TERRY COLLEGE OF BUSINESS      | UNIV. OF GEORGIA.
Juan (Julie) Wu

Dept. of Finance
Terry College of Business,  University of Georgia
Athens, GA 30602, USA

Office: (706) 542-0934;   Fax: (706) 542-9434
Email: juliewu@terry.uga.edu
   

ACADEMIC EMPLOYMENT

 

  • 2008-                Assistant Professor of Finance, Terry College of Business, University of Georgia

 

 

EDUCATION

 

  • Ph.D.                 Finance (2007), Mays Business School, Texas A&M University

 

 

PUBLICATIONS

 

 

We show that stock prices are more accurate when short sellers are more active. First, in a large panel of NYSE-listed stocks, intraday informational efficiency of prices improves with greater shorting flow. Second, at monthly and annual horizons, more shorting flow accelerates the incorporation of public information into prices. Third, greater shorting flow reduces post-earnings announcement drift for negative earnings surprises. Fourth, short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values. These results are robust to various econometric specifications and their magnitude is economically meaningful.

 

    

 

We examine whether short sellers identify firms that have significant changes in default likelihoods and credit rating downgrades. In the month before a rating downgrade, equity short interest is 40% higher than one year prior. Short sellers predict changes in default probabilities that lead to downgrades by focusing on firms with inaccurate or biased ratings. This strategy is profitable for short sellers primarily since downgrades are associated with significantly negative equity returns. Short sellers also facilitate price discovery by reducing abnormal stock returns following downgrades and by leading bond yield spreads.

 

    

WORKING PAPERS

 

 

 

 

 

 

 

 

 

 

 

 

PAPER PRESENTATIONS AT PROFESSIONAL MEETINGS

 

  • 2013
    •  American Finance Association, San Diego
      • "International Evidence on Algorithmic Trading"
  • 2012   
    • Bachelier conference, Paris
      • "International evidence on algorithmic trading"
    • American Accounting Association, Washington D.C
      • "Earnings Attribution and Information Transfers"
    • Financial Management Association, Atlanta
      • "High short interest effect and aggregate volatility risk"
    • World Finance Conference, Brazil
      • "High short interest effect and aggregate volatility risk"
    • Midwest Finance Association, New Orleans
      • "High short interest effect and aggregate volatility risk" *
  • 2011   
    •  3rd RMA/UNC Academic Forum for Securities Lending Research, New York
      • "Do equity short sellers anticipate bond rating downgrades?"
    • Southern Finance Association, Key West
      • "High short interest effect and aggregate volatility risk"
    • Financial Management Association, Denver
      • "Cash flow volatility and firm valuation" *
      • "How are shorts informed: evidence from market anomalies"
  • 2010
    •  Singapore Management University Accounting Symposium, Singapore
      • "Industry news, firm news, and information transfer from management earnings forecasts"
  • 2009
    •  1st RMA/UNC Academic Forum for Securities Lending Research, New York
      • "Short selling and the informational efficiency of prices"
    • All Georgia Finance Conference, Atlanta
      • "Short selling and the informational efficiency of prices"
  • 2007
    •  American Finance Association, Chicago
      • "Order flow and prices"
    • Financial Management Association Doctoral Consortium, Orlando
      • "Short selling and the informational efficiency of prices"
    • Q-Group Fall meeting, Scottsdale
      • "Order flow and prices"
  • 2006
    •  Workshop on the Microstructure of Foreign Exchange and Equity Markets, Ottawa
      • "Order flow and prices"

 

TEACHING EXPERIENCE

 

  • University of Georgia
    • 2011-2013, Research Topics in Finance (PhD)
    • 2008-2013, Corporate Finance Theory (Undergrad)

 

  • Texas A&M University
    • 2007, Boot Camp for Incoming Finance PhD Students (PhD)
    • 2004, 2006, Managerial Finance I (Undergrad)

 

  • Xian Foreign Language University
    • 1997-1999, English courses

 

 

PROFESSIONAL ACTIVITIES

 

  • Ad Hoc Referee for

Journal of Finance

Review of Financial Studies

Management Science

Journal of Empirical Finance

Journal of Corporate Finance

Journal of Financial Intermediation

Financial Management

Financial Review

Pacific-Basin Finance Journal

Review of Financial Economic

International Journal of Managerial Finance

 

  • Discussant, National Bureau of Economic Research (NBER) Microstructure meeting, May 2008

 

  • Program Committee (Investment Track), Midwest Finance Association, 2008

 

  • External grant proposal reviewer for the Research Grants Council of Hong Kong, 2012

 

  • Discussant, Financial Management Association, 2012

 

 

HONORS AND AWARDS

 

  • 2007, Post-Doctoral Research Associate Fellowship, Mays Business School, Texas A&M University
  • 2007, American Finance Association Travel Award
  • 2007, Dean's Award for Outstanding Research by a Doctoral Student, Mays Business School, Texas A&M University
  • 2005, Dean's Award for Outstanding Teaching by a Doctoral Student, Mays Business School, Texas A&M University