Yan Liu

Purdue University

West Lafayette, IN 47907-1310

United States

http://yliu1.com

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 430

SSRN RANKINGS

Top 430

in Total Papers Downloads

58,132

SSRN CITATIONS
Rank 4,839

SSRN RANKINGS

Top 4,839

in Total Papers Citations

181

CROSSREF CITATIONS

103

Scholarly Papers (24)

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 19,572 (170)
Citation 135

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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 9,732 (649)
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: 99 Posted: 22 Nov 2014 Last Revised: 08 Apr 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 7,062 (1,155)
Citation 21

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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 6,389 (1,374)
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 3,526 (3,846)
Citation 23

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

6.
Downloads 2,451 ( 7,065)
Citation 10

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 2,406 (7,136)
Citation 9

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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 45 (509,573)
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 1,679 (13,005)
Citation 10

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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 1,622 (13,742)
Citation 27

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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 933 (31,420)
Citation 5

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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.
Downloads 848 ( 35,807)
Citation 4

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 841 (35,687)
Citation 3

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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 Last Revised: 03 Jul 2021
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 7 (770,463)
Citation 1
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11.

Decreasing Returns to Scale, Fund Flows, and Performance

Number of pages: 60 Posted: 22 Jun 2017 Last Revised: 21 Jun 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 778 (40,307)
Citation 9

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

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 546 (63,943)
Citation 7

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

13.

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

Number of pages: 95 Posted: 02 Jul 2020 Last Revised: 18 Oct 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 515 (68,989)
Citation 2

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

14.

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 425 (86,727)
Citation 4

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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

15.

Crowding: Evidence from Fund Managerial Structure

Number of pages: 60 Posted: 09 Apr 2020 Last Revised: 10 Apr 2021
Duke University - Fuqua School of Business, Purdue University, University of Queensland - Business School and University of Queensland
Downloads 411 (90,444)
Citation 2

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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: 49 Posted: 18 Feb 2020 Last Revised: 05 May 2021
Tulane University - A.B. Freeman School of Business, Purdue University and Vanderbilt University - Finance
Downloads 339 (112,204)
Citation 1

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

17.

Uncovering the Iceberg from Its Tip: A Model of Publication Bias and p-Hacking

Number of pages: 32 Posted: 22 Jun 2021 Last Revised: 30 Jun 2021
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 304 (126,152)

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p-hacking, Data mining, Anomalies, Simulations, Publication bias, Multiple testing

18.

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 211 (181,523)

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

19.

Optimal Cross-Sectional Regression

Number of pages: 63 Posted: 28 Jan 2021 Last Revised: 19 May 2021
Zhipeng Liao and Yan Liu
University of California, Los Angeles (UCLA) - Department of Economics and Purdue University
Downloads 154 (239,147)

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

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 115 (300,373)

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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 34 (566,653)

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

21.

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 140 (258,188)
Citation 1

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

22.

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 129 (274,931)

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

23.

Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach

Number of pages: 64 Posted: 18 May 2021 Last Revised: 27 May 2021
Tilburg University- School of Economics and Management, Purdue University - Krannert School of Management and Purdue University
Downloads 118 (295,291)

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Present value, Structural estimation, Expectations formation, Extrapolation bias, Behavioral, Sentiment, Predictive regression, Discount rate, Dividend growth

24.

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 99 (330,939)

Abstract:

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