Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics

Pokfulam Road

Hong Kong

China

SCHOLARLY PAPERS

28

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15,143

SSRN CITATIONS
Rank 7,117

SSRN RANKINGS

Top 7,117

in Total Papers Citations

202

CROSSREF CITATIONS

23

Scholarly Papers (28)

1.

The Smart Beta Mirage

Number of pages: 77 Posted: 01 Jul 2020 Last Revised: 20 Mar 2023
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 3,254 (6,531)
Citation 1

Abstract:

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ETFs, factor investing, smart beta, data mining

2.

Trust in DeFi: An Empirical Study of the Decentralized Exchange

Number of pages: 62 Posted: 02 Aug 2021 Last Revised: 30 Nov 2023
Jianlei Han, Shiyang Huang and Zhuo Zhong
Macquarie University - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and University of Melbourne - Department of Finance
Downloads 1,374 (25,220)
Citation 6

Abstract:

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blockchain, cryptocurrency, DeFi, smart contracts, wash trading, fake volume

3.

Innovation and Informed Trading: Evidence from Industry ETFs

Number of pages: 87 Posted: 04 Mar 2018 Last Revised: 10 Aug 2020
Shiyang Huang, Maureen O'Hara and Zhuo Zhong
The University of Hong Kong - Faculty of Business and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Melbourne - Department of Finance
Downloads 1,042 (37,468)
Citation 40

Abstract:

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ETF, hedge funds, short interest, market efficiency, financial innovation

4.

Noise Trading and Asset Pricing Factors

Number of pages: 65 Posted: 29 Apr 2019 Last Revised: 21 Jun 2022
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 968 (41,627)
Citation 1

Abstract:

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noise trader risk, factor premia, anomaly

5.

FX Option Volume

Number of pages: 87 Posted: 23 Nov 2021 Last Revised: 19 Jun 2023
Bank of England, Imperial College Business School, The University of Hong Kong - Faculty of Business and Economics and Tsinghua University, School of Economics and Management
Downloads 813 (52,876)
Citation 1

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Exchange rates, Currency Returns, Foreign Exchange Option, Informed Trading, Dollar Demand.

6.

A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle

Number of pages: 79 Posted: 04 Nov 2020 Last Revised: 10 Jun 2021
Charles M.C. Lee, Shiyang Huang, Yang Song and Hong Xiang
Foster School of Business, University of Washington, The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 790 (54,960)
Citation 11

Abstract:

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Momentum spillovers, return prediction, investor inattention, belief updating.

7.

Psychological Barrier and Cross-Firm Return Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 06 Feb 2018 Last Revised: 28 Sep 2020
Shiyang Huang, Tse-Chun Lin and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and The Hong Kong Polytechnic University
Downloads 767 (57,087)
Citation 17

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Cross-firm return predictability, Psychological barrier, 52-week high, Customer momentum

8.

Skill Acquisition and Data Sales

Rotman School of Management Working Paper No. 2870190
Number of pages: 65 Posted: 16 Nov 2016 Last Revised: 29 Apr 2021
Shiyang Huang, Yan Xiong and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 666 (68,652)
Citation 1

Abstract:

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Data sales, skill acquisition, alternative data, asset prices

9.

Attention Allocation and Return Co-Movement: Evidence from Repeated Natural Experiments

Second Annual Volatility Institute at NYU Shanghai (VINS) 2016, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 75 Posted: 20 Nov 2016 Last Revised: 04 Nov 2017
Shiyang Huang, Yulin Huang and Tse-Chun Lin
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 600 (78,288)
Citation 35

Abstract:

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limited attention, attention allocation, return co-movement, earnings surprises

10.

Public Market Players in the Private World: Implications for the Going-Public Process

Review of Financial Studies (RFS), Forthcoming
Number of pages: 83 Posted: 24 Jan 2017 Last Revised: 13 Aug 2020
Shiyang Huang, Yifei Mao, Cong (Roman) Wang and Dexin Zhou
The University of Hong Kong - Faculty of Business and Economics, Cornell University - SC Johnson College of Business - Finance Department, Texas Tech University, Rawls College of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 532 (90,988)
Citation 9

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Public Market Institutional Investors, Venture Capitalists, IPO Under-pricing, VC Exits

11.

Does Liquidity Management Induce Fragility in Treasury Prices: Evidence from Bond Mutual Funds

Number of pages: 65 Posted: 12 Sep 2020 Last Revised: 31 Dec 2021
Shiyang Huang, Wenxi Jiang, Xiaoxi Liu and Xin Liu
The University of Hong Kong - Faculty of Business and Economics, CUHK Business School, The Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK) and School of Finance, Renmin University of China
Downloads 507 (96,525)
Citation 4

Abstract:

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liquidity management; bond mutual fund; return comovement; financial fragility; U.S. Treasury

12.

Speed Acquisition

International Journal of Information Systems & Management Science, Vol. 67, No. 6, 2021
Number of pages: 82 Posted: 01 Oct 2016 Last Revised: 21 Jul 2021
Shiyang Huang and Bart Zhou Yueshen
The University of Hong Kong - Faculty of Business and Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 435 (115,785)
Citation 10

Abstract:

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speed, information, technology, price discovery, price efficiency

13.

Sustainable Finance under Regulation

Number of pages: 56 Posted: 17 Oct 2022 Last Revised: 13 Mar 2023
Shiyang Huang and Alexandr Kopytov
The University of Hong Kong - Faculty of Business and Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 355 (146,280)

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Environmental regulation, socially responsible investment, pollution externality, shareholder composition

14.
Downloads 291 (181,407)
Citation 18

Informed Trading in Government Bond Markets

Number of pages: 46 Posted: 07 Nov 2019 Last Revised: 11 May 2020
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 210 (248,345)

Abstract:

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government bonds, informed trading, return predictability, asset managers

Informed trading in government bond markets

Bank of England Working Paper No. 871
Number of pages: 55 Posted: 18 Jun 2020
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 81 (522,564)
Citation 15

Abstract:

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Government bonds, informed trading, return predictability, asset managers

15.

Institutionalization, Delegation, and Asset Prices

Journal of Economic Theory, Forthcoming
Number of pages: 69 Posted: 08 Aug 2018 Last Revised: 05 Feb 2020
Shiyang Huang, Zhigang Qiu and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, School of Finance, Renmin University of China and University of Toronto - Rotman School of Management
Downloads 288 (183,364)
Citation 3

Abstract:

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Institutionalization; delegation; information acquisition; agency problem; asset prices

The Effect of Options on Information Acquisition and Asset Pricing

Number of pages: 47 Posted: 08 Oct 2014 Last Revised: 07 Nov 2014
Shiyang Huang
The University of Hong Kong - Faculty of Business and Economics
Downloads 167 (303,533)

Abstract:

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Option, information acquisition cost, rational expectation equilibrium, derivatives

The Effect of Options on Information Acquisition and Asset Pricing

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 48 Posted: 29 Sep 2015
Shiyang Huang
The University of Hong Kong - Faculty of Business and Economics
Downloads 115 (408,882)
Citation 3

Abstract:

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Option, information acquisition cost, rational expectation equilibrium, derivatives

17.

Derivatives and Market (Il)liquidity

Number of pages: 60 Posted: 26 Dec 2018 Last Revised: 02 Mar 2022
Shiyang Huang, Bart Zhou Yueshen and Cheng Zhang
The University of Hong Kong - Faculty of Business and Economics, Singapore Management University - Lee Kong Chian School of Business and University of Denver
Downloads 272 (192,968)

Abstract:

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derivatives, options, liquidity risk premium, liquidity measure, price impact, price reversal

18.

The Rate of Communication

7th Miami Behavioral Finance Conference 2016
Number of pages: 42 Posted: 01 Oct 2016 Last Revised: 04 Aug 2020
Shiyang Huang, Byoung-Hyoun Hwang and Dong Lou
The University of Hong Kong - Faculty of Business and Economics, Nanyang Business School, Nanyang Technological University and London School of Economics & Political Science (LSE)
Downloads 268 (195,768)

Abstract:

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Social Interaction, Investor Communication, Information Diffusion

19.

An Anatomy of Long-Short Equity Funds

Number of pages: 63 Posted: 29 Mar 2021 Last Revised: 26 Feb 2022
Li An, Shiyang Huang, Dong Lou and Jiahong Shi
Tsinghua University - PBC School of Finance, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 267 (197,307)

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Long-Short Equity Mutual Funds, Cash Holdings, Portfolio Beta, Fund Performance, Flow-Performance Relations

20.

Managerial Overconfidence and Market Feedback Effects

Number of pages: 78 Posted: 21 Oct 2016 Last Revised: 05 May 2022
Stevens Institute of Technology, The University of Hong Kong - Faculty of Business and Economics, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 253 (207,369)
Citation 1

Abstract:

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Market feedback, CEO overconfidence, Fire sale

21.

Securities Markets Where Some Investors Receive Information About Cash Flow Betas

Number of pages: 123 Posted: 01 Oct 2020 Last Revised: 30 Aug 2023
The University of Hong Kong - Faculty of Business and Economics, Indiana University - Kelley School of Business, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto - Rotman School of Management
Downloads 238 (220,954)

Abstract:

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Beta information, price impact, asset prices

22.

Information Cherry-Picking: When Confirmation Bias Met Anchoring Bias

Number of pages: 59 Posted: 04 Dec 2022
Shiyang Huang, Tse-Chun Lin, Yan Luo and Ningyu Zhou
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics, Fudan University - School of Management and Fudan University - School of Management
Downloads 191 (270,060)

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EDGAR implementation, Confirmation bias, Anchoring bias, 52-week highs, Information cherry-picking, Information uncertainty

23.

An Unintended Consequence of Holding Dollar Assets

Bank of England Working Paper No. 953
Number of pages: 56 Posted: 08 Mar 2022
Robert Czech, Shiyang Huang, Dong Lou and Tianyu Wang
Bank of England, The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and Tsinghua University, School of Economics and Management
Downloads 186 (276,414)

Abstract:

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Covid crisis, gilt yields, variation margin, FX derivatives, global reserve currency, currency hedging

24.
Downloads 166 (305,069)
Citation 3

Offsetting Disagreement and Security Prices

Number of pages: 52 Posted: 03 Feb 2014 Last Revised: 10 Aug 2020
The University of Hong Kong - Faculty of Business and Economics, Nanyang Business School, Nanyang Technological University, London School of Economics & Political Science (LSE) and University of International Business and Economics
Downloads 166 (305,110)

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Investor Disagreement, Belief Crossing, Portfolio Discounts

25.

Tradin’ in the Rain: Attention Allocation and Investment Performance

Number of pages: 73 Posted: 08 Jul 2021
Yuan Ze University, The University of Hong Kong - Faculty of Business and Economics, National Yang Ming Chiao Tung University and The University of Hong Kong - Faculty of Business and Economics
Downloads 162 (311,404)

Abstract:

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Attention allocation, investment performance, rational inattention, return co-movement, retail investors

26.

Delegated Information Acquisition and Asset Pricing

Number of pages: 60 Posted: 29 Sep 2015
Shiyang Huang
The University of Hong Kong - Faculty of Business and Economics
Downloads 103 (440,462)
Citation 7

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Information acquisition, Optimal contract, Complementarities

27.

Remeasuring Scale in Active Management

Number of pages: 43 Posted: 08 Nov 2023
Shiyang Huang, Xu Lu, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, Stanford Graduate School of Business, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 72 (549,052)

Abstract:

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28.

The Booms and Busts of Beta Arbitrage

CEPR Discussion Paper No. DP11531
Number of pages: 61 Posted: 26 Sep 2016
Shiyang Huang, Dong Lou and Christopher Polk
The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and London School of Economics
Downloads 1 (1,046,632)
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Abstract:

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betting against beta, crowded trades, positive-feedback trading