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 554

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Top 554

in Total Papers Downloads

30,171

CITATIONS
Rank 15,848

SSRN RANKINGS

Top 15,848

in Total Papers Citations

22

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 13,857 (174)
Citation 19

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 (767)

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 (1,543)
Citation 1

Abstract:

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

4.
Downloads 1,276 ( 11,755)

Detecting Repeatable Performance

Number of pages: 101 Posted: 19 Nov 2015 Last Revised: 14 Jul 2017
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,263 (11,684)

Abstract:

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 (499,869)

Abstract:

5.

Lucky Factors

Number of pages: 74 Posted: 22 Nov 2014 Last Revised: 02 Jun 2017
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,119 (2,764)

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 (17,477)
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 (69,464)
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 (215,781)

Abstract:

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

9.

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 (108,752)

Abstract:

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

10.

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

11.

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 (261,707)

Abstract:

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