Yang Song

University of Washington - Michael G. Foster School of Business

Box 353200

Seattle, WA 98195-3200

United States

SCHOLARLY PAPERS

15

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Top 5,953

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10,469

SSRN CITATIONS
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SSRN RANKINGS

Top 9,693

in Total Papers Citations

88

CROSSREF CITATIONS

41

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 Hong Kong Polytechnic University
Downloads 2,384 (8,628)
Citation 1

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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 2,085 (10,759)
Citation 2

Abstract:

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

3.
Downloads 1,787 ( 13,810)
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 1,712 (14,534)
Citation 5

Abstract:

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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: 15 Sep 2022
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 75 (442,856)
Citation 36

Abstract:

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4.

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 859 (40,596)
Citation 1

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

5.

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 Hong Kong Polytechnic University
Downloads 706 (52,685)
Citation 1

Abstract:

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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 633 (59,894)
Citation 1

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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 (882,498)
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7.

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 Hong Kong Polytechnic University
Downloads 586 (66,910)

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

8.

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 442 (94,322)

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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 406 (103,216)
Citation 1

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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: 18 Sep 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 5 (894,748)

Abstract:

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10.

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 275 (158,409)

Abstract:

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Intermediation chain, Search frictions, Over-the-counter

11.

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 184 (231,252)
Citation 3

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Mutual Fund, Factor Analysis, Latent Factors

12.

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 75 (437,818)

Abstract:

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

13.

Index Providers: Whales Behind the Scenes of ETFs

Number of pages: 60 Posted: 01 Jun 2021 Last Revised: 19 Aug 2022
Yu An, Matteo Benetton and Yang Song
Johns Hopkins Carey Business School, University of California, Berkeley - Haas School of Business and University of Washington - Michael G. Foster School of Business
Downloads 36 (604,225)

Abstract:

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Index providers, market power, ETFs

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

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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:

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

Other Papers (1)

Total Downloads: 30
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 30

Abstract:

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