Author Page for Yufeng Han

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

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012

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

Abstract:

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:

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)

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4.

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, 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)

Abstract:

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

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:

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:

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:

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)

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8.

Horses for Courses: Fund Managers and Organizational Structures

Downloads 534 ( 49,718)

Citation 5

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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 214 (138,876)

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 173 (169,369)

Citation 5

Abstract:

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 147 (194,788)

Citation 5

Abstract:

9.

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Downloads 497 ( 54,401)

Citation 24

2

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:

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:

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

Abstract:

11.

Volume and Return: Fuel of Mispricing

Number of pages: 67 Posted: 16 May 2018 Last Revised: 08 Mar 2019

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 395 (72,485)

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12.

Idiosyncratic Volatility and Liquidity Costs

Downloads 217 ( 96,698)

Citation 2

1

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:

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)

Abstract:

14.

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

Downloads 237 (126,024)

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 138 (205,093)

Abstract:

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:

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

Abstract:

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:

17.

Momentum, Reversal, and the Firm Fundamental Cycle

Number of pages: 54 Posted: 12 Nov 2018 Last Revised: 20 Nov 2018

Yufeng Han, Zhaodan Huang, Weidong Tian and Guofu Zhou

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:

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:

19.

U.S. Monetary Policy Surprises and Mortgage Rates

Downloads 56 (360,756)

2

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:

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:

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)

Abstract:

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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Abstract:

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

Downloads 0

Yufeng Han

University of North Carolina (UNC) at Charlotte - Finance

Associate Professor in Finance

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Scholarly Papers (22)

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U.S. Monetary Policy Surprises and Mortgage Rates

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