Jianfeng Yu

Tsinghua University - PBC School of Finance

No. 43, Chengfu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 1,580

SSRN RANKINGS

Top 1,580

in Total Papers Downloads

27,818

SSRN CITATIONS
Rank 812

SSRN RANKINGS

Top 812

in Total Papers Citations

705

CROSSREF CITATIONS

632

Scholarly Papers (34)

1.
Downloads 6,237 ( 1,777)
Citation 284

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 Mingshi Investment Company
Downloads 6,094 (1,825)
Citation 79

Abstract:

Loading...

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 Last Revised: 04 Sep 2022
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 143 (293,729)
Citation 62

Abstract:

Loading...

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, Vol 70, pp 1903-1948, 2015, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 02 Sep 2020
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 3,402 (4,926)
Citation 73

Abstract:

Loading...

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 Last Revised: 20 Mar 2022
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 40 (612,371)
Citation 44

Abstract:

Loading...

3.

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 Mingshi Investment Company
Downloads 2,411 (8,750)
Citation 25

Abstract:

Loading...

investor sentiment, mean-variance relation, volatility

4.

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
Auburn University and Tsinghua University - PBC School of Finance
Downloads 1,644 (16,202)
Citation 24

Abstract:

Loading...

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

5.

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 1,515 (18,296)
Citation 14

Abstract:

Loading...

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

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

PBCSF-NIFR Research Paper No. 15-04
Number of pages: 71 Posted: 28 Jul 2015 Last Revised: 31 Jul 2018
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 925 (37,087)
Citation 16

Abstract:

Loading...

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, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 99 (383,869)
Citation 4

Abstract:

Loading...

7.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 1,002 (33,566)
Citation 3

Abstract:

Loading...

Factor, Beta, Characteristics, Performance Evaluation, Anomalies

8.

Similar Stocks

Number of pages: 46 Posted: 01 Apr 2021 Last Revised: 22 Jun 2021
Wei He, Yuehan Wang and Jianfeng Yu
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Tsinghua University, PBC School of Finance, Students and Tsinghua University - PBC School of Finance
Downloads 801 (45,746)

Abstract:

Loading...

Similarity, Style Investing, Mispricing

9.

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

PBCSF-NIFR Research Paper
Number of pages: 81 Posted: 08 Dec 2016 Last Revised: 29 Oct 2020
Bibo Liu, Huijun Wang, Jianfeng Yu and Shen Zhao
Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 750 (50,001)
Citation 1

Abstract:

Loading...

speculation, lottery, earnings announcements, skewness

10.

Government Investment and the Stock Market

Number of pages: 39 Posted: 19 Nov 2009 Last Revised: 04 Oct 2012
Frederico Belo and Jianfeng Yu
INSEAD and Tsinghua University - PBC School of Finance
Downloads 669 (58,051)
Citation 20

Abstract:

Loading...

q-theory, public sector capital, return predictability

11.

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
Auburn University and Tsinghua University - PBC School of Finance
Downloads 653 (59,925)

Abstract:

Loading...

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

Aggregate Expected Investment Growth and Stock Market Returns

Asian Finance Association (AsianFA) 2018 Conference, 29th Annual Conference on Financial Economics & Accounting 2018, PBCSF-NIFR Research Paper, Journal of Monetary Economics, Forthcoming
Number of pages: 61 Posted: 22 May 2017 Last Revised: 29 Oct 2020
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, Auburn University and Tsinghua University - PBC School of Finance
Downloads 518 (79,396)
Citation 4

Abstract:

Loading...

investment plan, investment lags, time-varying risk premium, investor sentiment, stock market prediction

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 Mingshi Investment Company
Downloads 622 (62,996)

Abstract:

Loading...

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 Last Revised: 26 Oct 2022
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 24 (725,021)
Citation 13

Abstract:

Loading...

14.

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
Iowa State University - Department of Finance, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 625 (63,389)
Citation 24

Abstract:

Loading...

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

15.
Downloads 559 ( 72,994)
Citation 3

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 - Finance, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 348 (126,345)

Abstract:

Loading...

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 - Finance, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 120 (335,682)

Abstract:

Loading...

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 - Finance, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 91 (405,286)
Citation 3

Abstract:

Loading...

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

16.

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
Auburn University, SAC Capital Advisors and Tsinghua University - PBC School of Finance
Downloads 555 (73,665)
Citation 18

Abstract:

Loading...

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

17.

Attention Spillover in Asset Pricing

Number of pages: 88 Posted: 04 Dec 2020 Last Revised: 29 Jun 2022
Xin Chen, Li An, Jianfeng Yu and Zhengwei Wang
Shenzhen University - Shenzhen Audencia Business School, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 441 (97,160)

Abstract:

Loading...

limited attention, overconfidence, attention spillover, price impact, return predictability

18.

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 435 (98,759)
Citation 14

Abstract:

Loading...

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

19.

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
Marshall School of Business, USC, University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 419 (103,205)
Citation 51

Abstract:

Loading...

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

20.
Downloads 386 (113,386)
Citation 27

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 California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 341 (129,293)
Citation 26

Abstract:

Loading...

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 Last Revised: 02 Jun 2022
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 45 (584,041)

Abstract:

Loading...

21.

Time Variation in Extrapolation and Anomalies

PBCSF-NIFR Research Paper
Number of pages: 49 Posted: 23 Apr 2020 Last Revised: 22 Jun 2021
Wei He, Yuehan Wang and Jianfeng Yu
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Tsinghua University, PBC School of Finance, Students and Tsinghua University - PBC School of Finance
Downloads 374 (117,469)

Abstract:

Loading...

Extrapolation, Overreaction, Underreaction, Mispricing, Factor

22.
Downloads 369 (119,262)
Citation 20

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 - Finance, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 300 (148,099)
Citation 7

Abstract:

Loading...

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 Last Revised: 30 Aug 2017
Zhiguo He, Bin Wei, Jianfeng Yu and Feng Gao
University of Chicago - Finance, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 69 (476,937)
Citation 10

Abstract:

Loading...

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

23.

Extrapolative Market Participation

Number of pages: 69 Posted: 21 Apr 2021 Last Revised: 28 Jun 2022
Wanbin Pan, Zhiwei Su, Huijun Wang and Jianfeng Yu
School of Management, University of Science and Technology of China, University of Macau, Auburn University and Tsinghua University - PBC School of Finance
Downloads 367 (119,999)

Abstract:

Loading...

Extrapolation, Factor, Momentum, Participation

24.

Investor Sentiment and the Pricing of Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 349 (126,775)

Abstract:

Loading...

Factor beta, Investor sentiment, Mispricing, Risk

25.

Extrapolation and Risk-Return Trade-offs

Number of pages: 59 Posted: 08 Mar 2022 Last Revised: 21 Nov 2022
Qi Liu, Zhiwei Su, Huijun Wang and Jianfeng Yu
Peking University - Department of Finance, University of Macau, Auburn University and Tsinghua University - PBC School of Finance
Downloads 233 (191,551)

Abstract:

Loading...

Behavioral finance, Extrapolation, Risk-return trade-off, Sentiment

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 California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 218 (203,600)

Abstract:

Loading...

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 Last Revised: 17 Jun 2022
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 15 (807,918)
Citation 6

Abstract:

Loading...

27.

Priming and Stock Preferences: Evidence From IPO Lotteries

PBCSF-NIFR Research Paper
Number of pages: 53 Posted: 15 Jan 2020 Last Revised: 22 Jun 2021
Conghui Hu, Yu-Jane Liu, Xin Xu and Jianfeng Yu
Beijing Normal University, Business School, Peking University - Guanghua School of Management, Guangdong University of Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 218 (203,940)

Abstract:

Loading...

priming, preferences, lottery, IPO

28.

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 213 (208,463)
Citation 7

Abstract:

Loading...

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

29.

Attention and Underreaction-Related Anomalies

Management Science, Forthcoming.
Number of pages: 85 Posted: 26 May 2020 Last Revised: 22 Jun 2022
Xin Chen, Wei He, Libin Tao and Jianfeng Yu
Shenzhen University - Shenzhen Audencia Business School, Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), University of International Business and Economics - School of Banking and Finance and Tsinghua University - PBC School of Finance
Downloads 211 (210,253)

Abstract:

Loading...

Factors, Underreaction, Inattention, Mispricing, Risk

30.

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 179 (243,313)

Abstract:

Loading...

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

31.

Macroeconomic Perceptions and Anomalies

Number of pages: 57 Posted: 09 Feb 2022 Last Revised: 19 Oct 2022
Wei He, Zhiwei Su and Jianfeng Yu
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), University of Macau and Tsinghua University - PBC School of Finance
Downloads 147 (286,486)

Abstract:

Loading...

Anomalies, Expectation, Financial Constraint, Macroeconomics, Overreaction

32.

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 California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 121 (332,156)

Abstract:

Loading...

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

33.

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

Number of pages: 51 Posted: 29 Jul 2015 Last Revised: 13 Feb 2019
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 41 (593,571)

Abstract:

Loading...

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

34.

Impediments to Financial Trade: Theory and Applications

NBER Working Paper No. w22697
Number of pages: 45 Posted: 03 Oct 2016 Last Revised: 09 Jul 2022
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 31 (652,781)
Citation 3

Abstract:

Loading...