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

17

DOWNLOADS
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27,510

CITATIONS
Rank 8,215

SSRN RANKINGS

Top 8,215

in Total Papers Citations

56

Scholarly Papers (17)

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 (438)
Citation 5

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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 - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 4,265 (857)

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

3.
Downloads 3,840 ( 1,842)

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, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 3,712 (1,914)

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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: 04 Aug 2015
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 128 (191,068)

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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 (1,372)

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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 (17,183)
Citation 1

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

6.

Anomalies Enhanced: A Dynamic Trading Strategy

Asian Finance Association (AsianFA) 2017 Conference
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 837 (23,165)

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Anomaly, low frequency information, technical analysis

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 192 (134,424)
Citation 5

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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 168 (151,896)
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 130 (188,694)
Citation 5

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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 479 (48,405)
Citation 24

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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

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 (63,864)
Citation 8

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

10.
Downloads 207 ( 87,592)
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 207 (125,086)
Citation 2

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

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 130 (188,694)

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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 95 (237,896)

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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 (117,660)
Citation 2

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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 (166,502)
Citation 9

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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 (196,455)

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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 (107,003)

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Commodity Futures, Moving Average, Timing, Predictability

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 (329,395)

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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

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 (573,256)
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