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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Top 13,338

in Total Papers Downloads

3,776

SSRN CITATIONS
Rank 33,032

SSRN RANKINGS

Top 33,032

in Total Papers Citations

13

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.
Downloads 2,154 ( 6,815)
Citation 6

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 2,131 (6,791)
Citation 3

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 23 (546,542)
Citation 2

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
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 1,362 (14,446)
Citation 8

Abstract:

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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 260 (123,853)

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Limits of arbitrage, anomalies, market efficiency, hedge funds