Yufeng Han

UNCC

Associate Professor in Finance

9201 University City Boulevard

Charlotte, NC 28223

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 701

SSRN RANKINGS

Top 701

in Total Papers Downloads

25,625

CITATIONS
Rank 8,199

SSRN RANKINGS

Top 8,199

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
UNCC, Washington University in St. Louis and Washington University in St. Louis - Olin School of Business
Downloads 7,653 (417)
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
UNCC, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 4,265 (881)

Abstract:

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

3.
Downloads 3,191 ( 2,362)

Market Intraday Momentum

Number of pages: 58 Posted: 24 May 2014 Last Revised: 09 Apr 2017
Iowa State University, UNCC, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 3,096 (2,444)

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
Iowa State University, UNCC, Michigan State University and Washington University in St. Louis - Olin School of Business
Downloads 95 (225,855)

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
UNCC, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 2,640 (1,500)

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
UNCC
Downloads 990 (16,212)
Citation 1

Abstract:

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

6.

Anomalies Enhanced: The Value of Higher Frequency Information

Number of pages: 56 Posted: 01 Jul 2015 Last Revised: 10 Feb 2017
Yufeng Han, Dayong Huang and Guofu Zhou
UNCC, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - Olin School of Business
Downloads 694 (28,287)

Abstract:

Anomaly, low frequency information, technical analysis

Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 59 Posted: 08 Mar 2008
UNCC, University of Oxford - Said Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 186 (131,932)
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
UNCC, University of Texas at Dallas - Naveen Jindal School of Management and University of Oxford - Said Business School
Downloads 167 (144,893)
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
UNCC, University of Oxford - Said Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 127 (182,423)
Citation 5

Abstract:

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
UNCC
Downloads 470 (46,836)
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
UNCC

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
UNCC, Wuhan University - School of Economics and Management and Tulane University - A.B. Freeman School of Business
Downloads 309 (61,957)
Citation 8

Abstract:

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

10.
Downloads 203 ( 83,979)
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 UNCC
Downloads 203 (120,781)
Citation 2

Abstract:

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

Downloads 128 (181,305)

Abstract:

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

Downloads 95 (225,855)

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
UNCC
Downloads 214 (112,467)
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
UNCC and Tulane University - A.B. Freeman School of Business
Downloads 140 (159,884)
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
UNCC
Downloads 122 (187,487)

Abstract:

15.

Are There Exploitable Trends in Commodity Future Prices?

Number of pages: 51 Posted: 16 Feb 2015
Yufeng Han and Ting Hu
UNCC and Wuhan University - School of Economics and Management
Downloads 108 (114,014)

Abstract:

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, UNCC and University of Colorado at Denver - Business School
Downloads 54 (313,085)

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, UNCC 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, UNCC and University of Colorado at Denver - Business School
Downloads 0 (544,096)
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Abstract: