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

16

DOWNLOADS
Rank 395

SSRN RANKINGS

Top 395

in Total Papers Downloads

43,568

CITATIONS
Rank 4,274

SSRN RANKINGS

Top 4,274

in Total Papers Citations

126

Scholarly Papers (16)

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 17,775 (139)
Citation 67

Abstract:

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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 Texas A&M University, Department of Finance
Downloads 8,103 (636)
Citation 15

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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.

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 5,297 (1,326)
Citation 18

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

4.

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 5,071 (1,439)
Citation 11

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

5.
Downloads 2,050 ( 6,788)
Citation 3

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 2,027 (6,777)
Citation 2

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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 Texas A&M University, Department of Finance
Downloads 23 (513,872)

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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 1,376 (13,157)
Citation 10

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

7.

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 Texas A&M University, Department of Finance
Downloads 1,001 (21,421)
Citation 1

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

8.

False (and Missed) Discoveries in Financial Economics

Number of pages: 75 Posted: 21 Nov 2017 Last Revised: 02 Nov 2018
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 729 (33,329)
Citation 6

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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.

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 605 (42,824)
Citation 11

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

10.

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 Texas A&M University, Department of Finance
Downloads 589 (44,419)

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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

11.

Index Option Returns and Generalized Entropy Bounds

Number of pages: 74 Posted: 21 Sep 2012 Last Revised: 16 Jun 2018
Yan Liu
Texas A&M University, Department of Finance
Downloads 408 (70,210)
Citation 5

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

12.

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 Texas A&M University, Department of Finance
Downloads 166 (177,317)

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

13.

Reconstructing the Yield Curve

Number of pages: 35 Posted: 28 Nov 2018 Last Revised: 01 Feb 2019
Yan Liu and Jing Cynthia Wu
Texas A&M University, Department of Finance and University of Notre Dame - Department of Economics
Downloads 159 (184,934)
Citation 1

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yield curve, non-parametric, term structure

14.

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 130 (216,737)
Citation 1

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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 Texas A&M University, Department of Finance
Downloads 94 (274,683)

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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 Texas A&M University, Department of Finance
Downloads 15 (565,101)

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

16.

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

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