Yan Liu

Texas A&M University, Department of Finance

Assistant Professor in Finance

Wehner 401Q, MS 4353

College Station, TX 77843-4218

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 612

SSRN RANKINGS

Top 612

in Total Papers Downloads

27,491

CITATIONS
Rank 17,420

SSRN RANKINGS

Top 17,420

in Total Papers Citations

19

Scholarly Papers (11)

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, Texas A&M University, Department of Finance and Duke University - Fuqua School of Business
Downloads 12,590 (189)
Citation 17

Abstract:

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: 03 Aug 2014 Last Revised: 26 Aug 2014
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 3,871 (817)

Abstract:

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.

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 Texas A&M University, Department of Finance
Downloads 2,449 (1,627)
Citation 1

Abstract:

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

4.
Downloads 1,125 ( 13,590)

Rethinking Performance Evaluation

Number of pages: 95 Posted: 19 Nov 2015 Last Revised: 23 Nov 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,115 (13,473)

Abstract:

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

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 Texas A&M University, Department of Finance
Downloads 10 (497,178)

Abstract:

5.

Lucky Factors

Number of pages: 59 Posted: 22 Nov 2014 Last Revised: 04 Jul 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,119 (3,297)

Abstract:

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

6.

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 Texas A&M University, Department of Finance
Downloads 541 (19,613)
Citation 1

Abstract:

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

7.

Index Option Returns and Generalized Entropy Bounds

Number of pages: 64 Posted: 21 Sep 2012 Last Revised: 30 Sep 2015
Yan Liu
Texas A&M University, Department of Finance
Downloads 267 (68,003)
Citation 1

Abstract:

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

8.

Diagnosing Dynamic Asset Pricing Models with Generalized Entropy Bounds

Number of pages: 26 Posted: 22 Nov 2013 Last Revised: 24 Nov 2013
Yan Liu
Texas A&M University, Department of Finance
Downloads 71 (207,868)

Abstract:

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

9.

The Effects of a Product's Aesthetic Design on Demand and Marketing Mix Effectiveness: The Role of Segment Prototypicality and Brand Consistency

Forthcoming, Journal of Marketing
Posted: 04 Jan 2017
Texas A&M University, Department of Finance, Indiana University, Texas A&M University and University of California, Riverside - School of Business Administration

Abstract:

Product Design, Aesthetic Design, Segment Prototypicality, Brand Consistency, Categorization, Marketing Mix Effects

10.

The Asset Pricing Implications of Disclosed Risk Factors

Number of pages: 64 Posted: 23 Nov 2016
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University, Department of Finance
Downloads 0 (318,523)

Abstract:

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

11.

Does Scale Impact Skill?

Duke I&E Research Paper No. 2016-46
Number of pages: 42 Posted: 21 Nov 2016 Last Revised: 29 Nov 2016
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 0 (133,253)

Abstract:

Performance evaluation, Mutual funds, Hedge funds, EM algorithm, Fixed effects, Random effects, Scale, AUM, Alpha