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

8

DOWNLOADS

507

CITATIONS
Rank 45,045

SSRN RANKINGS

Top 45,045

in Total Papers Citations

3

Scholarly Papers (8)

1.

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 132 (211,901)

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Retrun predictability, Bayesian dynamic linear model, market efficiency

2.

Asset Price Bubbles in the Australian Market

CIFR Paper No. 119/2016
Number of pages: 154 Posted: 30 Aug 2016
The University of Sydney Business School, The University of Sydney, Business School, Discipline of Finance, University of Sydney - Discipline of Finance, University of Sydney Business School, 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 115 (235,124)

Abstract:

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Asset Price bubbles, Markets

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 90 (277,480)

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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 80 (298,294)

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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 60 (348,702)

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

6.

Run Length and the Predictability of Stock Price Reversals

Accounting and Finance, Vol. 45, No. 4, pp. 653-671, December 2005
Number of pages: 19 Posted: 03 Jan 2006
University of Sydney - Business School - Finance Discipline, University of Sydney - School of Business - Finance Discipline and University of Sydney - School of Business - Finance Discipline
Downloads 29 (461,278)
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Survival analysis, Stock market predictability, Runs, Duration dependence, Market efficiency

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 (632,947)
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8.

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

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consumer sentiment predictability, duration dependence, runs, survival analysis

Other Papers (2)

Total Downloads: 75    Citations: 0
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
UNSW Business School and University of Sydney - Business School - Finance Discipline
Downloads 48

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Earnings Responses, Chinese Stock Markets, Market Efficiency

2.

What Drives the Dispersion Effect: Investor Sentiment or Conditional Equity Premium?

30th Australasian Finance and Banking Conference 2017
Number of pages: 35 Posted: 17 Aug 2017 Last Revised: 22 Dec 2017
Discipline of Finance, Business School, University of Sydney, University of Neuchatel - Institute of Financial Analysis, University of Sydney Business School and University of Sydney - Business School - Finance Discipline
Downloads 27 (448,414)

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analyst forecast dispersion, conditional equity premium, market variance, average idiosyncratic variance, investor sentiment