Yi Tang

Fordham University - Gabelli School of Business

113 West 60th Street

New York, NY 10023

United States

SCHOLARLY PAPERS

24

DOWNLOADS
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Top 1,922

in Total Papers Downloads

16,492

CITATIONS
Rank 9,905

SSRN RANKINGS

Top 9,905

in Total Papers Citations

79

Scholarly Papers (24)

1.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 2,436 (5,123)
Citation 7

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Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business
Downloads 1,320 (13,817)
Citation 6

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Georgetown McDonough School of Business Research Paper 2012-16
Number of pages: 56 Posted: 24 Jul 2012 Last Revised: 15 Apr 2016
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business
Downloads 514 (52,520)
Citation 13

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

3.
Downloads 1,545 ( 10,983)
Citation 5

Liquidity Shocks and Stock Market Reactions

Fordham University Schools of Business Research Paper No. 2020476
Number of pages: 108 Posted: 13 Mar 2012 Last Revised: 22 Sep 2013
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley University and Fordham University - Gabelli School of Business
Downloads 1,157 (16,951)
Citation 1

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Expected stock returns, liquidity, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Georgetown McDonough School of Business Research Paper No. 2012-02
Number of pages: 108 Posted: 10 May 2012 Last Revised: 26 Aug 2013
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley University and Fordham University - Gabelli School of Business
Downloads 259 (116,577)

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Number of pages: 108 Posted: 15 Mar 2012 Last Revised: 26 Aug 2013
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Bentley University and Fordham University - Gabelli School of Business
Downloads 129 (220,203)

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

4.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,122 (18,107)
Citation 3

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Economic uncertainty, uncertainty aversion, cross-section of stock returns, ICAPM, return predictability.

Unusual News Events and the Cross-Section of Stock Returns

Number of pages: 66 Posted: 18 Mar 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 607 (42,427)
Citation 4

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unusual news events, volatility shocks, differences of opinion

Unusual News Events and the Cross-Section of Stock Returns

UC Davis Graduate School of Management Research Paper No. 10-09
Number of pages: 66 Posted: 27 Jan 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 446 (62,817)
Citation 4

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idiosyncratic volatility shocks, unusual news events, divergence of opinion

6.

Disagreement in Economic Forecasts and Equity Returns: Risk or Mispricing?

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 63 Posted: 12 Mar 2014 Last Revised: 04 Aug 2019
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,019 (20,904)
Citation 2

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dispersion in economic forecasts, mispricing, disagreement risk, cross-section of stock returns, return predictability

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Number of pages: 85 Posted: 12 Jun 2010 Last Revised: 07 Jul 2012
Linda Allen, Turan G. Bali and Yi Tang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 759 (31,303)
Citation 6

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Georgetown McDonough School of Business Research Paper No. 1993312
Number of pages: 85 Posted: 30 Jan 2012 Last Revised: 14 Jul 2015
Turan G. Bali, Linda Allen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 206 (146,540)
Citation 4

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

8.

Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR

Number of pages: 31 Posted: 06 Sep 2006
Turan G. Bali, Henry Mo and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Credit Suisse - Fixed Income Division and Fordham University - Gabelli School of Business
Downloads 869 (26,321)
Citation 1

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conditional value at risk, GARCH, skewed generalized t distribution, conditional skewness and kurtosis

9.
Downloads 504 ( 34,863)
Citation 4

Time-Varying Sharpe Ratios and Market Timing

Number of pages: 30 Posted: 06 Oct 2011
Yi Tang and Robert Whitelaw
Fordham University - Gabelli School of Business and New York University
Downloads 504 (53,820)

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Sharpe ratio, predictability, stock market

10.
Downloads 702 ( 35,309)
Citation 5

The Role of Banks in Dividend Policy

Number of pages: 37 Posted: 13 Aug 2009 Last Revised: 04 Aug 2011
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Pace University - Lubin School of Business - Department of Finance and Economics, New York University - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 467 (59,324)
Citation 5

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dividend, bank lending intensity, monitoring, corporate governance

The Role of Banks in Dividend Policy

NYU Working Paper No. FIN-09-005
Number of pages: 31 Posted: 08 Sep 2009
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Pace University - Lubin School of Business - Department of Finance and Economics, New York University - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 235 (128,817)
Citation 2

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11.

Market Pricing of Economic Risks and Stock Returns

Number of pages: 36 Posted: 25 Mar 2008
Liuren Wu and Yi Tang
City University of New York, CUNY Baruch College - Zicklin School of Business and Fordham University - Gabelli School of Business
Downloads 696 (35,756)

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economic risks, stock returns, inflation, real output, pricing kernel, cash flow

12.

Do the Size, Value, and Momentum Factors Drive Stock Returns in Emerging Markets?

Number of pages: 47 Posted: 04 Feb 2016 Last Revised: 06 Jun 2016
Nusret Cakici, Yi Tang and An Yan
Fordham University, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 565 (47,176)

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Emerging markets, cross-sectional stock returns, market comovements

13.

Causes or Consequences? Earnings Management Around Seasoned Equity Offerings

AFA 2009 San Francisco Meetings Paper
Number of pages: 48 Posted: 20 Mar 2008 Last Revised: 16 Mar 2010
Jie Chen, Zhaoyang Gu and Yi Tang
Carnegie Mellon University - David A. Tepper School of Business, Chinese University of Hong Kong - School of Accountancy and Fordham University - Gabelli School of Business
Downloads 539 (50,021)
Citation 1

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Seasoned equity offerings, earnings management, postissue performance, market efficiency

Imports, Exports, Dollar Exposures, and Stock Returns

Number of pages: 33 Posted: 21 Mar 2008 Last Revised: 16 Mar 2010
University of San Francisco, City University of New York, CUNY Baruch College - Zicklin School of Business and Fordham University - Gabelli School of Business
Downloads 309 (96,482)

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Dollar risk exposure, imports, exports, currency risk premium

Imports, Exports, Dollar Exposures, and Stock Returns

Fordham University Schools of Business Research Paper No. 1787398
Number of pages: 44 Posted: 21 Mar 2011
University of San Francisco, Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 156 (188,378)

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Dollar Risk Exposure, Imports, Exports, Currency Risk Premium, Stock Returns

15.

Alternative Profitability Measures and Cross Section of Expected Stock Returns: International Evidence

Number of pages: 31 Posted: 18 May 2017 Last Revised: 14 May 2018
Fordham University, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 407 (70,896)
Citation 1

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Profitability, enterprise value, behavioral finance, international asset pricing

16.

Unusual News Flow and the Cross-Section of Stock Returns

Georgetown McDonough School of Business Research Paper No. 2820320, Gabelli School of Business, Fordham University Research Paper No. 2820320
Number of pages: 56 Posted: 12 Aug 2016 Last Revised: 15 Nov 2016
Georgetown University - Robert Emmett McDonough School of Business, University of Illinois at Chicago, Brandeis University and Fordham University - Gabelli School of Business
Downloads 402 (71,888)
Citation 3

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Unusual News Flow, Volatility Shocks, Short Sale Constraints, Market Efficiency

17.

Anticipated Regret and Equity Returns

Georgetown McDonough School of Business Research Paper No. 3195191
Number of pages: 84 Posted: 19 Jun 2018 Last Revised: 08 Aug 2019
NEOMA Business School, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 313 (95,685)

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regret theory, mean-variance investors, cross-section of stock returns

18.

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

9th Miami Behavioral Finance Conference 2018, Baruch College Zicklin School of Business Research Paper No. 2019-03-01, Georgetown McDonough School of Business Research Paper No. 3343769
Number of pages: 67 Posted: 15 Mar 2019 Last Revised: 15 Jul 2019
Georgetown University - Robert Emmett McDonough School of Business, University of California, Irvine - Paul Merage School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 233 (130,429)
Citation 1

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Preference for lottery-like stocks, investor attention, social interactions, social network, MAX, skewness, retail investors

What's the Contingency? A Proposal for Bank Contingent Capital Triggered by Systemic Risk

2016 Financial Markets and Corporate Governance
Number of pages: 43 Posted: 11 Nov 2015 Last Revised: 26 May 2016
Linda Allen and Yi Tang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 109 (249,763)

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contingent capital, callable put option, dual trigger exercise price, systemic risk

What's the Contingency? A Proposal for Bank Contingent Capital Triggered by Systemic Risk

Number of pages: 43 Posted: 25 Oct 2014 Last Revised: 26 May 2016
Linda Allen and Yi Tang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 69 (333,922)

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contingent capital, callable put option, dual trigger exercise price, systemic risk

20.

Corporate Equity Ownership and Expected Stock Returns

Gabelli School of Business, Fordham University Research Paper No. 2766799
Number of pages: 49 Posted: 20 Apr 2016
Jinliang Li, Yi Tang and An Yan
Tsinghua University - School of Economics & Management, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 195 (154,564)

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corporate equity ownership, stock returns, market efficiency, limits to arbitrage, investor attention

21.

Estimation Error in Mean Returns and the Mean-Variance Efficient Frontier

International Review of Economics & Finance, Forthcoming
Number of pages: 31 Posted: 15 Sep 2014 Last Revised: 16 Nov 2017
Stevens Institute of Technology - School of Business, Fordham University - Graduate School of Business and Fordham University - Gabelli School of Business
Downloads 166 (178,425)

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Portfolio Theory, Investment, Estimation Error, Multivariate Analysis

22.

Bank Delays in the Resolution of Delinquent Mortgages: The Problem of Limbo Loans

Fordham University Schools of Business Research Paper No. 2018948
Number of pages: 64 Posted: 11 Mar 2012 Last Revised: 14 Dec 2013
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Federal Reserve Bank of New York--Retired and Fordham University - Gabelli School of Business
Downloads 166 (178,425)

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Mortgage, MERS, foreclosure

23.

Retail Attention, Institutional Attention

Baruch College Zicklin School of Business Research Paper No. 2019-05-03
Number of pages: 71 Posted: 06 May 2019 Last Revised: 24 May 2019
Hongqi Liu, Lin Peng and Yi Tang
Chinese University of Hong Kong, Shenzhen, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 75 (315,121)

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attention allocation, retail and institutional investors, information efficiency

24.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 43 (410,811)
Citation 3

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity