Yinan Su

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

9

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Top 2,624

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23,827

SSRN CITATIONS
Rank 5,271

SSRN RANKINGS

Top 5,271

in Total Papers Citations

311

CROSSREF CITATIONS

33

Scholarly Papers (9)

1.

Instrumented Principal Component Analysis

Number of pages: 71 Posted: 09 Jun 2017 Last Revised: 28 Dec 2020
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 9,222 (1,213)
Citation 25

Abstract:

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factor model, principal components, tensor, asymptotic theory, international macroeconomics, dynamic loading

2.

Characteristics Are Covariances: A Unified Model of Risk and Return

Number of pages: 58 Posted: 07 Sep 2017 Last Revised: 20 Oct 2018
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 8,238 (1,496)
Citation 20

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Cross section of returns, latent factors, anomaly, factor model, conditional betas, PCA, BARRA

3.

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

Johns Hopkins Carey Business School Research Paper No. 21-09
Number of pages: 60 Posted: 02 Aug 2021 Last Revised: 09 Feb 2023
Yale School of Management, Yale SOM and Johns Hopkins University - Carey Business School
Downloads 3,584 (6,094)
Citation 27

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news, narratives, textual analysis, cross section of returns, ICAPM, factor model, IPCA, variable selection

4.

Trading Volume Alpha

Number of pages: 52 Posted: 23 Apr 2024 Last Revised: 16 May 2024
McGill University - Desautels Faculty of Management, Yale SOM, Yale University, Yale SOMAQR Capital, Johns Hopkins University - Carey Business School and University of Oxford
Downloads 1,096 (38,082)

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machine learning, AI, neural networks, portfolio optimization, trading volume, trading costs, investments

5.

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 863 (53,036)

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

6.

Interbank Runs: A Network Model of Systemic Liquidity Crunches

Number of pages: 50 Posted: 27 Jan 2018 Last Revised: 15 Mar 2022
Yinan Su
Johns Hopkins University - Carey Business School
Downloads 383 (145,725)
Citation 1

Abstract:

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Networks, Bank Runs, Interbank, Mean-field Approximation, Systemic Risk, Liquidity Crises

7.

The Reflection Channel of Shock Transmission in Production Networks

Number of pages: 48 Posted: 31 Oct 2017
Yinan Su
Johns Hopkins University - Carey Business School
Downloads 265 (215,245)

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Production Network, Shock Transmission, General Equilibrium Effect, Reflection

8.

Characteristics are Covariances: A Unified Model of Risk and Return

NBER Working Paper No. w24540
Number of pages: 60 Posted: 23 Apr 2018 Last Revised: 22 Jul 2023
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 176 (315,630)
Citation 52

Abstract:

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9.

Conditional Spectral Methods

Johns Hopkins Carey Business School Research Paper No. 23-02
Number of pages: 50 Posted: 14 Dec 2022 Last Revised: 30 May 2024
Federico M. Bandi and Yinan Su
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 0 (1,142,080)
Citation 1

Abstract:

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Time/scale decompositions, spectral predictive cycles, portfolio allocation. JEL codes. C3, G11, G12