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

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

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SCHOLARLY PAPERS

27

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Top 4,743

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192

CROSSREF CITATIONS

152

Scholarly Papers (27)

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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 3,616 (5,264)
Citation 38

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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
Georgy Chabakauri, Kathy Yuan and Konstantinos E. Zachariadis
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 1,095 (33,625)
Citation 23

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

3.

Dynamic Asset-Backed Security Design

Downloads 703 (61,929)

Dynamic Asset-Backed Security Design

Number of pages: 65 Posted: 14 Aug 2018 Last Revised: 06 Dec 2022
Emre Ozdenoren, Kathy Yuan and Shengxing Zhang
London Business School, London School of Economics & Political Science (LSE) - Department of Finance and Peking University HSBC Business School
Downloads 702 (61,158)

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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
Emre Ozdenoren, Kathy Yuan and Shengxing Zhang
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 (1,061,841)
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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
Edward Denbee, Christian Julliard, Ye Li and Kathy Yuan
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 466 (103,368)
Citation 26

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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 383 (129,838)
Citation 68

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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 381 (130,611)
Citation 1

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7.

Within-Bank Spillovers of Real Estate Shocks

Number of pages: 51 Posted: 29 Sep 2013 Last Revised: 03 Dec 2017
Vicente Cuñat, Vicente Cuñat, Dragana Cvijanovic and Kathy Yuan
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 353 (142,094)
Citation 5

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Banks, Real Estate, Contagion, Crisis, Regulatory Capital

8.

What Drives Repo Haircuts? Evidence from the UK Market

Downloads 333 (151,253)
Citation 4

What Drives Repo Haircuts? Evidence from the UK Market

Number of pages: 55 Posted: 22 Aug 2019 Last Revised: 03 Feb 2023
Christian Julliard, Gabor Pinter, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Bank for International Settlements and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 267 (189,520)
Citation 5

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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
Christian Julliard, Gabor Pinter, Karamfil Todorov and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, Bank of England, Bank for International Settlements and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 66 (565,294)
Citation 2

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

9.

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 298 (170,118)
Citation 15

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

10.

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 237 (214,099)
Citation 5

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Stock market liberalization, emerging markets, economic growth

11.

Safe Assets as Balance Sheet Multipliers

Number of pages: 40 Posted: 24 May 2021 Last Revised: 13 Jul 2021
Emre Ozdenoren, Kathy Yuan and Shengxing Zhang
London Business School, London School of Economics & Political Science (LSE) - Department of Finance and Peking University HSBC Business School
Downloads 220 (230,015)
Citation 1

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

12.

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 200 (251,223)
Citation 1

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

13.

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 161 (303,443)
Citation 4

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Coordination, Asset price, Feedback, Excess Volatility

14.

On the Fragility of DeFi Lending

Number of pages: 55 Posted: 20 Jan 2023
Jonathan Chiu, Emre Ozdenoren, Kathy Yuan and Shengxing Zhang
Bank of Canada, London Business School, London School of Economics & Political Science (LSE) - Department of Finance and Peking University HSBC Business School
Downloads 160 (305,024)

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Decentralized Finance; DeFi, Smart Contracts; Dynamic Price Feedback; Financial Fragility; Adverse Selection; DeFi trilemma, Stability, Efficiency, and Decentralization Tradeoff

15.

The Pricing Impacts of Sovereign Bonds

Number of pages: 45 Posted: 27 Feb 2005
Robert F. Dittmar and Kathy Yuan
Rice University and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 156 (311,618)
Citation 1

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

16.

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

Number of pages: 52 Posted: 22 Oct 2020 Last Revised: 07 Feb 2023
Christian Julliard, Ran Shi and Kathy Yuan
London School of Economics & Political Science (LSE) - Department of Finance, University of Colorado Boulder - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 120 (382,406)
Citation 1

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

17.

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 115 (394,300)
Citation 4

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

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 Tsinghua University - PBC School of Finance
Downloads 103 (426,616)

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

19.

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 95 (450,447)
Citation 2

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Liquidity, benchmark, information Asymmetry,

20.

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 92 (459,961)
Citation 23

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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 63 (570,608)

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

22.

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 62 (575,065)
Citation 1

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

23.

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 (1,003,660)
Citation 46
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Coordination, Financial markets, Heterogenous Information, Learning, Liquidity

24.

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 (1,011,193)
Citation 3
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Coordination, Currency attacks, Feedback effects, Financial markets, Global games, Heterogenous information, Strategic complementarities

25.

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 (1,027,556)
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boom-bust effort exertion, contractual externalities, relative and absolute performance contracts, risk taking

26.

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

27.

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

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G10, G12, G14