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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

17

DOWNLOADS
Rank 697

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Top 697

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26,072

CITATIONS
Rank 8,204

SSRN RANKINGS

Top 8,204

in Total Papers Citations

56

Scholarly Papers (17)

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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 - Olin School of Business
Downloads 7,653 (424)
Citation 5

Abstract:

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 4,265 (866)

Abstract:

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

3.

Market Intraday Momentum

Downloads 3,321 ( 2,245)

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 20 Jun 2017
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
Iowa State University, University of North Carolina (UNC) at Charlotte - Finance, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 3,218 (2,333)

Abstract:

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: 04 Aug 2015
Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou
Iowa State University, University of North Carolina (UNC) at Charlotte - Finance, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 103 (216,737)

Abstract:

Predictability, Intraday, Momentum, Economic Value

4.

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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 2,640 (1,477)

Abstract:

Momentum, crashes, downside risk, stop-loss orders

5.

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 990 (16,482)
Citation 1

Abstract:

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

6.

Anomalies Enhanced: A Dynamic Trading Strategy

Number of pages: 56 Posted: 01 Jul 2015 Last Revised: 20 Jun 2017
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 - Olin School of Business
Downloads 717 (27,608)

Abstract:

Anomaly, low frequency information, technical analysis

7.

Horses for Courses: Fund Managers and Organizational Structures

Downloads 484 ( 46,410)
Citation 5

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 188 (131,929)
Citation 5

Abstract:

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 167 (147,108)
Citation 5

Abstract:

Team Management, Fund Performance, Self Selection

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 129 (182,948)
Citation 5

Abstract:

Team Management, Fund Performance, Fund Holdings, Self Selection

8.

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Downloads 472 ( 47,883)
Citation 24

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 472 (47,339)
Citation 24

Abstract:

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:

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

9.

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 309 (62,051)
Citation 8

Abstract:

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

10.

Idiosyncratic Volatility and Liquidity Costs

Downloads 206 ( 84,383)
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 206 (120,944)
Citation 2

Abstract:

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

11.

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

Downloads 223 (112,183)

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 128 (184,071)

Abstract:

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 95 (229,306)

Abstract:

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

12.

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 214 (113,695)
Citation 2

Abstract:

Return predictability, Economic value, Portfolio performance, nonlinearity

13.

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 140 (161,366)
Citation 9

Abstract:

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

14.

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 122 (190,412)

Abstract:

15.

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 108 (112,681)

Abstract:

Commodity Futures, Moving Average, Timing, Predictability

16.

U.S. Monetary Policy Surprises and Mortgage Rates

Downloads 54 (313,235)

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 54 (317,882)

Abstract:

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

Abstract:

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

17.

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 (553,143)

Abstract:

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