Yisong S. Tian

York University - Schulich School of Business

Professor of Finance

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

SCHOLARLY PAPERS

25

DOWNLOADS
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Top 2,989

in Total Papers Downloads

9,694

CITATIONS
Rank 2,178

SSRN RANKINGS

Top 2,178

in Total Papers Citations

256

Scholarly Papers (25)

1.

Managerial Incentives and Corporate Fraud: The Sources of Incentives Matter

EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 02 Jun 2006 Last Revised: 18 Oct 2011
Shane A. Johnson, Harley E. Ryan Jr. and Yisong S. Tian
Texas A&M University - Department of Finance, Georgia State University - Department of Finance and York University - Schulich School of Business
Downloads 3,227 (2,089)
Citation 62

Abstract:

corporate fraud, incentives, stock options, executive compensation, governance

2.

Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index

Journal of Derivatives, Vol. 14, No. 3, 2007
Number of pages: 41 Posted: 08 Feb 2006 Last Revised: 01 May 2014
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 2,297 (3,014)
Citation 27

Abstract:

volatility index, VIX, investor fear gauge, volatility smile, fair value of future variance, model-free implied volatility

3.

Optimal Contracting, Incentive Effects and the Valuation of Executive Stock Options

Number of pages: 58 Posted: 19 May 2001
Yisong S. Tian
York University - Schulich School of Business
Downloads 961 (16,721)
Citation 6

Abstract:

Optimal contracting, principal-agent theory, executive compensation, incentive effects, executive stock options, certainty equivalent value

4.

Extracting Risk-Neutral Density and its Moments from American Option Prices

Journal of Derivatives, Vol. 18, No. 3, 2011
Number of pages: 40 Posted: 05 Aug 2011
Yisong S. Tian
York University - Schulich School of Business
Downloads 443 (40,877)
Citation 2

Abstract:

Risk-neutral distribution, risk-neutral moments, model-free implied volatility, skewness, kurtosis, American options

5.

Option Expensing and Executive Compensation

Number of pages: 62 Posted: 17 Mar 2007
Yi Feng and Yisong S. Tian
Ryerson University - Ted Rogers School of Management and York University - Schulich School of Business
Downloads 333 (69,066)
Citation 1

Abstract:

option expensing, executive compensation, incentive effects

6.

Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation Under SFAS 123r

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, 2010
Number of pages: 31 Posted: 14 Mar 2006 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 276 (83,003)
Citation 1

Abstract:

Volatility forecasting, Option expensing, Historical volatility, Shrinkage forecast, Long memory, Fractional integration, Comovements

7.

The Model-Free Implied Volatility and Its Information Content

Review of Financial Studies 18(4), 1305-1342, 2005
Number of pages: 38 Posted: 18 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 263 (48,427)
Citation 132

Abstract:

8.

Too Much of a Good Incentive? The Case of Executive Stock Options

Journal of Banking and Finance, Vol. 28, pp. 1225-1245, June 2004
Number of pages: 34 Posted: 27 Apr 2005
Yisong S. Tian
York University - Schulich School of Business
Downloads 238 (93,945)
Citation 14

Abstract:

Executive stock options, executive compensation, Incentives, risk aversion, certainty equivalent value

9.

Executive Compensation and the Corporate Spin-Off Decision

Number of pages: 48 Posted: 07 Jul 2011 Last Revised: 21 Aug 2011
Yi Feng, Debarshi K. Nandy and Yisong S. Tian
Ryerson University - Ted Rogers School of Management, Brandeis University - International Business School and York University - Schulich School of Business
Downloads 164 (130,404)

Abstract:

Spin-off, Executive compensation, Managerial equity incentives, Board Independence, Corporate restructuring, Long-term performance

10.

Non-Segmented Equilibria Under Differential Taxation: Evidence from the Canadian Government Bond Market

Number of pages: 32 Posted: 14 Oct 1999
University of Toronto, Rotman School of Management, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 105 (202,058)

Abstract:

11.

Implied Binomial Trees with Cubic Spline Smoothing

Journal of Derivatives, Forthcoming
Number of pages: 30 Posted: 14 Feb 2012 Last Revised: 19 Nov 2014
Yisong S. Tian
York University - Schulich School of Business
Downloads 92 (195,492)

Abstract:

Implied binomial trees, Cubic splines, Risk-neutral density, Risk-neutral moments, Numerical efficiency

12.

Ironing Out the Kinks in Executive Compensation: Linking Incentive Pay to Average Stock Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 66 Posted: 16 Sep 2012
Yisong S. Tian
York University - Schulich School of Business
Downloads 81 (232,097)

Abstract:

Executive compensation, Optimal contracting, Executive stock options, Cost effectiveness, Incentive effects, Asian options, Indexed options

13.

Misreaction or Misspecification? A Re-Examination of Volatility Anomalies

Journal of Banking and Finance, Vol. 34, 2010
Number of pages: 12 Posted: 22 Aug 2011 Last Revised: 20 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 75 (244,438)
Citation 1

Abstract:

Volatility anomaly, Model misspecification, Market misreaction, Model-free implied volatility, Market efficiency

14.

Ironing Out the Wrinkles in Executive Compensation: Linking Incentive Pay to Average Stock Prices

Number of pages: 56 Posted: 18 Feb 2012 Last Revised: 20 Feb 2012
Yisong S. Tian
York University - Schulich School of Business
Downloads 73 (246,363)

Abstract:

Executive compensation, Optimal contracting, Executive stock options, Cost effectiveness, Incentive effects, Asian stock options, Indexed stock options

15.

A Random Walk Down the Options Market

Journal of Futures Markets, 2012, 32(6), 505-535.
Number of pages: 31 Posted: 22 Mar 2009 Last Revised: 03 Oct 2012
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 67 (248,191)
Citation 1

Abstract:

Model-free forward variance, random walk, expectations hypothesis, market illiquidity, model misspecification

16.

Gauging the Investor Fear Gauge: Implementation Problems of the Cboe's New Volatility Index

Number of pages: 55 Posted: 26 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Yisong S. Tian
Washington State University and York University - Schulich School of Business
Downloads 31 (339,127)

Abstract:

Volatility index, VIX, Investor fear gauge, Volatility smile, Fair value of future variance, Model-free implied volatility, No-arbitrage smoothing

17.

Arbitrage, Liquidity, and the Valuation of Exchange Traded Funds

Financial Markets, Institutions & Instruments, Vol. 17, Issue 5, pp. 331-362, December 2008
Number of pages: 32 Posted: 21 Nov 2008
Lucy F. Ackert and Yisong S. Tian
Kennesaw State University - Michael J. Coles College of Business and York University - Schulich School of Business
Downloads 6 (490,610)
Citation 7

Abstract:

18.

Option Expensing and Managerial Equity Incentives

Financial Markets, Institutions & Instruments, Vol. 18, Issue 3, pp. 195-241, August 2009
Number of pages: 47 Posted: 18 Jun 2009
Yi Feng and Yisong S. Tian
Ryerson University - Ted Rogers School of Management and York University - Schulich School of Business
Downloads 2 (513,945)
Citation 2

Abstract:

19.

Managerial Incentives and Corporate Fraud: The Sources of IncentivesĀ Matter

Review of Finance, Vol. 13, Issue 1, pp. 115-145, 2009
Posted: 17 Jan 2009
Shane A. Johnson, Harley E. Ryan Jr. and Yisong S. Tian
Texas A&M University - Department of Finance, Georgia State University - Department of Finance and York University - Schulich School of Business

Abstract:

M52, G34, K42, M41

20.

Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts

Financial Management, Vol. 29, No. 3, Autumn 2000
Posted: 14 Jun 2001
Lucy F. Ackert and Yisong S. Tian
Kennesaw State University - Michael J. Coles College of Business and York University - Schulich School of Business

Abstract:

21.

The Value and Incentive Effects of Nontraditional Executive Stock Option Plans

Journal of Financial Economics, Vol. 57, No. 1, July 2000
Posted: 04 Jan 2001
Yisong S. Tian and Shane A. Johnson
York University - Schulich School of Business and Texas A&M University - Department of Finance

Abstract:

Executive stock options, Executive compensation, Option valuation, Incentives

22.

Indexed Executive Stock Options

Journal of Financial Economics, Vol. 57, No. 1, July 2000
Posted: 04 Jan 2001
Yisong S. Tian and Shane A. Johnson
York University - Schulich School of Business and Texas A&M University - Department of Finance

Abstract:

Executive stock options, Executive compensation, Option valuation, Indexed options

23.

Efficiency in Index Options Markets and Trading in Stock Baskets

Federal Reserve Bank of Atlanta, Research Department Working Paper No. 99-5
Posted: 05 Nov 1999
Lucy F. Ackert and Yisong S. Tian
Kennesaw State University - Michael J. Coles College of Business and York University - Schulich School of Business

Abstract:

24.

A Reexamination of Lattice Procedures for Interest Rate-Contingent Claims

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Vol 7, 1994
Posted: 20 Feb 1995
Yisong S. Tian
York University - Schulich School of Business

Abstract:

25.

Immunization in Markets with Tax-Clientele Effects: Evidence from the Canadian Market

J of Financial and Quantitative Analysis, Vol. 29 No. 2, June 1994
Posted: 15 Jun 1994
Eliezer Z. Prisman and Yisong S. Tian
York University - Schulich School of Business and York University - Schulich School of Business

Abstract: