Yan Liu

Purdue University

West Lafayette, IN 47907-1310

United States

http://yliu1.com

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 353

SSRN RANKINGS

Top 353

in Total Papers Downloads

53,028

SSRN CITATIONS
Rank 5,084

SSRN RANKINGS

Top 5,084

in Total Papers Citations

161

CROSSREF CITATIONS

91

Scholarly Papers (22)

1.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads 19,022 (155)
Citation 136

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Risk factors, Multiple tests, Beta, HML, SMB, 3-factor model, Momentum, Volatility, Skewness, Idiosyncratic volatility, Liquidity, Bonferroni, Factor zoo

2.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 9,238 (631)
Citation 12

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Sharpe ratio, Multiple tests, Holm, BHY, Bonferroni, Strategy selection, Backtest, Haircut, Haircut Sharpe Ratio, Data Mining, Machine Learning, Higgs Boson, Trading Strategies, Out-of-Sample tests, In-Sample tests, FDR, FWER, Capital IQ, PBO

3.

Lucky Factors

Number of pages: 139 Posted: 22 Nov 2014 Last Revised: 02 Nov 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 6,469 (1,173)
Citation 13

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Factors, Variable selection, Bootstrap, Data mining, Orthogonalization, Multiple testing, Predictive regressions, Fama-MacBeth, GRS, Performance evaluation, Return prediction

4.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 5,992 (1,349)
Citation 21

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Sharpe ratio, Multiple tests, Backtest, Haircut, Trading Strategies, Out-of-Sample tests, In-Sample tests

5.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 16 Oct 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 2,726 (5,225)
Citation 12

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Overfitting, Backtesting, Data Mining, Multiple Testing, Factor Investing, Value Investing, Momentum

6.
Downloads 2,338 ( 6,735)
Citation 8

Detecting Repeatable Performance

Number of pages: 107 Posted: 19 Nov 2015 Last Revised: 05 Aug 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 2,300 (6,791)
Citation 6

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Performance evaluation, Mutual funds, Hedge funds, EM algorithm, Fixed effects, Random effects, Regularization, Multiple testing, Bayesian, Rethinking Performance Evaluation

Rethinking Performance Evaluation

NBER Working Paper No. w22134
Number of pages: 65 Posted: 04 Apr 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 38 (503,464)
Citation 1

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7.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,576 (12,813)
Citation 9

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Multiple tests, Correlation, Incomplete data, Meta-analysis, Data mining, False discoveries, Type I error, Type II error

8.

False (and Missed) Discoveries in Financial Economics

Number of pages: 61 Posted: 21 Nov 2017 Last Revised: 08 Jun 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,425 (15,014)
Citation 24

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Type I, Type II, Multiple testing, False discoveries, Odds ratio, Power, Mutual funds, Smart beta, Anomalies, Bayesian, Factors, Backtesting, Factor Zoo

9.

Cross-Sectional Alpha Dispersion and Performance Evaluation

Mays Business School Research Paper No. 3143806
Number of pages: 70 Posted: 24 Mar 2018 Last Revised: 14 Jan 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 846 (32,432)
Citation 3

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Alpha, Investor behavior, Hedge funds, Mutual funds, Performance evaluation, Portfolio management, Risk, Type I errors, Type II errors, Bayesian decision-making, Appraisal ratio, Flow-performance sensitivity, Idiosyncratic risk

10.

Decreasing Returns to Scale, Fund Flows, and Performance

Duke I&E Research Paper No. 2017-13, Mays Business School Research Paper No. 2990737
Number of pages: 59 Posted: 22 Jun 2017 Last Revised: 05 Nov 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 717 (40,621)
Citation 9

Abstract:

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Performance Evaluation, Mutual Funds, Hedge Funds, EM Algorithm, Fixed Effects, Random Effects, Scale, AUM, Alpha

11.
Downloads 528 ( 60,454)
Citation 3

Reconstructing the Yield Curve

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 28 Nov 2018 Last Revised: 30 Dec 2020
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 523 (60,522)
Citation 2

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yield curve, non-parametric, term structure, excess volatility, return forecasting

Reconstructing the Yield Curve

NBER Working Paper No. w27266
Number of pages: 59 Posted: 02 Jun 2020
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 5 (730,284)
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12.

Index Option Returns and Generalized Entropy Bounds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 69 Posted: 21 Sep 2012 Last Revised: 07 Jul 2020
Yan Liu
Purdue University
Downloads 497 (65,208)
Citation 6

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High-order moments, Pricing kernel, Rare disasters, Index options, Nonparametric bounds, Model diagnosis

13.

An Evaluation of Alternative Multiple Testing Methods for Finance Applications

Number of pages: 51 Posted: 13 Dec 2019 Last Revised: 02 Feb 2020
Duke University - Fuqua School of Business, Purdue University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 315 (111,015)
Citation 1

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Multiple hypothesis testing, False rejections, False discovery rate, False non-discovery rate, False omission rate, Family-wise error rate, Data mining, Data snooping, Type I error, Type II error, False discovery control, Luck, Test power

14.

Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence

Number of pages: 93 Posted: 02 Jul 2020 Last Revised: 07 Dec 2020
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 255 (139,171)
Citation 1

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Performance evaluation, alpha, active management, bootstrapping, market efficiency, fund management, oversampling, undersampling, Type I errors, Type II errors

15.

Crowding: Evidence from Fund Managerial Structure

Number of pages: 50 Posted: 09 Apr 2020 Last Revised: 29 Dec 2020
Duke University - Fuqua School of Business, Purdue University, University of Queensland - Business School and University of Queensland
Downloads 247 (143,089)

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Mutual funds, managerial structure, diseconomies of scale, crowding, performance evaluation, decreasing returns to scale, alpha, capacity constraints, discretionary management, systematic management.

16.

Diversifying Private Equity

Number of pages: 51 Posted: 18 Feb 2020 Last Revised: 08 Jan 2021
Tulane University - A.B. Freeman School of Business, Purdue University and Vanderbilt University - Finance
Downloads 226 (155,820)

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Private Equity, Venture Capital, Fund of Funds, Fund Performance, Portfolio Choice

17.

Asset Pricing Under Prior-Induced Beta Uncertainty

Mays Business School Research Paper No. 2874056
Number of pages: 60 Posted: 23 Nov 2016 Last Revised: 08 Jul 2018
Baylor University - Department of Finance, Insurance & Real Estate, Texas A&M University - Department of Finance and Purdue University
Downloads 198 (176,618)

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Parameter uncertainty, Risk factors, 10-K, Item 1a, Currency risk, Commodity risk, Interest rate risk, Recession risk, Bayesian

18.

Diagnosing Dynamic Asset Pricing Models with Generalized Entropy Bounds

Number of pages: 26 Posted: 22 Nov 2013 Last Revised: 23 Jan 2018
Yan Liu
Purdue University
Downloads 138 (240,128)
Citation 1

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higher order moments, pricing kernel, entropy, conditioning information, horizon dependence, model diagnosis

Distorted Risk Incentives from Size Threshold-Based Regulations

Mays Business School Research Paper No. 3084239
Number of pages: 84 Posted: 11 Dec 2017 Last Revised: 19 Nov 2018
Shane A. Johnson and Yan Liu
Texas A&M University - Department of Finance and Purdue University
Downloads 109 (287,569)

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Regulation, Risk incentives, Size thresholds, Size contingent regulation, Dodd-Frank

Distorted Risk Incentives from Size Threshold-Based Regulations

Number of pages: 85 Posted: 03 Feb 2019
Shane A. Johnson and Yan Liu
Texas A&M University - Department of Finance and Purdue University
Downloads 27 (565,077)

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Risk incentives, Regulation, Size thresholds, Size contingent regulation, Dodd-Frank, Regulatory distortion, risk taking

20.

Distorting Arrow-Debreu Securities: New Entropy Restrictions Implied by the Option Cross Section

Number of pages: 69 Posted: 07 Feb 2020 Last Revised: 21 Oct 2020
Fousseni Chabi-Yo and Yan Liu
University of Massachusetts Amherst - Isenberg School of Management and Purdue University
Downloads 72 (370,047)

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Equity risk premium, Risk-neutral moments, Preferences, Entropy, Model-free, Stochastic Discount Factor

21.

Maxing Out Entropy: A Conditioning Approach

Number of pages: 58 Posted: 26 Oct 2020 Last Revised: 09 Nov 2020
Fousseni Chabi-Yo and Yan Liu
University of Massachusetts Amherst - Isenberg School of Management and Purdue University
Downloads 48 (450,122)

Abstract:

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Conditioning Information, Equity Risk Premium, Risk-Neutral Moments, Preferences, Entropy, Model-Free, Stochastic Discount Factor

22.

Optimal Cross-Sectional Regression

Number of pages: 58
Zhipeng Liao and Yan Liu
University of California, Los Angeles (UCLA) - Department of Economics and Purdue University
Downloads 19

Abstract:

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Beta uncertainty, Efficient esetimation, Factor models, Fama-MacBeth, GMM, Idiosyncratic risk, Systematic risk, Two-pass regression, Errors-in-variables