Yang Song

University of Washington - Michael G. Foster School of Business

Box 353200

Seattle, WA 98195-3200

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 5,205

in Total Papers Downloads

13,834

SSRN CITATIONS
Rank 5,228

SSRN RANKINGS

Top 5,228

in Total Papers Citations

280

CROSSREF CITATIONS

42

Scholarly Papers (16)

1.

The Smart Beta Mirage

Number of pages: 77 Posted: 01 Jul 2020 Last Revised: 20 Mar 2023
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 3,256 (6,538)
Citation 1

Abstract:

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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 2,615 (9,169)
Citation 2

Abstract:

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

3.
Downloads 1,948 (14,744)
Citation 96

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 1,839 (15,826)
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: 16 Mar 2023
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 109 (426,670)
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
Stanford Graduate School of Business, University of Washington - Michael G. Foster School of Business, Massachusetts Institute of Technology (MIT) Sloan School of Management and University of Pennsylvania - The Wharton School
Downloads 976 (41,132)
Citation 21

Abstract:

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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 971 (41,472)
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 884 (47,202)

Abstract:

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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 2023
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 26 (853,451)

Abstract:

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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 791 (54,914)
Citation 11

Abstract:

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

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 588 (79,475)
Citation 1

Abstract:

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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: 19 Mar 2023
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 34 (785,211)

Abstract:

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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 599 (78,636)

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Liquidity Premium, Term Structure, Monetary Policy

10.

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 412 (123,697)
Citation 7

Abstract:

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Index providers, market power, ETFs

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 337 (154,585)

Abstract:

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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 223 (234,906)
Citation 3

Abstract:

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Mutual Fund, Factor Analysis, Latent Factors

13.

Online Appendix for: 'Obfuscation in Mutual Funds'

Number of pages: 54 Posted: 15 Apr 2021
Stanford Graduate School of Business, University of Washington - Michael G. Foster School of Business, Massachusetts Institute of Technology (MIT) Sloan School of Management and University of Pennsylvania - The Wharton School
Downloads 97 (460,142)

Abstract:

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

14.

Remeasuring Scale in Active Management

Number of pages: 43 Posted: 08 Nov 2023
Shiyang Huang, Xu Lu, Yang Song and Hong Xiang
The University of Hong Kong - Faculty of Business and Economics, Stanford Graduate School of Business, University of Washington - Michael G. Foster School of Business and The Hong Kong Polytechnic University
Downloads 77 (550,849)

Abstract:

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15.

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:

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Mutual fund, Skill, Scale

16.

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

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

Other Papers (1)

Total Downloads: 50
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 50

Abstract:

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