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

14

DOWNLOADS
Rank 478

SSRN RANKINGS

Top 478

in Total Papers Downloads

36,195

CITATIONS
Rank 14,457

SSRN RANKINGS

Top 14,457

in Total Papers Citations

25

Scholarly Papers (14)

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 University of Oklahoma
Downloads 16,192 (145)
Citation 21

Abstract:

Loading...

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 (701)

Abstract:

Loading...

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 (1,448)
Citation 1

Abstract:

Loading...

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

4.
Downloads 1,718 ( 8,123)

Detecting Repeatable Performance

Number of pages: 107 Posted: 19 Nov 2015 Last Revised: 22 Jan 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,705 (8,057)

Abstract:

Loading...

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 Texas A&M University, Department of Finance
Downloads 13 (533,805)
  • Add to Cart

Abstract:

Loading...

5.

Lucky Factors

Number of pages: 98 Posted: 22 Nov 2014 Last Revised: 17 Jan 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,119 (1,990)

Abstract:

Loading...

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 (15,244)
Citation 1

Abstract:

Loading...

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: 74 Posted: 21 Sep 2012 Last Revised: 23 Jan 2018
Yan Liu
Texas A&M University, Department of Finance
Downloads 267 (69,919)
Citation 2

Abstract:

Loading...

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

8.

Diagnosing Dynamic Asset Pricing Models with Generalized Entropy Bounds

Number of pages: 26 Posted: 22 Nov 2013 Last Revised: 23 Jan 2018
Yan Liu
Texas A&M University, Department of Finance
Downloads 71 (216,319)

Abstract:

Loading...

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

9.

Cross-Sectional Alpha Dispersion and Performance Evaluation

Mays Business School Research Paper No. 3143806
Number of pages: 62 Posted: 24 Mar 2018 Last Revised: 07 May 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 0 (154,660)

Abstract:

Loading...

Hedge funds, Mutual funds, Performance evaluation, Bayesian, Appraisal ratio, Flow-performance sensitivity, Idiosyncratic risk

10.

Distorted Risk Incentives from Size Threshold-Based Regulations

Mays Business School Research Paper No. 3084239
Number of pages: 67 Posted: 11 Dec 2017 Last Revised: 14 Apr 2018
Shane A. Johnson and Yan Liu
Texas A&M University - Department of Finance and Texas A&M University, Department of Finance
Downloads 0 (349,916)

Abstract:

Loading...

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

11.

False (and Missed) Discoveries in Financial Economics

Number of pages: 37 Posted: 21 Nov 2017 Last Revised: 30 Mar 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 0 (109,470)

Abstract:

Loading...

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

12.

Decreasing Returns to Scale, Fund Flows, and Performance

Duke I&E Research Paper No. 2017-13
Number of pages: 59 Posted: 22 Jun 2017 Last Revised: 06 Jul 2017
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 0 (48,510)

Abstract:

Loading...

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

13.

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, University of Kentucky - Gatton College of Business and Economics and University of California, Riverside - School of Business Administration

Abstract:

Loading...

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

14.

Asset Pricing Under Prior-Induced Beta Uncertainty

Number of pages: 60 Posted: 23 Nov 2016 Last Revised: 04 Jul 2017
Texas A&M University - Department of Finance, Texas A&M University - Department of Finance and Texas A&M University, Department of Finance
Downloads 0 (195,976)

Abstract:

Loading...

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