Kathy Yuan

London School of Economics & Political Science (LSE) - Department of Finance

Old Building

Houghton Street

London, London WC2A 2AE

United Kingdom

http://fmg.lse.ac.uk/~kathy

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 7,939

SSRN RANKINGS

Top 7,939

in Total Papers Downloads

8,244

SSRN CITATIONS
Rank 4,918

SSRN RANKINGS

Top 4,918

in Total Papers Citations

118

CROSSREF CITATIONS

154

Scholarly Papers (26)

1.

Are Investors Moonstruck? - Lunar Phases and Stock Returns

Number of pages: 44 Posted: 18 Sep 2001
Lu Zheng, Kathy Yuan and Qiaoqiao Zhu
University of California, Irvine - Paul Merage School of Business, London School of Economics & Political Science (LSE) - Department of Finance and Australian National University (ANU) - College of Business and Economics
Downloads 3,494 (4,554)
Citation 38

Abstract:

Loading...

Behavioral Finance, Mood, Lunar Effect, Stock Return, Market Efficiency

2.

Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims

Number of pages: 110 Posted: 08 Jun 2014 Last Revised: 05 Nov 2021
London School of Economics and Political Science, London School of Economics & Political Science (LSE) - Department of Finance and School of Economics and Finance, Queen Mary University of London
Downloads 995 (32,427)
Citation 21

Abstract:

Loading...

asymmetric information, rational expectations, learning from prices, contingent claims, derivative securities

3.
Downloads 472 ( 86,030)

Dynamic Asset-Backed Security Design

Number of pages: 59 Posted: 14 Aug 2018 Last Revised: 28 Jun 2022
London Business School, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics (LSE) - Department of Economics
Downloads 471 (85,483)

Abstract:

Loading...

Liquidity; Dynamic Price Feedback; Tradable Assets; Security Design; Multiple Equilibria; Self-fulfilling Prices; Financial Fragility; Haircut; Repo; Repo Runs; Credit Crunch; Asset-Backed Security; Collateral; Limited Commitment; Adverse Selection; Market Based Financial Intermediation

Dynamic Liquidity-Based Security Design

CEPR Discussion Paper No. DP13069
Number of pages: 37 Posted: 31 Jul 2018
London Business School, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 1 (933,540)
  • Add to Cart

Abstract:

Loading...

financial fragility, liquidity, repo, security design

4.

Network Risk and Key Players: A Structural Analysis of Interbank Liquidity

Fisher College of Business Working Paper No. 2018-03-011, Charles A. Dice Center Working Paper No. 2018-11, Columbia Business School Research Paper No. 17-6
Number of pages: 76 Posted: 14 Dec 2016 Last Revised: 17 Aug 2020
Bank of England, London School of Economics & Political Science (LSE) - Department of Finance, University of Washington - Foster School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 410 (101,443)
Citation 26

Abstract:

Loading...

financial networks, liquidity, interbank market, payment systems, payment velocity, payment multiplier, key players, systemic risk

5.

How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices

Number of pages: 58 Posted: 30 Oct 2002
Brian H. Boyer, Kathy Yuan and Tomomi Kumagai
Brigham Young University - J. Willard and Alice S. Marriott School of Management, London School of Economics & Political Science (LSE) - Department of Finance and Wayne State University - Department of Economics
Downloads 372 (113,289)
Citation 58

Abstract:

Loading...

crises, contagion, limits to arbitrage

6.

The Liquidity Service of Sovereign Bonds

Number of pages: 67 Posted: 11 Jul 2001
Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 365 (115,761)
Citation 1

Abstract:

Loading...

7.

Within-Bank Spillovers of Real Estate Shocks

Number of pages: 51 Posted: 29 Sep 2013 Last Revised: 03 Dec 2017
London School of Economics & Political Science (LSE) - Financial Markets GroupThe London School of Economics, Cornell SC Johnson College of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 340 (125,273)
Citation 5

Abstract:

Loading...

Banks, Real Estate, Contagion, Crisis, Regulatory Capital

8.

Feedback Effects and Asset Prices

EFA 2007 Ljubljana Meetings Paper
Number of pages: 45 Posted: 06 Mar 2007 Last Revised: 14 Nov 2007
Emre Ozdenoren and Kathy Yuan
London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 290 (148,001)
Citation 18

Abstract:

Loading...

Feedback effects, coordination, strategic uncertainty, global games, Grossman-Stiglitz, asymmetric information, heterogenous information, multiple equilibria

9.

On the Growth Effect of Liberalizations

Number of pages: 34 Posted: 15 Aug 2005 Last Revised: 28 Mar 2018
Nandini Gupta and Kathy Yuan
Indiana University - Kelley School of Business - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 227 (188,235)
Citation 5

Abstract:

Loading...

Stock market liberalization, emerging markets, economic growth

10.
Downloads 196 (215,776)
Citation 4

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 55 Posted: 22 Aug 2019 Last Revised: 26 May 2022
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, London School of Economics & Political Science, Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 183 (229,154)
Citation 5

Abstract:

Loading...

repurchase agreement, systemic risk, repo market, margin, haircut.

What Drives Repo Haircuts? Evidence from the UK Market

Bank of England Working Paper No. 985
Number of pages: 56 Posted: 22 Jul 2022
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, London School of Economics & Political Science, Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 13 (790,739)

Abstract:

Loading...

Repurchase agreement, systemic risk, repo market, margin; haircut

11.

Securities Trading Under Asymmetric Information and Trading Constraints

Number of pages: 31 Posted: 27 Feb 2005
Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 191 (220,747)
Citation 1

Abstract:

Loading...

Trading constraints, information asymmetry, REE, bubbles, crashes, shortsales constraints, borrowing constraints

12.

Trading Frenzy and Its Impact on Real Investment

AFA 2010 Atlanta Meetings Paper
Number of pages: 33 Posted: 17 Mar 2009 Last Revised: 07 Dec 2011
Itay Goldstein, Emre Ozdenoren and Kathy Yuan
University of Pennsylvania - The Wharton School - Finance Department, London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 150 (270,474)
Citation 4

Abstract:

Loading...

Coordination, Asset price, Feedback, Excess Volatility

13.

The Pricing Impacts of Sovereign Bonds

Number of pages: 45 Posted: 27 Feb 2005
Robert F. Dittmar and Kathy Yuan
University of Michigan, Stephen M. Ross School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 139 (287,271)
Citation 1

Abstract:

Loading...

Liquidity, benchmark, sovereign bond, corporate bond, emerging market

14.

Eliciting Heterogeneous Investor Beliefs from Portfolio Holdings and Performance Evaluation

Number of pages: 49 Posted: 25 Mar 2008
Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 107 (347,120)
Citation 4

Abstract:

Loading...

Performance Metric, Portfolio Variance-Covariance matrix, Portfolio Beliefs, Belief Accuracy Index (SBAI and BAI)

15.

Safe Assets as Balance Sheet Multipliers

Number of pages: 40 Posted: 24 May 2021 Last Revised: 13 Jul 2021
London Business School, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics (LSE) - Department of Economics
Downloads 102 (358,384)

Abstract:

Loading...

Adverse Selection; Collateral; Convenience Yields; Financial Fragility; Narrow banking; QE; Quality-Sensitive Assets; Safe Assets; Safety Premium; Security Design; Shadow Banking.

16.

The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns

Number of pages: 42 Posted: 22 Oct 2020 Last Revised: 02 Nov 2020
Christian Julliard, Ran Shi and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 87 (395,963)
Citation 1

Abstract:

Loading...

COVID-19, networks, key players, spatial modelling, SIR model

17.

The Liquidity Service of Benchmark Securities

Number of pages: 37 Posted: 28 Feb 2005
Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 86 (398,798)
Citation 2

Abstract:

Loading...

Liquidity, benchmark, information Asymmetry,

18.

Not All Bonds Are Created Equal - As Benchmarks for Corporate Bonds

Number of pages: 69 Posted: 09 Jul 2021
Keqi Chen, Yi Huang, Kathy Yuan and Hao Zhou
Tsinghua University, PBC School of Finance, Students, Graduate Institute of International and CEPR, London School of Economics & Political Science (LSE) - Department of Finance and SUSTech Business School
Downloads 73 (437,870)

Abstract:

Loading...

Municipal corporate bond; Benchmark Bonds; Government Bonds; Spanning enhance- ment; Price discovery; Maturity impact.

19.

On the Growth Effect of Stock Market Liberalizations

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4715-4752, 2009
Number of pages: 54 Posted: 08 Dec 2009 Last Revised: 28 Mar 2018
Nandini Gupta and Kathy Yuan
Indiana University - Kelley School of Business - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 66 (461,691)
Citation 15

Abstract:

Loading...

20.

Stock Market Tournament

Number of pages: 44 Posted: 15 Mar 2012
Emre Ozdenoren and Kathy Yuan
London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 52 (516,488)
Citation 1

Abstract:

Loading...

Optimal Contract, Stock Market Tournament, Beauty Contest, Excess (Insufficient) Effort, Excessive (Insufficient) Systematic Risk-taking, Boom and Bust, Financial Crisis

21.

The Problem of Israeli-Palestinian Cross-Border Transactions

LSE Law - Policy Briefing Paper No. 35, June 2019
Number of pages: 6 Posted: 17 Jun 2019
Priscilla Toffano and Kathy Yuan
International Monetary Fund (IMF) and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 25 (664,977)

Abstract:

Loading...

distributed ledger technology, blockchain, payment systems, Israel, Palestine

22.

Trading Frenzies and Their Impact on Real Investment

CEPR Discussion Paper No. DP7652
Number of pages: 38 Posted: 08 Feb 2010
Itay Goldstein, Emre Ozdenoren and Kathy Yuan
University of Pennsylvania - The Wharton School - Finance Department, London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 3 (865,816)
Citation 8
  • Add to Cart

Abstract:

Loading...

Coordination, Financial markets, Heterogenous Information, Learning, Liquidity

23.

Learning and Complementarities: Implications for Speculative Attacks

CEPR Discussion Paper No. DP7651
Number of pages: 50 Posted: 08 Feb 2010
Itay Goldstein, Emre Ozdenoren and Kathy Yuan
University of Pennsylvania - The Wharton School - Finance Department, London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2 (878,965)
Citation 3
  • Add to Cart

Abstract:

Loading...

Coordination, Currency attacks, Feedback effects, Financial markets, Global games, Heterogenous information, Strategic complementarities

24.

Endogenous Contractual Externalities

CEPR Discussion Paper No. DP10052
Number of pages: 44 Posted: 25 Sep 2014
Emre Ozdenoren and Kathy Yuan
London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 0 (910,098)
  • Add to Cart

Abstract:

Loading...

boom-bust effort exertion, contractual externalities, relative and absolute performance contracts, risk taking

25.

Stock Market Tournaments

CEPR Discussion Paper No. DP9000
Number of pages: 47 Posted: 28 Sep 2012
Emre Ozdenoren and Kathy Yuan
London Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 0 (910,098)
  • Add to Cart

Abstract:

Loading...

Contractual Externalities, Excessive Risk-Taking, Insuffi cient Risk-Taking, Stock-Based Incentives

26.

Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?

The Review of Financial Studies, Vol. 21, Issue 5, pp. 1983-2014, 2008
Posted: 19 Sep 2008
Robert F. Dittmar and Kathy Yuan
University of Michigan, Stephen M. Ross School of Business and London School of Economics & Political Science (LSE) - Department of Finance

Abstract:

Loading...

G10, G12, G14