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

25

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41,157

SSRN CITATIONS
Rank 6,483

SSRN RANKINGS

Top 6,483

in Total Papers Citations

127

CROSSREF CITATIONS

74

Scholarly Papers (25)

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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 - John M. Olin Business School
Downloads 9,784 (608)
Citation 15

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.

Market Intraday Momentum

Downloads 7,694 ( 915)
Citation 21

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 Jan 2020
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 6,947 (1,092)
Citation 14

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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
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 747 (39,925)

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Predictability, Intraday, Momentum, Economic Value

3.

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 7,389 (985)
Citation 21

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

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 - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 7,360 (993)
Citation 2

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Momentum, crashes, downside risk, stop-loss orders

5.

Firm Characteristics and Expected Stock Returns

Number of pages: 59 Posted: 13 Jun 2018 Last Revised: 11 Sep 2020
Yufeng Han, Ai He, David Rapach and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,618 (12,981)
Citation 41

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Cross-sectional expected stock returns, Characteristic premia, Shrinkage, LASSO, Forecast combination, Forecast encompassing

6.

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 1,285 (18,526)

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Anomaly, low frequency information, volatility timing, technical analysis

7.

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 1,072 (24,287)
Citation 1

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

8.

Expected Return, Volume, and Mispricing

Number of pages: 73 Posted: 16 May 2018 Last Revised: 19 Aug 2020
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 799 (36,809)
Citation 2

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

9.

Horses for Courses: Fund Managers and Organizational Structures

Downloads 586 ( 55,693)
Citation 8

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 231 (158,557)
Citation 3

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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
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 181 (199,175)
Citation 2

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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
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 174 (206,250)
Citation 4

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Team Management, Fund Performance, Fund Holdings, Self Selection

10.

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Downloads 524 ( 63,948)

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Number of pages: 41 Posted: 17 Oct 2002
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 524 (63,279)
Citation 34

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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

11.

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 459 (75,372)
Citation 18

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

12.

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 340 (106,588)
Citation 3

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Commodity Futures, Moving Average, Timing, Predictability

13.

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 319 (114,329)

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Momentum, Reversal, Firm Fundamental Cycles, PLS, PCA

14.

Idiosyncratic Volatility and Liquidity Costs

Downloads 221 (117,857)

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 221 (165,557)

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

15.

Idiosyncratic Skewness of Commodity Futures Returns

Number of pages: 36 Posted: 07 Jun 2019 Last Revised: 28 May 2020
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 254 (144,973)
Citation 2

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Idiosyncratic skewness; Cross section; Commodity futures returns; IE

16.

The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps?

Number of pages: 62 Posted: 24 Sep 2019 Last Revised: 10 Feb 2020
Yufeng Han, Fang Liu and Xiaoxiao Tang
University of North Carolina (UNC) at Charlotte - Finance, Cornell University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 253 (145,575)

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Options, Implied Volatility, Jumps, PLS, Predictability

17.

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

Downloads 248 (148,487)
Citation 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 142 (244,923)
Citation 1

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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 106 (304,925)
Citation 1

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

18.

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 228 (161,033)
Citation 2

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Return predictability, Economic value, Portfolio performance, nonlinearity

19.

Mispricing and Anomalies: An Exogenous Shock to Short Selling from the Dividend Tax Law Change

Number of pages: 74 Posted: 07 Dec 2020 Last Revised: 21 Apr 2021
Yufeng Han, Yueliang (Jacques) Lu, Weike Xu and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 188 (192,684)

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Exogenous Short-Selling Shock; Mispricing; Anomalies; Market Efficiency; Dividend Taxation; Difference-in-Differences

20.

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 168 (212,378)

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

21.

The Serial Dependence of the Commodity Futures Returns: A Machine Learning Approach

Number of pages: 53 Posted: 08 Mar 2020 Last Revised: 17 Aug 2020
Yufeng Han and Lingfei Kong
University of North Carolina (UNC) at Charlotte - Finance and University of North Carolina at Charlotte
Downloads 131 (260,184)

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Commodity Futures, LASSO, Machine Learning, Predictability, Serial Dependence, Financialization, Comovement

22.

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 127 (266,257)

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23.

U.S. Monetary Policy Surprises and Mortgage Rates

Downloads 58 (429,187)

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 58 (435,583)

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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

24.

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 52 (451,118)
Citation 1

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

25.

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 (780,600)
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