Juan Yao

University of Sydney - Business School - Finance Discipline

P.O. Box H58

Sydney, NSW 2006

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

9

DOWNLOADS

620

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016
Number of pages: 154 Posted: 30 Aug 2016
University of Oxford, University of Iowa - Department of Finance, University of Sydney - Discipline of FinanceThe University of Sydney - Discipline of Finance, Macquarie University, University of Cambridge - Faculty of Economics and Politics, University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Sydney - Business School - Finance Discipline
Downloads 155 (262,731)

Abstract:

Loading...

Asset Price bubbles, Markets

2.

Maximum Predictability of Australian Industry Stock Returns

Number of pages: 35 Posted: 28 Feb 2005
Juan Yao
University of Sydney - Business School - Finance Discipline
Downloads 140 (284,823)

Abstract:

Loading...

Retrun predictability, Bayesian dynamic linear model, market efficiency

3.

Evaluating and Predicting the Failure Probabilities of Hedge Funds

Number of pages: 34 Posted: 18 Jul 2014
Hee Soo Lee and Juan Yao
Yonsei University - School of Business and University of Sydney - Business School - Finance Discipline
Downloads 101 (359,683)

Abstract:

Loading...

Hedge fund; failure probability prediction; proportional hazard model; logit model; signal detection model; relative operating characteristic curve

4.

Evaluating the Performance of Hedge Funds Using Two-Stage Peer Group Benchmarks

Number of pages: 34 Posted: 18 Jul 2014
University of Augsburg, University of Sydney - Business School - Finance Discipline, University of Tasmania and University of Augsburg
Downloads 91 (384,172)

Abstract:

Loading...

Hedge Funds, Performance Measurement, Factor Models, Peer Group Benchmarks

5.

The Semi-Parametric Examination of Industry Risk: The Australian Evidence

Number of pages: 27 Posted: 16 Feb 2009
Juan Yao
University of Sydney - Business School - Finance Discipline
Downloads 67 (456,935)

Abstract:

Loading...

Non-parametric approach, Time-varying beta, Industry Risk Analysis, Time-Varying Model

6.

Trading Skills of Mutual Fund Managers: Evidence Based on Daily Transactions

Number of pages: 57 Posted: 22 Jul 2020 Last Revised: 10 Feb 2022
University of Augsburg - Department of Finance and Banking, University of Sydney Business School, University of Augsburg and University of Sydney - Business School - Finance Discipline
Downloads 65 (463,922)

Abstract:

Loading...

Mutual funds, trading, performance, manager skill

7.

Semiā€Parametric Examination of Industry Risk: The Australian Evidence

Australian Economic Papers, Vol. 51, Issue 4, pp. 228-246, 2012
Number of pages: 19 Posted: 28 Nov 2012
Juan Yao
University of Sydney - Business School - Finance Discipline
Downloads 1 (888,791)

Abstract:

Loading...

8.

Testing Price Bubbles in Australian Listed Equities and A-REIT Markets

The Australasian Journal of Applied Finance, Issue 3(Article 2): 9-16, 2019
Posted: 01 Jun 2020
University of Oxford, University of Sydney - Discipline of FinanceThe University of Sydney - Discipline of Finance, The University of Sydney, The University of Sydney - Discipline of Finance, University of Sydney Business School and University of Sydney - Business School - Finance Discipline

Abstract:

Loading...

Price Bubbles, Financial Stability, A-REIT Markets, Detection Methodologies

9.

Predicting the Directional Change in Consumer Sentiment

Australian Journal of Management, Vol. 38, No. 1, 2013
Posted: 19 Apr 2013
University of Sydney - Business School - Finance Discipline, University of Sydney - School of Business - Finance Discipline and University of Sydney - School of Business - Finance Discipline

Abstract:

Loading...

consumer sentiment predictability, duration dependence, runs, survival analysis

Other Papers (1)

Total Downloads: 51
1.

Investor Responses to Earnings Announcements - a Comparison of Chinese A and B Stock Markets

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 25 Posted: 27 Aug 2007
Carole Comerton-Forde and Juan Yao
University of Melbourne - Department of Finance and University of Sydney - Business School - Finance Discipline
Downloads 51

Abstract:

Loading...

Earnings Responses, Chinese Stock Markets, Market Efficiency