Cheng Yan

Essex Business School

Associate Professor/Senior Lecturer

University of Essex

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

  • Essex Business School

SCHOLARLY PAPERS

9

DOWNLOADS

829

SSRN CITATIONS

11

CROSSREF CITATIONS

1

Ideas:
“  I am currently working on empirical asset pricing and empirical corporate finance.  ”

  • Essex Business School

Scholarly Papers (9)

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1.

Modeling Fundamental Analysis into Portfolio Selection

Quantitative Finance, Forthcoming
Number of pages: 26 Posted: 29 Mar 2016 Last Revised: 22 Jan 2018
Huazhu Zhang and Cheng Yan
Nomura Group and Essex Business School
Downloads 247 (191,795)

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Fundamental Analysis; Mean-reversion; Appraisal/Information Ratio; Portfolio Selection

2.

Foreign Investors in Emerging Equity Markets: Currency Effect Perspective

Journal of Investment Consulting, Vol. 16, No. 1, 43-72, 2015
Number of pages: 32 Posted: 03 Oct 2015
Cheng Yan
Essex Business School
Downloads 104 (393,151)

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Foreign Investor, Capital Flows, Local Equity Market, Exchange Rate

3.

Mean-Variance versus Naïve Diversification: The Role of Mispricing

Journal of International Financial Markets, Institutions and Money, 2017 (48), 61-81, 2017
Number of pages: 48 Posted: 25 Mar 2017 Last Revised: 14 Sep 2017
Cheng Yan and Huazhu Zhang
Essex Business School and Nomura Group
Downloads 94 (420,481)

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portfolio choice, mean-variance, 1/N naive diversification, mispricing

4.

On cross-border bank credit and the U.S. financial crisis transmission to equity markets

Journal of International Money and Finance, Vol. 69, No. 108-134, 2016
Number of pages: 46 Posted: 07 Apr 2015 Last Revised: 24 Mar 2017
Cheng Yan, Kate Phylaktis and Ana-Maria Fuertes
Essex Business School, City University London - The Business School and Bayes Business School, City, University of London
Downloads 93 (423,330)
Citation 3

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U.S. financial crisis; Crisis transmission channel; Capital flows; Bank credit; International trade; Causality; Emerging markets

5.

Hot Money in Bank Credit Flows to Emerging Markets During the Banking Globalization Era

Journal of International Money and Finance, Vol. 60, No. 29-52, 2016
Number of pages: 40 Posted: 05 Nov 2014 Last Revised: 24 Mar 2017
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Bayes Business School, City, University of London, City University London - The Business School and Essex Business School
Downloads 84 (450,509)
Citation 3

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International capital flows; Hot money; Crisis transmission; Banking globalisation; Kalman filter

6.

Evaluating the Size of the Bootstrap Method for Fund Performance Evaluation

Economics Letters, 2017 (156), 36-41, 2017
Number of pages: 12 Posted: 25 Mar 2017 Last Revised: 14 Sep 2017
Tingting Cheng and Cheng Yan
Monash University and Essex Business School
Downloads 65 (519,439)

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Performance evaluation, Bootstrap, Monte Carlo simulation, Unobservable factors

7.

Uncovered Equity 'Disparity' in Emerging Markets

Journal of International Money and Finance, Volume 98, November 2019, 102-166
Number of pages: 49 Posted: 22 Jul 2018 Last Revised: 20 Feb 2020
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Bayes Business School, City, University of London, City University London - The Business School and Essex Business School
Downloads 61 (536,163)
Citation 3

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Uncovered Equity Parity; Equity flows; Equity returns; Foreign exchange rates; Return-chasing; Asian markets

8.

Hot Money in Disaggregated Capital Flows

European Journal of Finance, Forthcoming
Number of pages: 55 Posted: 30 Nov 2017
Cheng Yan
Essex Business School
Downloads 45 (613,195)

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Hot money, Equity flows, Bond flows, Bank credit, Equity price, Emerging market

9.

Does Hot Money in Equity Flows Affect Emerging Stock Markets?

Journal of Investment Consulting, Vol. 18, no. 1, 2017, pp. 41-53
Number of pages: 16 Posted: 02 Feb 2018
Cheng Yan
Essex Business School
Downloads 36 (665,265)

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hot money, equity flows, emerging stock markets

Other Papers (2)

Total Downloads: 51
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1.

A Skeptical Appraisal of the Bootstrap Approach in Fund Performance Evaluation

Number of pages: 70 Posted: 06 Aug 2015 Last Revised: 15 Sep 2017
Huazhu Zhang and Cheng Yan
Nomura Group and Essex Business School
Downloads 44 (908,182)

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Monte Carlo simulation; Performance evaluation; Bootstrapping; Fama–French model; Alpha

2.

Online Appendix to 'Evaluating the Size of the Bootstrap Method for Fund Performance Evaluation'

Number of pages: 3 Posted: 17 Aug 2019
Tingting Cheng and Cheng Yan
Nankai University - School of Finance and Essex Business School
Downloads 7

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Appendix