Yu An

Johns Hopkins Carey Business School

Assistant Professor of Finance

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 18,933

SSRN RANKINGS

Top 18,933

in Total Papers Downloads

4,966

SSRN CITATIONS
Rank 29,462

SSRN RANKINGS

Top 29,462

in Total Papers Citations

31

CROSSREF CITATIONS

6

Scholarly Papers (11)

1.

A Factor Framework for Cross-Sectional Price Impacts

Number of pages: 70 Posted: 06 May 2022 Last Revised: 05 Mar 2024
Yu An, Yinan Su and Chen Wang
Johns Hopkins Carey Business School, Johns Hopkins University - Carey Business School and University of Notre Dame - Mendoza College of Business
Downloads 835 (54,607)

Abstract:

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cross-section, factor, flow, price impact, risk

2.

Immediacy Provision and Matchmaking

Number of pages: 81 Posted: 14 Nov 2016 Last Revised: 20 Jan 2022
Yu An and Zeyu Zheng
Johns Hopkins Carey Business School and University of California, Berkeley
Downloads 644 (76,589)
Citation 2

Abstract:

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Immediacy Provision, Matchmaking, Welfare, Volcker Rule, Asset Heterogeneity

3.

Competing with Inventory in Dealership Markets

Number of pages: 67 Posted: 13 Aug 2021 Last Revised: 02 Sep 2022
Yu An
Johns Hopkins Carey Business School
Downloads 640 (77,207)
Citation 9

Abstract:

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inventory benefit, trade competition, liquidity provision, inventory management, inventory cost

4.

Flow-Based Arbitrage Pricing Theory

Number of pages: 74 Posted: 06 May 2022 Last Revised: 09 Jan 2024
Yu An
Johns Hopkins Carey Business School
Downloads 604 (82,921)

Abstract:

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arbitrage, factor, flow, price impact, risk

5.

Index Providers: Whales Behind the Scenes of ETFs

Number of pages: 60 Posted: 01 Jun 2021 Last Revised: 19 Aug 2022
Johns Hopkins Carey Business School, University of California, Berkeley - Haas School of Business and University of Washington - Michael G. Foster School of Business
Downloads 470 (113,158)
Citation 7

Abstract:

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Index providers, market power, ETFs

6.

Shadow Bank and Fintech Mortgage Securitization

Johns Hopkins Carey Business School Research Paper No. 21-06
Number of pages: 49 Posted: 15 Jul 2021 Last Revised: 25 Apr 2022
Johns Hopkins Carey Business School, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 390 (140,502)
Citation 2

Abstract:

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Agency MBS, Bank, Fintech, Liquidity, Securitization, Shadow Bank

7.

Reducible Intermediation Chains

Number of pages: 40 Posted: 28 Mar 2016 Last Revised: 30 Oct 2019
Johns Hopkins Carey Business School, University of Washington - Michael G. Foster School of Business and University of Colorado at Boulder - Department of Finance
Downloads 353 (156,977)

Abstract:

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Intermediation chain, Search frictions, Over-the-counter

8.

A Dynamic Factor Model of Price Impacts

Johns Hopkins Carey Business School Research Paper No. 23-01
Number of pages: 47 Posted: 23 Nov 2022 Last Revised: 15 Apr 2024
Yu An and Zeyu Zheng
Johns Hopkins Carey Business School and University of California, Berkeley
Downloads 304 (184,093)

Abstract:

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dynamic, factor, flow, predictability, price impact

9.

TBA Trading and Security Issuance in the Agency MBS Market

Number of pages: 59 Posted: 21 Dec 2020 Last Revised: 19 Dec 2023
Yu An, Wei Li and Zhaogang Song
Johns Hopkins Carey Business School, CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 285 (197,715)
Citation 3

Abstract:

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Cohort, MBS, Security design, Specified pool, TBA.

10.

Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?

Johns Hopkins Carey Business School Research Paper No. 20-05
Number of pages: 64 Posted: 07 Aug 2020 Last Revised: 17 Feb 2023
Yu An and Zhaogang Song
Johns Hopkins Carey Business School and Johns Hopkins University - Carey Business School
Downloads 279 (201,333)
Citation 1

Abstract:

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Dealer inventory, Discriminatory pricing, Market power, MBS, Monetary policy

11.

An Axiomatic Approach to Informed Order Flow

Number of pages: 54 Posted: 10 Jul 2023 Last Revised: 27 Mar 2024
Yu An and Zeyu Zheng
Johns Hopkins Carey Business School and University of California, Berkeley
Downloads 162 (334,242)

Abstract:

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factor, flow, information, learning, price impact