Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics

Pokfulam Road

Hong Kong

China

  • The University of Hong Kong - Faculty of Business and Economics

SCHOLARLY PAPERS

18

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Scholarly Papers (18)

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1.

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 414 (68,458)

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

2.

Innovation and Informed Trading: Evidence from Industry ETFs

Number of pages: 74 Posted: 04 Mar 2018 Last Revised: 29 Nov 2018
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 338 (86,780)

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ETF, Financial innovation, Information

3.

Speed Acquisition

Number of pages: 82 Posted: 01 Oct 2016 Last Revised: 08 Dec 2018
Shiyang Huang and Bart Z. Yueshen
The University of Hong Kong - Faculty of Business and Economics and INSEAD - Finance
Downloads 305 (97,181)

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speed, information, technology, price discovery, price efficiency

4.

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

Number of pages: 59 Posted: 24 Jan 2017 Last Revised: 09 Nov 2018
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, Goizueta Business School, Emory University and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 254 (118,041)

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IPO Underpricing, Venture Capital, Institutions

5.

The Effect of Options on Information Acquisition and Asset Pricing

Downloads 217 (138,030)

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 126 (221,459)

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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 91 (278,952)

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Option, information acquisition cost, rational expectation equilibrium, derivatives

6.

Skill Acquisition and Information Sales

Rotman School of Management Working Paper No. 2870190
Number of pages: 61 Posted: 16 Nov 2016 Last Revised: 15 Feb 2019
Shiyang Huang, Yan Xiong and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, University of Toronto and University of Toronto - Rotman School of Management
Downloads 178 (165,722)

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Information sales, skill acquisition, gold rush, clarity, price informativeness, cost of capital, return volatility, alternative data

7.

Institutionalization, Delegation, and Asset Prices

Number of pages: 58 Posted: 08 Aug 2018 Last Revised: 24 Apr 2019
Shiyang Huang, Zhigang Qiu and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, Hanqing Advanced Institute of Economics and Finance, Renmin University of China and University of Toronto - Rotman School of Management
Downloads 152 (189,877)

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

8.

Fragile Factor Premia

Number of pages: 54 Posted: 20 Jan 2019
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Department of Finance and Business Economics and The University of Hong Kong
Downloads 130 (215,417)

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Mutual fund flows, factor premia, factor volatility

9.

The Speed of Communication

7th Miami Behavioral Finance Conference 2016
Number of pages: 55 Posted: 01 Oct 2016 Last Revised: 31 Jul 2018
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 130 (215,417)

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Social Interaction, Word-of-Mouth, Information Diffusion

10.

Psychological Barrier and Cross-Firm Return Predictability

Number of pages: 57 Posted: 06 Feb 2018 Last Revised: 22 May 2019
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 99 (262,156)

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

11.

Aggregate Opportunistic Insider Trading and Market Return Predictability

Number of pages: 48 Posted: 15 Nov 2018
Shiyang Huang, Tse-Chun Lin and Weinan Zheng
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 95 (269,241)

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Aggregate Insider Trading; Market Return; Opportunistic Trades; Out-of-Sample Tests; Macroeconomic Fundamentals

12.

Flow-Induced Trades and Asset Pricing Factors

Number of pages: 51 Posted: 29 Apr 2019
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Department of Finance and Business Economics and The University of Hong Kong
Downloads 94 (272,941)

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non-fundamental trades, noise trader risk, factor premia, factor comovement

13.

The Economics of Data

Number of pages: 48 Posted: 11 Oct 2018
David Easley, Shiyang Huang, Liyan Yang and Zhuo Zhong
Cornell University - Department of Economics, The University of Hong Kong - Faculty of Business and Economics, University of Toronto - Rotman School of Management and University of Melbourne - Department of Finance
Downloads 85 (290,928)

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Data, Industry organization, Welfare, Prisoners' dilemma, Ownership

14.

Clientele, Information Sales, and Asset Prices

Downloads 84 (290,928)

Clientele, Information Sales, and Asset Prices

Number of pages: 72 Posted: 01 Oct 2017 Last Revised: 18 Feb 2018
Shiyang Huang, Liyan Yang and Yan Xiong
The University of Hong Kong - Faculty of Business and Economics, University of Toronto - Rotman School of Management and University of Toronto
Downloads 67 (335,055)

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Clientele formation, information sales, complementarity, market quality

Clientele, Information Sales, and Asset Prices

Number of pages: 72 Posted: 05 Sep 2017 Last Revised: 18 Feb 2018
Shiyang Huang, Yan Xiong and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, University of Toronto and University of Toronto - Rotman School of Management
Downloads 17 (548,379)

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Clientele formation, information sales, complementarity, market quality

15.

Volatility Derivatives and Market (Il)liquidity

Number of pages: 50 Posted: 26 Dec 2018 Last Revised: 29 Mar 2019
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 68 (328,392)

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volatility derivatives, options, financial innovation, liquidity risk, liquidity, price impact, price reversal

16.

Substitution between Short Selling and Options Trading in Predicting Aggregate Stock Returns

Number of pages: 50 Posted: 31 May 2019
Shiyang Huang, Tse-Chun Lin and Weinan Zheng
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 57 (368,357)

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Aggregate Short Interest; Options Trading; Market Return; Out-of-Sample Tests; Informed Traders

17.

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 49 (384,311)

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Information acquisition, Optimal contract, Complementarities

18.

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 (637,435)
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betting against beta, crowded trades, positive-feedback trading