Yufeng Han

University of North Carolina (UNC) at Charlotte - Finance

Associate Professor in Finance

9201 University City Boulevard

Charlotte, NC 28223

United States

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 621

SSRN RANKINGS

Top 621

in Total Papers Downloads

33,526

CITATIONS
Rank 8,290

SSRN RANKINGS

Top 8,290

in Total Papers Citations

55

Scholarly Papers (22)

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 9,271 (490)
Citation 4

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.

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 6,780 (845)

Abstract:

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

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 5,759 (1,130)

Abstract:

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Momentum, crashes, downside risk, stop-loss orders

4.
Downloads 5,443 ( 1,242)

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 20 Jun 2017
Iowa State 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 5,021 (1,410)

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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
Iowa State 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 422 (66,335)

Abstract:

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Predictability, Intraday, Momentum, Economic Value

5.

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 1,069 (19,049)

Abstract:

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Anomaly, low frequency information, volatility timing, technical analysis

6.

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 1,033 (20,005)
Citation 1

Abstract:

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

7.

What Firm Characteristics Drive US Stock Returns?

Number of pages: 62 Posted: 13 Jun 2018 Last Revised: 18 Oct 2018
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Department of Finance, Goizueta Business School, Emory University, Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 828 (27,671)

Abstract:

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Firm characteristics, Cross-sectional expected stock returns, Combination forecast, Machine learning, Forecast encompassing

Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 59 Posted: 08 Mar 2008
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 214 (138,876)
Citation 5

Abstract:

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Horses for Courses: Fund Managers and Organizational Structures

Second Singapore International Conference on Finance 2008
Number of pages: 59 Posted: 04 Mar 2008
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 173 (169,369)
Citation 5

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Team Management, Fund Performance, Self Selection

Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 58 Posted: 20 Mar 2012
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 147 (194,788)
Citation 5

Abstract:

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Team Management, Fund Performance, Fund Holdings, Self Selection

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

AFA 2003 Washington, DC Meetings
Number of pages: 41 Posted: 17 Oct 2002
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 497 (53,779)
Citation 24

Abstract:

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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

Abstract:

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

10.

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 428 (65,497)
Citation 8

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

11.

Volume and Return: Fuel of Mispricing

Number of pages: 67 Posted: 16 May 2018 Last Revised: 08 Mar 2019
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 395 (72,485)

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

12.
Downloads 217 ( 96,698)
Citation 2

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 217 (137,056)
Citation 2

Abstract:

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

13.

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 299 (98,783)

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Commodity Futures, Moving Average, Timing, Predictability

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 138 (205,093)

Abstract:

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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 99 (262,905)

Abstract:

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

15.

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 223 (133,849)
Citation 2

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Return predictability, Economic value, Portfolio performance, nonlinearity

16.

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 159 (182,055)
Citation 9

Abstract:

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

17.

Momentum, Reversal, and the Firm Fundamental Cycle

Number of pages: 54 Posted: 12 Nov 2018 Last Revised: 20 Nov 2018
University of North Carolina (UNC) at Charlotte - Finance, Utica College, 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 145 (196,522)

Abstract:

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Momentum, Reversal, Firm Fundamental Cycles, PLS, PCA

18.

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 126 (219,698)

Abstract:

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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 56 (366,169)

Abstract:

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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

20.

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 College
Downloads 27 (471,426)

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

21.

U.S. Monetary Policy Surprises and Mortgage Rates

Real Estate Economics, Vol. 40, Issue 3, pp. 461-507, 2012
Number of pages: 47 Posted: 25 Aug 2012
Pisun Xu, Yufeng Han and Jian Yang
affiliation not provided to SSRN, University of North Carolina (UNC) at Charlotte - Finance and University of Colorado at Denver - Business School
Downloads 0 (650,903)
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22.

Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Returns

Number of pages: 38
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
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Total skewness; Idiosyncratic skewness; Coskewness; Commodity futures return