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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Scholarly Papers (3)

1.
Downloads 1,628 ( 9,906)

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 24 Jan 2018 Last Revised: 13 Dec 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 1,612 (9,887)

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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 16 (552,381)
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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
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 23 Sep 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 1,239 (15,263)

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beta anomaly, IVOL anomaly, investor sentiment

3.

Comovement in Arbitrage Limits

Number of pages: 54 Posted: 24 Sep 2018 Last Revised: 16 Nov 2018
Jianan Liu
University of Pennsylvania, The Wharton School, Students
Downloads 206 (144,449)

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Limits of arbitrage, anomalies, market efficiency, hedge funds