Jianfeng Yu

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

23

DOWNLOADS
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SSRN RANKINGS

Top 1,635

in Total Papers Downloads

15,459

CITATIONS
Rank 5,080

SSRN RANKINGS

Top 5,080

in Total Papers Citations

102

Scholarly Papers (23)

1.
Downloads 4,716 ( 1,241)
Citation 35

The Short of It: Investor Sentiment and Anomalies

Journal of Financial Economics (JFE), Vol. 104, pp 288-302, May 2012, AFA 2012 Chicago Meetings Paper
Number of pages: 37 Posted: 15 Mar 2010 Last Revised: 11 Mar 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 4,631 (1,261)
Citation 35

Abstract:

Investor Sentiment, Anomaly, Short-sale Constraint

The Short of it: Investor Sentiment and Anomalies

NBER Working Paper No. w16898
Number of pages: 32 Posted: 28 Mar 2011
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 85 (248,372)
Citation 35

Abstract:

2.

Investor Sentiment and the Mean-Variance Relation

Journal of Financial Economics (JFE), Vol. 100, pp. 367-381, 2011
Number of pages: 47 Posted: 19 Nov 2005 Last Revised: 09 Mar 2011
Jianfeng Yu and Yu Yuan
Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 1,723 (5,702)
Citation 17

Abstract:

investor sentiment, mean-variance relation, volatility

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, Vol 70, pp 1903-1948, 2015
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 13 Sep 2015
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 1,627 (7,779)
Citation 2

Abstract:

arbitrage risk, idiosyncratic volatility puzzle, short-sale constraints, investor sentiment

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

NBER Working Paper No. w18560
Number of pages: 35 Posted: 22 Nov 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 9 (522,096)
Citation 2

Abstract:

4.

Investor Attention, Psychological Anchors, and Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 104, pp. 401-419, May 2012
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 20 Mar 2012
Jun Li and Jianfeng Yu
University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 1,049 (12,460)
Citation 3

Abstract:

Under-reaction, Over-reaction, Anchor, Behavioral Finance

The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Journal of Financial Economics (JFE) 114, December 2014, pp 613-619.
Number of pages: 15 Posted: 11 Jul 2012 Last Revised: 06 Nov 2014
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 489 (45,574)
Citation 1

Abstract:

investor sentiment, anomalies, spurious regressors

The Long of it: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

NBER Working Paper No. w18231
Number of pages: 13 Posted: 21 Jul 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 10 (516,664)
Citation 1

Abstract:

6.

Dissecting the Profitability Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 69 Posted: 21 Nov 2010 Last Revised: 08 Feb 2015
Huijun Wang and Jianfeng Yu
University of Delaware and Tsinghua University - PBC School of Finance
Downloads 492 (22,025)
Citation 5

Abstract:

profitability, anomaly, limit of arbitrage, information uncertainty, underreaction

7.

Government Investment and the Stock Market

Number of pages: 39 Posted: 19 Nov 2009 Last Revised: 04 Oct 2012
Frederico Belo and Jianfeng Yu
University of Minnesota and Tsinghua University - PBC School of Finance
Downloads 491 (38,754)
Citation 2

Abstract:

q-theory, public sector capital, return predictability

Uncertainty, Risk, and Incentives: Theory and Evidence

Sixth Singapore International Conference on Finance 2012 Paper
Number of pages: 38 Posted: 07 Nov 2010 Last Revised: 24 Feb 2013
Zhiguo He, Si Li, Bin Wei and Jianfeng Yu
University of Chicago - Booth School of Business, and NBER, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 312 (78,344)
Citation 2

Abstract:

executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off

Uncertainty, Risk, and Incentives: Theory and Evidence

Number of pages: 38 Posted: 17 Mar 2012 Last Revised: 24 Feb 2013
Zhiguo He, Si Li, Bin Wei and Jianfeng Yu
University of Chicago - Booth School of Business, and NBER, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 100 (222,896)
Citation 2

Abstract:

executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off

Uncertainty, Risk, and Incentives: Theory and Evidence

FEDS Working Paper No. 2013-18
Number of pages: 39 Posted: 09 Apr 2013
Zhiguo He, Si Li, Bin Wei and Jianfeng Yu
University of Chicago - Booth School of Business, and NBER, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Board - Capital Markets Section and Tsinghua University - PBC School of Finance
Downloads 66 (288,574)
Citation 2

Abstract:

Executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off

9.

An Empirical Assessment of Models of the Value Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 19 Jun 2011 Last Revised: 08 Apr 2014
Huijun Wang and Jianfeng Yu
University of Delaware and Tsinghua University - PBC School of Finance
Downloads 360 (49,813)

Abstract:

value premium, mispricing, limits to arbitrage, financial distress, default risk, profitability, duration, cash flow risk, operating leverage

10.
Downloads 342 ( 71,118)
Citation 18

Technological Growth and Asset Pricing

Journal of Finance, Forthcoming
Number of pages: 43 Posted: 07 Dec 2006 Last Revised: 17 May 2012
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 313 (78,085)
Citation 16

Abstract:

Production-based asset pricing, continuous-time methods, macro-finance, growth options, irreversible investment, technology adoption, vintage models

Technological Growth and Asset Pricing

NBER Working Paper No. w15340
Number of pages: 58 Posted: 15 Sep 2009
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 29 (410,216)
Citation 18

Abstract:

11.

Investor Sentiment and Economic Forces

Number of pages: 46 Posted: 25 Jan 2012 Last Revised: 18 Jul 2016
Junyan Shen, Jianfeng Yu and Shen Zhao
University of Minnesota - Twin Cities, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 331 (53,340)
Citation 4

Abstract:

macro risk, factor, investor sentiment, beta, factor-mimicking portfolio

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

PBCSF-NIFR Research Paper No. 15-04
Number of pages: 61 Posted: 28 Jul 2015 Last Revised: 25 Jan 2017
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, University of Delaware, Dallas Fed and Tsinghua University - PBC School of Finance
Downloads 247 (101,412)

Abstract:

prospect theory, lottery, reference point, skewness, default, failure probability, capital gains overhang

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

Globalization and Monetary Policy Institute Working Paper No. 259
Number of pages: 52 Posted: 28 Jan 2016
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, University of Delaware, Federal Reserve Bank of Dallas and Tsinghua University - PBC School of Finance
Downloads 54 (320,072)

Abstract:

13.
Downloads 278 ( 89,780)
Citation 1

Optimal Long-Term Contracting with Learning

Chicago Booth Research Paper No. 12-36, Fama-Miller Working Paper
Number of pages: 58 Posted: 25 Jan 2012 Last Revised: 09 Oct 2016
Zhiguo He, Bin Wei, Jianfeng Yu and Feng Gao
University of Chicago - Booth School of Business, and NBER, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 235 (106,781)
Citation 1

Abstract:

Executive Compensation, Moral Hazard, Bayesian Learning, Hidden Information, Belief Manipulation, Private Savings, Continuous Time, Stock Options

Optimal Long-Term Contracting with Learning

FRB Atlanta Working Paper No. 2016-10
Number of pages: 58 Posted: 10 Nov 2016
Zhiguo He, Bin Wei, Jianfeng Yu and Feng Gao
University of Chicago - Booth School of Business, and NBER, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 43 (354,630)
Citation 1

Abstract:

executive compensation, moral hazard, Bayesian learning, hidden information, belief manipulation, private savings, continuous time, stock options

14.

A Sentiment-Based Explanation of the Forward Premium Puzzle

Journal of Monetary Economics, Vol. 60, 2013
Number of pages: 51 Posted: 21 Dec 2009 Last Revised: 25 Sep 2015
Jianfeng Yu
Tsinghua University - PBC School of Finance
Downloads 271 (72,832)
Citation 5

Abstract:

investor sentiment, forward premium puzzle, long-run risk, Backus-Smith puzzle

15.

Reference-Dependent Preferences and the Risk-Return Trade-Off

Number of pages: 56 Posted: 30 May 2012 Last Revised: 17 Jun 2016
Huijun Wang, Jinghua Yan and Jianfeng Yu
University of Delaware, SAC Capital Advisors and Tsinghua University - PBC School of Finance
Downloads 259 (66,117)

Abstract:

Prospect theory, Risk-return trade-off, Risk, Uncertainty, Capital gains overhang

16.

Asset Pricing in Production Economies with Extrapolative Expectations

Journal of Monetary Economics, Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2011 Last Revised: 25 Sep 2015
David A. Hirshleifer, Jun Li and Jianfeng Yu
University of California, Irvine - Paul Merage School of Business, University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 214 (83,674)
Citation 3

Abstract:

Extrapolation, long-run risk, production-based model, recursive preferences

17.

Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models

Review of Economic Dynamics, Forthcoming
Number of pages: 47 Posted: 14 Mar 2009 Last Revised: 17 May 2012
Jianfeng Yu
Tsinghua University - PBC School of Finance
Downloads 187 (133,683)
Citation 4

Abstract:

Long-run risk, habit-formation, forward-looking, long-run correlation

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

Chicago Booth Research Paper No. 15-29, Fama-Miller Working Paper
Number of pages: 69 Posted: 20 Aug 2013 Last Revised: 09 Oct 2015
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 155 (158,112)

Abstract:

Financial frictions, Market fragmentation, Leverage, Crashes, Contagion

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

NBER Working Paper No. w19381
Number of pages: 62 Posted: 30 Aug 2013
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 8 (527,435)

Abstract:

19.

Short- and Long-Run Business Conditions and Expected Returns

Number of pages: 46 Posted: 14 Jan 2014 Last Revised: 20 May 2014
Qi Liu, Libin Tao, Weixing Wu and Jianfeng Yu
Peking University - Department of Finance, University of International Business and Economics - School of Banking and Finance, University of International Business and Economics (UIBE) and Tsinghua University - PBC School of Finance
Downloads 82 (195,416)

Abstract:

business condition, expected stock return, business cycle, long-run, short-run

20.

Impediments to Financial Trade: Theory and Measurement

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-35
Number of pages: 64 Posted: 15 Aug 2015
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 21 (280,681)

Abstract:

Financial frictions, Asset Pricing, Inefficient Markets, Performance Evaluation, Crossborder

21.

Aggregate Expected Investment Growth and Stock Market Returns

Number of pages: 45 Posted: 22 May 2017 Last Revised: 01 Jun 2017
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, University of Delaware and Tsinghua University - PBC School of Finance
Downloads 0 (278,461)

Abstract:

Aggregate investment plans, market return predictability

22.

Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements

Number of pages: 48 Posted: 08 Dec 2016 Last Revised: 21 Dec 2016
Huijun Wang, Jianfeng Yu and Shen Zhao
University of Delaware, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 0 (203,025)

Abstract:

Speculation, lottery, earnings announcements, skewness

23.

Impediments to Financial Trade: Theory and Applications

NBER Working Paper No. w22697
Number of pages: 45 Posted: 03 Oct 2016
University of California, Berkeley - Haas School of Business, University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 0 (500,265)

Abstract: