Fang Liu

Cornell University

Ithaca, NY 14853

United States

SCHOLARLY PAPERS

8

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1,095

SSRN CITATIONS
Rank 39,026

SSRN RANKINGS

Top 39,026

in Total Papers Citations

8

CROSSREF CITATIONS

9

Scholarly Papers (8)

1.

Recovering Conditional Return Distributions by Regression: Estimation and Applications

Number of pages: 62 Posted: 25 Nov 2014 Last Revised: 16 Dec 2014
Fang Liu
Cornell University
Downloads 228 (146,767)
Citation 2

Abstract:

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2.

Performance Evaluation with High Moments and Disaster Risk

Journal of Financial Economics (JFE), Vol. 113, No. 1, 2014
Number of pages: 69 Posted: 15 Mar 2012 Last Revised: 22 Dec 2017
Ohad Kadan and Fang Liu
Washington University in St. Louis - John M. Olin Business School and Cornell University
Downloads 224 (149,329)
Citation 11

Abstract:

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Performance evaluation; Rare disasters; High distribution moments

3.

Recovering Implied Volatility

29th Annual Conference on Financial Economics & Accounting 2018
Number of pages: 51 Posted: 17 May 2017 Last Revised: 14 Oct 2019
Ohad Kadan, Fang Liu and Xiaoxiao Tang
Washington University in St. Louis - John M. Olin Business School, Cornell University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 195 (169,987)
Citation 1

Abstract:

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4.

Generalized Systematic Risk

American Economic Journal: Microeconomics, Vol. 8, No. 2, 2016
Number of pages: 60 Posted: 02 Jun 2014 Last Revised: 22 Dec 2017
Ohad Kadan, Fang Liu and Suying Liu
Washington University in St. Louis - John M. Olin Business School, Cornell University and Washington University in St. Louis
Downloads 187 (176,551)
Citation 4

Abstract:

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Systematic risk, Risk measure

5.

The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps?

Number of pages: 62 Posted: 24 Sep 2019 Last Revised: 10 Feb 2020
Yufeng Han, Fang Liu and Xiaoxiao Tang
University of North Carolina (UNC) at Charlotte - Finance, Cornell University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 112 (267,035)

Abstract:

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Options, Implied Volatility, Jumps, PLS, Predictability

6.

On Investor Preferences and Mutual Fund Separation

Journal of Economic Theory, Vol. 174, 2018
Number of pages: 49 Posted: 25 Nov 2014 Last Revised: 13 Nov 2018
Philip H. Dybvig and Fang Liu
Washington University in St. Louis - John M. Olin Business School and Cornell University
Downloads 82 (327,252)
Citation 2

Abstract:

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mutual fund separation; investor preference; money separation; inverse marginal utility.

7.

Option-Implied Systematic Disaster Concern

Number of pages: 47 Posted: 13 Feb 2017 Last Revised: 30 Oct 2018
Fang Liu
Cornell University
Downloads 67 (366,648)

Abstract:

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8.

Volatility-Managed Portfolio: Does It Really Work?

Journal of Portfolio Management, 46(1), 2019
Posted: 13 Nov 2018 Last Revised: 07 Dec 2019
Fang Liu, Xiaoxiao Tang and Guofu Zhou
Cornell University, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Washington University in St. Louis - John M. Olin Business School

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