Jianan Liu

University of Hong Kong

Pokfulam Road

Hong Kong, Hong Kong

China

Shanghai Mingshi Investment Company

488 M Yincheng Road

Shanghai

China

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Top 20,961

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43

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.
Downloads 2,883 ( 5,381)
Citation 18

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 56 Posted: 24 Jan 2018 Last Revised: 12 Aug 2020
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 2,825 (5,452)
Citation 5

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Size; Value; China; Factors; Anomalies

Size and Value in China

NBER Working Paper No. w24458
Number of pages: 57 Posted: 02 Apr 2018 Last Revised: 01 May 2021
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 58 (451,299)
Citation 10

Abstract:

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2.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Volume 128, Issue 1, April 2018, Pages 1-15, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 11 Aug 2020
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,523 (14,991)
Citation 10

Abstract:

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beta anomaly, IVOL anomaly, investor sentiment

3.

Comovement in Arbitrage Limits

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 24 Sep 2018 Last Revised: 11 Sep 2020
Jianan Liu
University of Hong Kong
Downloads 368 (101,530)

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Limits of arbitrage, anomalies, market efficiency, hedge funds

4.

Pricing Without Mispricing

Number of pages: 48 Posted: 08 Jul 2021 Last Revised: 31 Aug 2021
University of Hong Kong, Yale University, Yale SOM and University of Pennsylvania - The Wharton School
Downloads 119 (291,454)

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asset pricing, mispricing, market efficiency