Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics

Pokfulam Road

Hong Kong

China

SCHOLARLY PAPERS

24

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Top 7,743

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7,536

SSRN CITATIONS
Rank 17,468

SSRN RANKINGS

Top 17,468

in Total Papers Citations

36

CROSSREF CITATIONS

27

Scholarly Papers (24)

1.

The Smart Beta Mirage

Number of pages: 53 Posted: 01 Jul 2020 Last Revised: 28 Apr 2021
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 University of Hong Kong
Downloads 1,685 (12,956)
Citation 1

Abstract:

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ETFs, factor investing, smart beta, data mining

2.

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 814 (37,911)
Citation 13

Abstract:

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

3.

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 499 (71,736)
Citation 9

Abstract:

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

4.

Noise Trading and Asset Pricing Factors

Number of pages: 64 Posted: 29 Apr 2019 Last Revised: 18 May 2021
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 University of Hong Kong
Downloads 465 (78,093)
Citation 1

Abstract:

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noise trader risk, factor premia, anomaly

5.

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 University of Hong Kong
Downloads 464 (78,259)

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

6.

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 456 (79,973)
Citation 1

Abstract:

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Data sales, skill acquisition, alternative data, asset prices

7.

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 428 (86,133)
Citation 2

Abstract:

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

8.

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 Z. Yueshen
The University of Hong Kong - Faculty of Business and Economics and INSEAD - Finance
Downloads 389 (96,233)
Citation 3

Abstract:

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speed, information, technology, price discovery, price efficiency

9.

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
Stanford University - Graduate School of Business, The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The University of Hong Kong
Downloads 332 (114,980)

Abstract:

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

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 148 (248,052)

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 99 (333,855)
Citation 4

Abstract:

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Option, information acquisition cost, rational expectation equilibrium, derivatives

11.

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 243 (158,858)
Citation 3

Abstract:

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

12.

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, Cornell University - Dyson School of Applied Economics and Management and London School of Economics & Political Science (LSE)
Downloads 226 (170,358)

Abstract:

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Social Interaction, Investor Communication, Information Diffusion

13.

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

Number of pages: 56 Posted: 12 Sep 2020 Last Revised: 11 Nov 2020
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 208 (184,981)
Citation 2

Abstract:

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

14.
Downloads 189 (200,963)
Citation 2

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 School of Economics and Management, Tsinghua University
Downloads 133 (270,111)

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
Downloads 56 (462,968)
Citation 2

Abstract:

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Government bonds, informed trading, return predictability, asset managers

15.

Derivatives and Market (Il)liquidity

Number of pages: 56 Posted: 26 Dec 2018 Last Revised: 18 Sep 2021
Shiyang Huang, Bart Z. Yueshen and Cheng Zhang
The University of Hong Kong - Faculty of Business and Economics, INSEAD - Finance and Victoria University of Wellington
Downloads 146 (250,117)

Abstract:

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

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, Cornell University - Dyson School of Applied Economics and Management, London School of Economics & Political Science (LSE) and University of International Business and Economics
Downloads 143 (255,070)

Abstract:

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Investor Disagreement, Belief Crossing, Portfolio Discounts

17.

Trust in DeFi: An Empirical Study of the Decentralized Exchange

Number of pages: 55 Posted: 02 Aug 2021
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 139 (260,096)

Abstract:

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blockchain, cryptocurrency, DeFi, smart contracts

18.

Securities Markets Where Some Investors Receive Information About Cash Flow Betas

Number of pages: 85 Posted: 01 Oct 2020 Last Revised: 02 Aug 2021
The University of Hong Kong - Faculty of Business and Economics, Indiana University - Kelley School of Business - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto - Rotman School of Management
Downloads 117 (295,735)

Abstract:

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Information acquisition, market liquidity, price efficiency, beta information

19.

Why Don’t Most Mutual Funds Short Sell?

Number of pages: 47 Posted: 29 Mar 2021
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 102 (327,198)

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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: 65 Posted: 21 Oct 2016 Last Revised: 02 Nov 2020
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 95 (340,383)
Citation 1

Abstract:

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Market feedback, CEO overconfidence, Fire sale

21.

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 73 (398,410)
Citation 6

Abstract:

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Information acquisition, Optimal contract, Complementarities

22.

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 58 (448,495)

Abstract:

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

23.

The Demand-Driven Information Market

Number of pages: 54 Posted: 21 Oct 2021
Shiyang Huang, Dan Li and Bohui Zhang
The University of Hong Kong - Faculty of Business and Economics, Chinese University of Hong Kong, Shenzhen and The Chinese University of Hong Kong, Shenzhen
Downloads 17 (663,799)

Abstract:

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News; Institutional investors; Investment constraints; Market efficiency; Skewness

24.

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 (793,160)
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Abstract:

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betting against beta, crowded trades, positive-feedback trading