Fan Yu

Claremont McKenna College - Robert Day School of Economics and Finance

Professor of Financial Economics

500 E. Ninth St.

Claremont, CA 91711-6420

United States

http://www.cmc.edu/academic/faculty/profile.asp?Fac=553

  • Claremont McKenna College - Robert Day School of Economics and Finance

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SCHOLARLY PAPERS

29

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SSRN CITATIONS
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364

CROSSREF CITATIONS

177

Scholarly Papers (29)

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1.

Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?

Number of pages: 53 Posted: 28 Dec 2005
Jefferson Duarte, Francis A. Longstaff and Fan Yu
Rice University, University of California, Los Angeles (UCLA) - Finance Area and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 3,532 (5,697)
Citation 60

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2.

How Profitable is Capital Structure Arbitrage?

Number of pages: 40 Posted: 22 Mar 2005
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 2,140 (12,649)
Citation 13

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3.

Default Risk and Diversification: Theory and Empirical Implications

Number of pages: 34 Posted: 01 Jan 2001
Robert A. Jarrow, David Lando and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,657 (18,872)
Citation 29

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4.

The Information Content of Option-Implied Volatility for Credit Default Swap Valuation

FDIC Center for Financial Research, Working Paper No. 2007-08
Number of pages: 38 Posted: 11 Mar 2006 Last Revised: 15 Nov 2012
Charles Cao, Zhaodong Zhong and Fan Yu
Pennsylvania State University, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,348 (25,770)
Citation 43

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Credit default swap spread, option-implied volatility, volatility risk premium, informed trading

5.

Counterparty Risk and the Pricing of Defaultable Securities

Number of pages: 46 Posted: 01 Jan 2000
Robert A. Jarrow and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,132 (33,270)
Citation 41

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6.

Local Government Implicit Debt and the Pricing of LGFV Bonds

Downloads 1,122 (33,699)
Citation 14

Local Government Implicit Debt and the Pricing of LGFV Bonds

Journal of Financial Research (in Chinese), 2021, No. 12, 170-188
Number of pages: 33 Posted: 24 Feb 2017 Last Revised: 11 Apr 2022
Laura Xiaolei Liu, Yuanzhen Lyu and Fan Yu
Guanghua School of Management, Peking University, UCLA Anderson School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 891 (45,892)
Citation 14

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local government implicit debt; implicit government guarantee; credit spread; local government implicit debt ratios

Local Government Implicit Debt and the Pricing of LGFV Bonds

Number of pages: 33 Posted: 15 Apr 2022
Laura Xiaolei Liu, Yuanzhen Lyu and Fan Yu
Guanghua School of Management, Peking University, UCLA Anderson School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 231 (226,852)
Citation 6

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local government implicit debt; implicit government guarantee; credit spread; local government implicit debt ratios

7.

Default Correlation in Reduced-Form Models

Number of pages: 17 Posted: 06 May 2005
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 827 (51,604)
Citation 12

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8.

The Determinants of Operational Risk in U.S. Financial Institutions

Journal of Financial and Quantitative Analysis (JFQA), 46(6), pp. 1683-1725, 2011
Number of pages: 43 Posted: 17 Mar 2009 Last Revised: 24 Sep 2012
Anna Chernobai, Philippe Jorion and Fan Yu
Syracuse University - M. J. Whitman School of Management, University of California, Irvine - Paul Merage School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 750 (58,819)
Citation 19

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operational risk, financial institution, credit risk, corporate governance, executive compensation

9.

Modeling Expected Return on Defaultable Bonds

Number of pages: 27 Posted: 18 Dec 2001
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 707 (63,624)
Citation 5

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10.

Credit Derivatives and Analyst Behavior

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2012-03
Number of pages: 59 Posted: 11 Mar 2012 Last Revised: 09 Dec 2015
George E. Batta, Jiaping Qiu and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance, McMaster University - Michael G. DeGroote School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 681 (66,772)
Citation 18

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credit default swap; informed trading; earnings announcement; analyst forecast; buy/sell recommendation; rating downgrade

11.

Accounting Transparency and the Term Structure of Credit Spreads

Number of pages: 48 Posted: 23 Jan 2003
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 661 (69,302)
Citation 63

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12.

Why Does Corporate Governance Explain Credit Spreads?

Number of pages: 33 Posted: 26 Mar 2008 Last Revised: 29 Mar 2008
Jefferson Duarte, Fan Yu and Lance A. Young
Rice University, Claremont McKenna College - Robert Day School of Economics and Finance and University of Washington - Department of Finance and Business Economics
Downloads 498 (98,591)
Citation 7

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Credit Spreads, Information Asymmetry, Corporate Governance

13.

Endogenous Liquidity in Credit Derivatives

AFA 2012 Chicago Meetings Paper
Number of pages: 47 Posted: 15 Mar 2011
Jiaping Qiu and Fan Yu
McMaster University - Michael G. DeGroote School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 495 (99,370)
Citation 21

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14.

Correlated Defaults in Intensity-Based Models

Number of pages: 24 Posted: 28 Dec 2005
Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 495 (99,370)
Citation 1

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15.

The Market for Corporate Control and the Cost of Debt

Journal of Financial Economics, Forthcoming, Robert Day School of Economics and Finance Research Paper No. 2009-11
Number of pages: 51 Posted: 19 Jan 2009
Jiaping Qiu and Fan Yu
McMaster University - Michael G. DeGroote School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 425 (119,027)
Citation 3

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16.

Credit Derivatives and Firm Investment

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2923236
Number of pages: 55 Posted: 25 Feb 2017 Last Revised: 15 Feb 2019
George E. Batta and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 359 (144,501)
Citation 4

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Credit default swaps, firm investment, acquisitions, debt issuance, bankruptcy risk, debt overhang

17.

Credit Risk Spillovers and Cash Holdings

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 3140958
Number of pages: 64 Posted: 19 Mar 2018 Last Revised: 25 Apr 2021
Jin Lei, Jiaping Qiu, Chi Wan and Fan Yu
Brock University - Goodman School of Business, McMaster University - Michael G. DeGroote School of Business, University of Massachusetts Boston - Department of Accounting and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 297 (176,222)
Citation 5

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credit risk contagion; product market rivalry; financial distress; cash holdings; payout ratio; bank loan contracting

18.

Modeling Municipal Yields with (and without) Bond Insurance

Forthcoming, Management Science, Claremont McKenna College Robert Day School of Economics and Finance Research Paper
Number of pages: 61 Posted: 12 Oct 2015 Last Revised: 30 Oct 2018
Albert Lee Chun, Ethan Namvar, Xiaoxia Ye and Fan Yu
University of Queensland - Business School, University of California, Berkeley - Haas School of Business, University of Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 223 (234,250)
Citation 12

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Municipal bonds; bond insurance; monoline; default risk; liquidity risk; term structure modeling

19.

Credit Derivatives and Corporate Default Prediction

Number of pages: 43 Posted: 12 May 2020 Last Revised: 07 Sep 2021
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Exeter Business School - Department of Finance, Claremont McKenna College - Robert Day School of Economics and Finance and San Diego State University
Downloads 157 (319,822)

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Credit default swap spread, corporate default prediction, physical default, default risk premium, CDS liquidity

20.

Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective

Forthcoming, European Journal of Operational Research
Number of pages: 43 Posted: 04 Aug 2016 Last Revised: 11 Jul 2022
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 118 (399,341)
Citation 1

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Gaussian Dynamic Term Structure Models, HJM, Finite Dimensional Realizations, Interest Rate Derivatives

21.

Government Support and the Term Structure of Yield Spreads for Chinese SOEs

Number of pages: 52 Posted: 23 Dec 2022 Last Revised: 28 Jun 2023
Yuanzhen Lyu and Fan Yu
UCLA Anderson School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 116 (409,462)

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Term structure of yield spreads; Chinese state-owned enterprises; local government financing vehicles; government support; subsidies and capital injections; cord-cutting

22.

Bond Volatility and CDS Auctions

Number of pages: 55 Posted: 24 Dec 2019 Last Revised: 13 Jan 2020
Jennifer Mace, Fan Yu and Ran Zhao
Independent, Claremont McKenna College - Robert Day School of Economics and Finance and San Diego State University
Downloads 115 (406,867)
Citation 1

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bond volatility, corporate default, CDS auction, market manipulation

23.

Corporate Credit Derivatives

Number of pages: 46 Posted: 07 Sep 2021
George E. Batta and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 95 (465,062)

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Credit derivatives, credit default swaps, market frictions, informed trading, liquidity, market structure, CDS introductions, credit supply, empty creditors, time-varying treatment effects, causal inference

24.

Property Investment and Rental Rate Under Housing Price Uncertainty: A Real Options Approach

Real Estate Economics, Forthcoming, Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 3113143
Number of pages: 50 Posted: 15 Feb 2018
Honglin Wang, Fan Yu and Yinggang Zhou
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Claremont McKenna College - Robert Day School of Economics and Finance and Department of Finance at School of Economics (SOE), and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Downloads 89 (488,030)
Citation 2

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Investment under uncertainty, real options, housing price, rent, Hong Kong, China

25.

Accounting Transparency and the Implied Volatility Skew

Number of pages: 60 Posted: 28 Sep 2022
Hitesh Doshi, Jan Ericsson, Stephen Szaura and Fan Yu
University of Houston - C.T. Bauer College of Business, McGill University, BI Norwegian School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 84 (502,091)

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Implied Volatility Skew, Accounting Transparency, Credit Risk

26.

A Re-Examination of Rating Shopping and Catering Using Post-Crisis Data on CDOs

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2828789
Number of pages: 13 Posted: 25 Aug 2016
Robert Owlett and Fan Yu
Claremont McKenna College and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 81 (513,106)
Citation 1

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collateralized debt obligations, credit rating agencies, credit spread, rating shopping, rating catering

27.

Customer-Supplier Relationships and Corporate Diversification

Number of pages: 79 Posted: 17 Oct 2022 Last Revised: 28 Jun 2023
Jin Lei, Yan Wang and Fan Yu
Brock University - Goodman School of Business, Brock University - Goodman School of Business and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 53 (639,925)

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Customer-supplier relationships; major customers; corporate diversification; monitoring; agency risk; operating risk; internal capital markets

28.

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

Posted: 02 Oct 2012 Last Revised: 24 Feb 2019
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance

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Non-Markov; Gaussian Dynamic Term Structure Models; Excess Returns; International Bond Markets; Moving Averages; Forecasting

29.

Pricing Credit Default Swaps with Option-Implied Volatility

Financial Analysts Journal, Vol. 67, No. 4, 2011
Posted: 09 Aug 2011 Last Revised: 11 Sep 2011
Charles Cao, Fan Yu and Zhaodong Zhong
Pennsylvania State University, Claremont McKenna College - Robert Day School of Economics and Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

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Derivatives, Credit Derivatives Markets and Instruments, Modeling and Pricing Credit Derivatives, Options Markets and Instruments, Volatility Issues