Cheng Yan

Durham University - Department of Economics and Finance

Assistant Professor in Finance

Durham, DH1 3HY

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

609

CITATIONS

0

Ideas:
“  I am currently working on empirical asset pricing, especially international finance/economics and fund performance evaluation.  ”

Scholarly Papers (9)

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 Durham University - Department of Economics and Finance
Downloads 211 (142,641)

Abstract:

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

2.

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
Durham University - Department of Economics and Finance, City University London - Sir John Cass Business School and Cass Business School, City University of London
Downloads 80 (299,959)
Citation 2

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

3.

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
Durham University - Department of Economics and Finance
Downloads 72 (318,824)
Citation 1

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

4.

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
Durham University - Department of Economics and Finance and Nomura Group
Downloads 71 (321,288)

Abstract:

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

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
Cass Business School, City University of London, City University London - Sir John Cass Business School and Durham University - Department of Economics and Finance
Downloads 66 (334,145)
Citation 2

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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 Durham University - Department of Economics and Finance
Downloads 50 (381,662)

Abstract:

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Performance evaluation, Bootstrap, Monte Carlo simulation, Unobservable factors

7.

Uncovered Equity 'Disparity' in Emerging Markets

Number of pages: 55 Posted: 22 Jul 2018
Cass Business School, City University of London, City University London - Sir John Cass Business School and Durham University - Department of Economics and Finance
Downloads 25 (484,538)

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Uncovered Equity Parity, Equity Flows, Equity Returns, Foreign Exchange Rates, Return-Chasing

8.

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
Durham University - Department of Economics and Finance
Downloads 17 (529,861)

Abstract:

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hot money, equity flows, emerging stock markets

9.

Hot Money in Disaggregated Capital Flows

European Journal of Finance, Forthcoming
Number of pages: 55 Posted: 30 Nov 2017
Cheng Yan
Durham University - Department of Economics and Finance
Downloads 17 (529,861)

Abstract:

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

Other Papers (1)

Total Downloads: 37    Citations: 0
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 Durham University - Department of Economics and Finance
Downloads 37

Abstract:

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