Jianan Liu

University of Pennsylvania, The Wharton School, Students

PhD Student

3641 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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Top 27,724

in Total Papers Citations

25

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.
Downloads 2,533 ( 5,869)
Citation 12

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 Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 2,493 (5,920)
Citation 6

Abstract:

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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
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 40 (493,015)
Citation 4

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 Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,455 (14,484)
Citation 8

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 Pennsylvania, The Wharton School, Students
Downloads 314 (111,173)

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Limits of arbitrage, anomalies, market efficiency, hedge funds