Yan Liu

Purdue University

West Lafayette, IN 47907-1310

United States

http://yliu1.com

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 379

SSRN RANKINGS

Top 379

in Total Papers Downloads

48,666

SSRN CITATIONS
Rank 4,931

SSRN RANKINGS

Top 4,931

in Total Papers Citations

146

CROSSREF CITATIONS

88

Scholarly Papers (19)

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 18,546 (150)
Citation 141

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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 8,782 (623)
Citation 11

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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: 90 Posted: 22 Nov 2014 Last Revised: 17 Oct 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 5,938 (1,242)
Citation 6

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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 5,682 (1,333)
Citation 22

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

5.
Downloads 2,175 ( 6,906)
Citation 5

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 Purdue University
Downloads 2,142 (6,940)
Citation 5

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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 33 (496,850)
Citation 1

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6.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 25 Mar 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,828 (9,267)
Citation 9

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

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 1,515 (12,506)
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: 89 Posted: 21 Nov 2017 Last Revised: 15 Aug 2019
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Purdue University
Downloads 1,015 (23,041)
Citation 19

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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 753 (35,115)
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 666 (41,453)
Citation 9

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

11.

Index Option Returns and Generalized Entropy Bounds

Number of pages: 80 Posted: 21 Sep 2012 Last Revised: 05 Sep 2019
Yan Liu
Purdue University
Downloads 455 (67,410)
Citation 7

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

12.
Downloads 353 ( 90,899)
Citation 2

Reconstructing the Yield Curve

Number of pages: 58 Posted: 28 Nov 2018 Last Revised: 22 May 2020
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 353 (90,225)
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 0
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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 234 (140,616)
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.

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 188 (172,745)

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

15.

Crowding: Evidence from Fund Managerial Structure

Number of pages: 50 Posted: 09 Apr 2020
Duke University - Fuqua School of Business, Purdue University, University of Queensland - Business School and University of Queensland
Downloads 142 (219,432)

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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.

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 136 (227,106)

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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 102 (282,314)

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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 19 (584,013)

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

18.

Diversifying Private Equity

Number of pages: 47 Posted: 18 Feb 2020 Last Revised: 21 May 2020
Tulane University - A.B. Freeman School of Business, Purdue University and Vanderbilt University - Finance
Downloads 100 (284,197)

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

19.

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

Number of pages: 66 Posted: 07 Feb 2020 Last Revised: 07 May 2020
Fousseni Chabi-Yo and Yan Liu
University of Massachusetts Amherst - Isenberg School of Management and Purdue University
Downloads 37 (466,697)

Abstract:

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