Yinan Su

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

7

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Top 4,951

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11,996

SSRN CITATIONS
Rank 12,072

SSRN RANKINGS

Top 12,072

in Total Papers Citations

68

CROSSREF CITATIONS

31

Scholarly Papers (7)

1.

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 5,117 (2,356)
Citation 18

Abstract:

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

2.

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 4,835 (2,626)
Citation 26

Abstract:

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

3.

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

Johns Hopkins Carey Business School Research Paper No. 21-09
Number of pages: 59 Posted: 02 Aug 2021 Last Revised: 22 Jan 2022
Yale School of Management, Yale SOM and Johns Hopkins University - Carey Business School
Downloads 1,208 (24,565)

Abstract:

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

4.

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 287 (149,603)
Citation 1

Abstract:

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

5.

Flow-Based Asset Pricing: Maximum Price Impact Ratio

Number of pages: 73 Posted: 06 May 2022 Last Revised: 27 Jul 2022
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 234 (185,202)

Abstract:

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asset pricing, cross section, flow, price impact, risk

6.

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 218 (195,720)

Abstract:

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Production Network, Shock Transmission, General Equilibrium Effect, Reflection

7.

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 2022
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 97 (370,206)
Citation 52

Abstract:

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