Yufeng Han

University of North Carolina (UNC) at Charlotte - Finance

Associate Professor in Finance

9201 University City Boulevard

Charlotte, NC 28223

United States

  • University of North Carolina (UNC) at Charlotte - Finance

SCHOLARLY PAPERS

32

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56,965

SSRN CITATIONS
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Top 4,524

in Total Papers Citations

288

CROSSREF CITATIONS

86

Scholarly Papers (32)

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1.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Yufeng Han, Ke Yang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 10,477 (898)
Citation 26

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.

Market Intraday Momentum

Downloads 10,331 ( 919)
Citation 50

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 Jan 2020
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 9,164 (1,103)
Citation 14

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Predictability, Intraday, Momentum, Economic Value

Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

Number of pages: 49 Posted: 12 Mar 2015 Last Revised: 16 Dec 2017
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 1,167 (31,463)
Citation 10

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Predictability, Intraday, Momentum, Economic Value

3.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 9,041 (1,136)
Citation 5

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Momentum, crashes, downside risk, stop-loss orders

4.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 8,431 (1,286)
Citation 47

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Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

5.

Technical Analysis in the Stock Market: A Review

Number of pages: 34 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 3,109 (7,050)
Citation 2

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Technical Analysis, Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

6.

Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning

Number of pages: 57 Posted: 13 Jun 2018 Last Revised: 30 Apr 2023
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads 3,080 (7,148)
Citation 41

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Penalized regression, Forecast combination, Forecast Encompassing, Random features, Characteristic payoffs, Cross-sectional out-of-sample R-squared statistic

7.

Expected Return, Volume, and Mispricing

Number of pages: 81 Posted: 16 May 2018 Last Revised: 20 May 2021
Yufeng Han, Dashan Huang, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Singapore Management University - Lee Kong Chian School of Business, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,991 (14,219)
Citation 22

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

8.

Anomalies Enhanced: A Portfolio Rebalancing Approach

Number of pages: 53 Posted: 01 Jul 2015 Last Revised: 22 Mar 2019
Yufeng Han, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,489 (22,302)

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Anomaly, low frequency information, volatility timing, technical analysis

9.

On the Relation between the Market Risk Premium and Market Volatility

Number of pages: 51 Posted: 06 Mar 2002
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 1,145 (32,781)
Citation 1

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Market Risk Premium, Market Risk-Return Relation, Volatility Risk Premium, Stochastic Volatility, EMM

10.

A Trend Factor in Commodity Futures Markets: Any Economic Gains From Using Information Over Investment Horizons?

Number of pages: 35 Posted: 02 Nov 2021 Last Revised: 04 Nov 2021
Yufeng Han and Lingfei Kong
University of North Carolina (UNC) at Charlotte - Finance and Washington University in Saint Louis
Downloads 773 (56,701)

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Commodity futures; Moving average; Predictability; Trend; Momentum; Multifactor model

11.

Horses for Courses: Fund Managers and Organizational Structures

Downloads 691 (66,028)
Citation 12

Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 59 Posted: 08 Mar 2008
Yufeng Han, Thomas H. Noe and Michael J. Rebello
University of North Carolina (UNC) at Charlotte - Finance, University of Oxford - Said Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 259 (203,020)
Citation 3

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Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 58 Posted: 20 Mar 2012
Yufeng Han, Thomas H. Noe and Michael J. Rebello
University of North Carolina (UNC) at Charlotte - Finance, University of Oxford - Said Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 219 (239,356)
Citation 7

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Team Management, Fund Performance, Fund Holdings, Self Selection

Horses for Courses: Fund Managers and Organizational Structures

Second Singapore International Conference on Finance 2008
Number of pages: 59 Posted: 04 Mar 2008
Yufeng Han, Michael J. Rebello and Thomas H. Noe
University of North Carolina (UNC) at Charlotte - Finance, University of Texas at Dallas - Naveen Jindal School of Management and University of Oxford - Said Business School
Downloads 213 (245,653)
Citation 3

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Team Management, Fund Performance, Self Selection

12.

The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps?

Number of pages: 62 Posted: 24 Sep 2019 Last Revised: 10 Feb 2020
Yufeng Han, Fang Liu and Xiaoxiao Tang
University of North Carolina (UNC) at Charlotte - Finance, Cornell University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 570 (83,617)

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Options, Implied Volatility, Jumps, PLS, Predictability

13.

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Downloads 559 (85,761)

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Number of pages: 41 Posted: 17 Oct 2002
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 559 (84,771)
Citation 34

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Asset Allocation With a High Dimensional Latent Factor Stochastic Volatility Model

Review of Financial Studies, Vol. 19, No. 1, pp. 237-271, 2006
Posted: 29 Feb 2008
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance

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fetus, heart rate, prenatal environment, prenatal drug exposure, cigarette smoking

14.

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Downloads 512 (95,586)
Citation 3

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Number of pages: 70 Posted: 07 Dec 2020 Last Revised: 26 May 2023
Yufeng Han, Yueliang (Jacques) Lu, Weike Xu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 471 (104,625)
Citation 3

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Exogenous short-selling shock, JGTRRA, mispricing, anomalies, difference-in-differences

Mispricing and Anomalies: An Exogenous Shock to Short Selling from Jgtrra

Number of pages: 70 Posted: 02 Sep 2023
Yufeng Han, Yueliang (Jacques) Lu, Weike Xu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 41 (732,215)

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Exogenous short-selling shock, JGTRRA, mispricing, anomalies, difference-in-difference

15.

Firm Fundamental Cycle and Cross-Section of Stock Returns

Number of pages: 77 Posted: 12 Nov 2018 Last Revised: 02 Sep 2022
Yufeng Han, Zhaodan Huang, Weidong Tian and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Utica University, University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Washington University in St. Louis - John M. Olin Business School
Downloads 507 (96,778)

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Fundamental Cycle, FFI, Momentum, Reversal, PLS, PCA, Anomalies, Factor Momentum

16.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility Around the World

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 19 Mar 2011 Last Revised: 29 Aug 2014
Yufeng Han, Ting Hu and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance, Wuhan University - School of Economics and Management and Tulane University - A.B. Freeman School of Business
Downloads 494 (99,868)
Citation 46

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Cross-Sectional Return, International Markets, Idiosyncratic Volatility, Bid-Ask Spread

17.

Is Idiosyncratic Asymmetry Priced in Commodity Futures?

Number of pages: 41 Posted: 07 Jun 2019 Last Revised: 31 Jan 2023
Yufeng Han, Xuan Mo, Zhi Su and Yifeng Zhu
University of North Carolina (UNC) at Charlotte - Finance, Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics
Downloads 480 (103,928)
Citation 2

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Idiosyncratic asymmetry; Cross section; Commodity futures returns; IE

18.

The Lead-lag relations in the Commodity Futures Returns: A Machine Learning Approach

Number of pages: 55 Posted: 08 Mar 2020 Last Revised: 09 Nov 2022
Yufeng Han and Lingfei Kong
University of North Carolina (UNC) at Charlotte - Finance and Washington University in Saint Louis
Downloads 433 (116,747)
Citation 2

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Commodity Futures, LASSO, Machine Learning, Predictability, Serial Dependence, Financialization, Comovement

19.

Are There Exploitable Trends in Commodity Future Prices?

Number of pages: 51 Posted: 16 Feb 2015
Yufeng Han and Ting Hu
University of North Carolina (UNC) at Charlotte - Finance and Wuhan University - School of Economics and Management
Downloads 413 (123,697)
Citation 3

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Commodity Futures, Moving Average, Timing, Predictability

20.

Macroeconomic Trends and Equity Risk Premium

Number of pages: 75 Posted: 20 May 2022 Last Revised: 07 Nov 2023
Yufeng Han, Yueliang (Jacques) Lu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 406 (126,531)

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Equity risk premium, Out-of-sample return predictability, Macro trends, Nonlinearity

21.

Idiosyncratic Volatility and Liquidity Costs

Downloads 248 (147,529)

Idiosyncratic Volatility and Liquidity Costs

Number of pages: 45 Posted: 22 Mar 2009
David A. Lesmond and Yufeng Han
Tulane University - A.B. Freeman School of Business and University of North Carolina (UNC) at Charlotte - Finance
Downloads 248 (211,087)

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Cross-Sectional Return, Idiosyncratic Volatility, Asset Pricing Model, Zero Returns, Bid-Ask Spread, Liquidity Costs

22.

Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?

Downloads 269 (195,582)
Citation 2

Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?

Number of pages: 46 Posted: 23 Mar 2007
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 156 (322,716)
Citation 1

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return predictability, economic value, model mis-specification, VAR, GARCH, seminonparametric model, model selection criteria

Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?

Number of pages: 49 Posted: 02 Mar 2007
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 113 (415,471)
Citation 1

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return predictability, economic value, model mis-specification, VAR, GARCH, seminonparametric model, model selection criteria

23.

Signed Option Trading and Stock Market Anomalies

Number of pages: 58 Posted: 24 Oct 2022
Yufeng Han, Dayong Huang and Xiao Xiao
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and City University London - Bayes Business School
Downloads 250 (211,179)

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Stock mispricing, signed volume, option trading

24.

Can an Investor Profit from Return Predictability in Real Time?

Number of pages: 36 Posted: 01 Dec 2004
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 245 (214,540)
Citation 2

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Return predictability, Economic value, Portfolio performance, nonlinearity

25.

How Does Financial Market Value Environmental Sustainability: Evidence from Granular Environmental Variables

Number of pages: 50 Posted: 05 Oct 2022 Last Revised: 15 Nov 2023
William O. Brown, Xiaoli Gao, Yufeng Han, Dayong Huang and Fang Wang
University of North Carolina (UNC) at Greensboro, University of North Carolina (UNC) at Greensboro, University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Central Washington University - College of Business
Downloads 237 (222,544)

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Environmental variables, machine learning, expected return, Scope 3 CO2 emissions, climate concerns

26.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility

Number of pages: 50 Posted: 18 Mar 2010
Yufeng Han and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance and Tulane University - A.B. Freeman School of Business
Downloads 226 (231,963)
Citation 3

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Cross-Sectional Return, Idiosyncratic Volatility, Zero Returns, Bid-Ask Spread

27.

There is a Positive Risk Premium for Idiosyncratic Volatility After All

Number of pages: 55 Posted: 27 Dec 2022 Last Revised: 04 Aug 2023
Yufeng Han and Weike Xu
University of North Carolina (UNC) at Charlotte - Finance and Clemson University - Department of Finance
Downloads 142 (348,096)

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Idiosyncratic volatility, Positive risk premium, LASSO, Determinants, Visibility

28.

Cost of Equity and State Uncertainty

Number of pages: 47 Posted: 16 Jun 2003
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 137 (357,897)

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29.

The Information Role of Liquidity Shock, Firm Fundamentals, and Long-Term Stock Value

Number of pages: 44 Posted: 05 Dec 2018
Yufeng Han and Zhaodan Huang
University of North Carolina (UNC) at Charlotte - Finance and Utica University
Downloads 96 (463,296)
Citation 1

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Liquidity Shock, Unanticipated changes in fundamentals, information uncertainty, short-run predictability, long-run predictability

30.

U.S. Monetary Policy Surprises and Mortgage Rates

Downloads 83 (507,313)

U.S. Monetary Policy Surprises and Mortgage Rates

46th Annual AREUEA Conference Paper
Number of pages: 61 Posted: 01 Dec 2010 Last Revised: 15 Apr 2011
Tracy Xu, Yufeng Han and Jian Yang
University of Denver, University of North Carolina (UNC) at Charlotte - Finance and University of Colorado at Denver - Business School
Downloads 83 (512,496)

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U.S. Monetary Policy Surprises and Mortgage Rates

Real Estate Economics, Forthcoming
Posted: 11 Aug 2011
Tracy Xu, Yufeng Han and Yang Jiang
University of Denver, University of North Carolina (UNC) at Charlotte - Finance and University of Groningen - Faculty of Economics and Business

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monetary policy, FOMC statements, asymmetry, mortgage rates, two-factor empirical specification

31.

Liquidity Shocks and the Firm Fundamentals

Number of pages: 54 Posted: 29 Jun 2022 Last Revised: 10 Oct 2022
Yufeng Han and Zhaodan Huang
University of North Carolina (UNC) at Charlotte - Finance and Utica University
Downloads 58 (620,632)

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Liquidity Shock, firm fundamentals, short-run predictability, capital investment, institutional ownership

32.

The Causal Impact of Short-sale Constraints on the Idiosyncratic Volatility Puzzle

Number of pages: 37 Posted: 12 Aug 2023
Yufeng Han, Angela Morgan, Jack G. Wolf and Weike Xu
University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance, Clemson University - Department of Finance and Clemson University - Department of Finance
Downloads 42 (707,729)

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Idiosyncratic volatility, Regulation SHO, JGTRRA, Short-sale Constraints