Yang Song

University of Washington - Michael G. Foster School of Business

Box 353200

Seattle, WA 98195-3200

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 5,598

SSRN RANKINGS

Top 5,598

in Total Papers Downloads

10,723

SSRN CITATIONS
Rank 9,691

SSRN RANKINGS

Top 9,691

in Total Papers Citations

87

CROSSREF CITATIONS

42

Scholarly Papers (15)

1.

The Smart Beta Mirage

Number of pages: 53 Posted: 01 Jul 2020 Last Revised: 28 Apr 2021
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The University of Hong Kong
Downloads 2,245 (9,188)
Citation 1

Abstract:

Loading...

ETFs, factor investing, smart beta, data mining

2.

What Do Mutual Fund Investors Really Care About?

Fisher College of Business Working Paper No. 2019-03-005, Charles A. Dice Center Working Paper No. 2019-5, Review of Financial Studies, forthcoming
Number of pages: 73 Posted: 14 Mar 2019 Last Revised: 28 Sep 2021
Ohio State University (OSU) - Department of Finance, David Eccles School of Business, University of Utah, University of Arizona - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 1,978 (11,403)
Citation 2

Abstract:

Loading...

Mutual funds, retail investors, fund flows, Morningstar, CAPM, asset pricing models

3.
Downloads 1,761 ( 13,690)
Citation 59

Funding Value Adjustments

Number of pages: 61 Posted: 13 Mar 2016 Last Revised: 02 Aug 2017
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 1,690 (14,387)
Citation 5

Abstract:

Loading...

Funding value adjustment, swap XVAs, debit value adjustment, debt overhang

Funding Value Adjustments

NBER Working Paper No. w23680
Number of pages: 71 Posted: 21 Aug 2017 Last Revised: 16 Mar 2022
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 71 (445,342)
Citation 36

Abstract:

Loading...

4.

Index Providers: Whales Behind the Scenes of ETFs

Number of pages: 54 Posted: 01 Jun 2021 Last Revised: 28 Jan 2022
Johns Hopkins Carey Business School, University of California, Berkeley - Haas School of BusinessLondon School of Economics & Political Science (LSE) - London School of Economics and University of Washington - Michael G. Foster School of Business
Downloads 832 (41,165)

Abstract:

Loading...

Index providers, market power, ETFs

5.

Obfuscation in Mutual Funds

Journal of Accounting & Economics (JAE), Vol. 72, No. 2/3, 2021
Number of pages: 56 Posted: 13 Mar 2020 Last Revised: 12 Jul 2021
University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business, Massachusetts Institute of Technology (MIT) Sloan School of ManagementStanford University, Graduate School of Business, Students and University of Pennsylvania - The Wharton School
Downloads 819 (42,082)
Citation 1

Abstract:

Loading...

mutual funds; disclosure obfuscation; strategic disclosure; price dispersion; retail investors

6.

Noise Trading and Asset Pricing Factors

Number of pages: 65 Posted: 29 Apr 2019 Last Revised: 21 Jun 2022
Shiyang Huang, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The University of Hong Kong
Downloads 651 (56,941)
Citation 1

Abstract:

Loading...

noise trader risk, factor premia, anomaly

Ratings-Driven Demand and Systematic Price Fluctuations

Fisher College of Business Working Paper No. 2020-03-026, Charles A. Dice Working Paper No. 2020-26, Review of Financial Studies, forthcoming
Number of pages: 68 Posted: 12 Nov 2020 Last Revised: 28 Sep 2021
Ohio State University (OSU) - Department of Finance, David Eccles School of Business, University of Utah, University of Arizona - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 589 (63,917)
Citation 1

Abstract:

Loading...

Correlated demand, style investing, mutual funds, momentum

Ratings-Driven Demand and Systematic Price Fluctuations

NBER Working Paper No. w28103
Number of pages: 68 Posted: 16 Nov 2020 Last Revised: 16 Apr 2022
Ohio State University (OSU) - Department of Finance, David Eccles School of Business, University of Utah, University of Arizona - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 6 (851,273)
  • Add to Cart

Abstract:

Loading...

8.

A Frog in Every Pan: Information Discreteness and the Lead-lag Returns Puzzle

Number of pages: 79 Posted: 04 Nov 2020 Last Revised: 10 Jun 2021
Foster School of Business, University of Washington, The University of Hong Kong - Faculty of Business and Economics, University of Washington - Michael G. Foster School of Business and The University of Hong Kong
Downloads 525 (74,911)

Abstract:

Loading...

Momentum spillovers, return prediction, investor inattention, belief updating.

9.

The Term Structure of Liquidity Premium

USC Marshall School of Business Research Paper
Number of pages: 58 Posted: 07 Nov 2019 Last Revised: 23 Mar 2021
Scott Joslin, Wenhao Li and Yang Song
University of Southern California - Department of Finance and Business Economics, University of Southern California - Marshall School of Business and University of Washington - Michael G. Foster School of Business
Downloads 429 (95,381)

Abstract:

Loading...

Liquidity Premium, Term Structure, Monetary Policy

Discontinued Positive Feedback Trading and the Decline of Return Predictability

Fisher College of Business Working Paper No. 2021-03-03, Charles A. Dice Center Working Paper No. 2021-03
Number of pages: 50 Posted: 22 Mar 2021 Last Revised: 16 May 2022
Ohio State University (OSU) - Department of Finance, David Eccles School of Business, University of Utah, University of Arizona - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 374 (110,509)
Citation 1

Abstract:

Loading...

positive feedback trading, mutual funds, anomalies, momentum, factor momentum

Discontinued Positive Feedback Trading and the Decline of Return Predictability

NBER Working Paper No. w28624
Number of pages: 50 Posted: 29 Mar 2021 Last Revised: 23 May 2022
Ohio State University (OSU) - Department of Finance, David Eccles School of Business, University of Utah, University of Arizona - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 3 (885,459)
  • Add to Cart

Abstract:

Loading...

11.

Reducible Intermediation Chains

Number of pages: 40 Posted: 28 Mar 2016 Last Revised: 30 Oct 2019
Yu An, Yang Song and Xingtan Zhang
Johns Hopkins Carey Business School, University of Washington - Michael G. Foster School of Business and University of Colorado at Boulder - Department of Finance
Downloads 269 (157,938)

Abstract:

Loading...

Intermediation chain, Search frictions, Over-the-counter

12.

Performance Evaluation with Latent Factors

Number of pages: 21 Posted: 07 Aug 2018
Yang Song and Qingyuan Zhao
University of Washington - Michael G. Foster School of Business and University of Pennsylvania - Statistics Department
Downloads 178 (232,102)
Citation 3

Abstract:

Loading...

Mutual Fund, Factor Analysis, Latent Factors

13.

Online Appendix for: 'Obfuscation in Mutual Funds'

Number of pages: 54 Posted: 15 Apr 2021
University of Washington - Michael G. Foster School of Business, University of Washington - Michael G. Foster School of Business, Massachusetts Institute of Technology (MIT) Sloan School of ManagementStanford University, Graduate School of Business, Students and University of Pennsylvania - The Wharton School
Downloads 64 (464,083)

Abstract:

Loading...

mutual funds; disclosure obfuscation; strategic disclosure; price dispersion; retail investors

14.

The Mismatch Between Mutual Fund Scale and Skill

Posted: 09 Nov 2017 Last Revised: 26 Apr 2020
Yang Song
University of Washington - Michael G. Foster School of Business

Abstract:

Loading...

Mutual fund, Skill, Scale

15.

Dealer Funding Costs: Implications for the Term Structure of Dividend Risk Premia

Posted: 16 Feb 2016 Last Revised: 29 Oct 2017
Yang Song
University of Washington - Michael G. Foster School of Business

Abstract:

Loading...

Financial Intermediation, funding costs, term structure of dividend risk premia

Other Papers (1)

Total Downloads: 29
1.

Funding Value Adjustments

Number of pages: 54 Posted: 03 Jul 2016
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 29

Abstract:

Loading...

Funding value adjustment, swap XVAs, debit value adjustment, debt overhang