: Evidence from Robinhood Traders Paper Southern Finance Association Conference 2022 Key West, FL.
Sun, L., Chen, C. and Stivers, C. T. (October , 2022). Short-term Relative-strength strategies and turnover with a stock's price-to-52-week-high: It's all about the winners Paper Financial Management Association Annual Meetings Atlanta, GA.
Sun, L. (October 22, 2021). When Do Investors Know? Security Class Action Lawsuits, Short Selling, and Pre-filing News Releases Paper Financial Management Association Annual Meetings Denver, CO.
Sun, L. (October 12, 2018). Information Percolation, the 52-Week High, and Short-term Reversal in Stock Returns? Paper Financial Management Association Annual Meetings San Diego.
Sun, L. (October 12, 2018). Noise Trading, Slow Diffusion of Information, and Short-term Reversals: A Fundamental Analysis Approach Paper Financial Management Association Annual Meetings San Diego.
Sun, L. (June , 2018). Noise Trading, Slow Diffusion of Information, and Short-term Reversals: A Fundamental Analysis Approach Paper Greater China Area Finance Conference Xiamen, China.
Sun, L. and Stivers, C. (October 16, 2015). Learning from Data: How to Design Portfolio Strategies That Can Beat the 1/N Naive Diversification? Paper Financial Management Association Annual Meetings Orlando, FL.
Sun, L. (October 16, 2014). The Role of Conditioning Information in Portfolio Selection Paper Financial Management Association Annual Meeting 2014 Nashville, TN.
Sun, L. (October , 2012). New Evidence on Short-Term Reversals in Monthly Stock Returns Paper Financial Management Association Annual Meetings Atlanta, GA.
Sun, L. (October , 2011). Stock Returns and Option Activity over the Option-Expiration Week for S&P 100 Stocks Paper Financial Management Association Annual Meetings Denver, CO.
Sun, L. (October , 2010). Momentum with Regime-Switching in Mean Returns Paper Financial Management Association Annual Meetings New York, NY.
Sun, L. (October , 2008). The Other January Effect: International, Style, and Subperiod Evidence Paper Financial Management Association Annual Meetings Dallas, TX.
Sun, L. (October , 2007). Stock Return Predictability under Regime Switches and Model Uncertainty Paper Financial Management Association annual meetings Orlando, FL.
Sun, L. (October , 2005). Momentum Profits with Regime Shifts in Stock Returns Paper Financial Management Association annual meetings Chicago, IL.
Sun, L. (October , 2003). Implied Volatility and the Changing Correlation of European Stock and Bond Returns Paper Financial Management Association Annual Meetings Denver, CO.
Sun, L. (October , 2003). Regime Shifts in Interest Rate Volatility Paper Financial Management Association Annual Meetings Denver, CO.
Sun, L. (October , 2002). Stock Market Uncertainty and the Stock-Bond Return Relation Paper American Finance Association Annual Meetings Park City, UT.
Sun, L. (October , 2002). Stock Market Uncertainty and the Stock-Bond Return Relation Paper Financial Management Association Annual Meetings San Antonio, TX.
Sun, L. (October , 2001). Nonlinear Drift and Stochastic Volatility: An Empirical Investigation of Short-Term Interest Rate Models Paper Financial Management Association Annual Meetings Toronto, Canada.
  • 2022: SSRN Top 10 Downloaded Paper, SSRN.com
  • 2022: EV Williams Research Fellow, Old Dominion University
  • 2019: Best Paper Award, International Conference on Energy Finance (2019)
  • 2018: Semi-finalist for Best Paper in Investments, Financial Management Association
  • 2018: Semi-finalist for Best Paper in Investments, Financial Management Association
  • 2018: SSRN Top 10 Downloaded Paper, SSRN.com
  • 2017: EV Williams Research Fellow, Old Dominion University
  • 2017: SSRN Top 10% Author, SSRN.com
  • 2015: SSRN Top 10 Downloads in Behavioral Finance, SSRN.com
  • 2015: Semi-finalist for Best Paper in Investments, Financial Management Association
  • 2011: Semi-finalist for Best Paper in Risk Management, Financial Management Association
  • 2002: Best Paper in Investments, Financial Management Association