Jianan Liu

Mingshi Investment Management

Head of Factor Investing

8 Queens Road Central

Hong Kong Island

Hong Kong

Hong Kong

University of Hong Kong

Pokfulam Road

Hong Kong, Hong Kong

China

  • Mingshi Investment Management

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Size and Value in China

Downloads 3,945 ( 5,388)
Citation 167

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
Mingshi Investment Management, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 3,776 (5,695)
Citation 16

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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 2022
Jianan Liu, Robert F. Stambaugh and Yu Yuan
Mingshi Investment Management, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 169 (340,329)
Citation 10

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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
Mingshi Investment Management, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,788 (19,110)
Citation 10

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beta anomaly, IVOL anomaly, investor sentiment

3.

Pricing Without Mispricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 52 Posted: 08 Jul 2021 Last Revised: 06 May 2022
Jianan Liu, Tobias J. Moskowitz, Tobias J. Moskowitz and Robert F. Stambaugh
Mingshi Investment Management, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
Downloads 822 (59,004)

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asset pricing, mispricing, market efficiency

4.

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
Mingshi Investment Management
Downloads 518 (106,299)

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Limits of arbitrage, anomalies, market efficiency, hedge funds