Yi Tang

Fordham University - Gabelli School of Business

113 West 60th Street

New York, NY 10023

United States

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 2,173

SSRN RANKINGS

Top 2,173

in Total Papers Downloads

12,325

CITATIONS
Rank 7,858

SSRN RANKINGS

Top 7,858

in Total Papers Citations

59

Scholarly Papers (19)

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 1,224 (11,634)
Citation 1

Abstract:

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 345 (66,711)
Citation 1

Abstract:

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

2.
Downloads 1,373 ( 9,863)
Citation 2

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, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business
Downloads 1,020 (15,467)
Citation 2

Abstract:

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, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business
Downloads 240 (99,854)
Citation 2

Abstract:

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, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business
Downloads 113 (195,362)
Citation 2

Abstract:

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

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, University of California, Davis - Graduate School of Management and Fordham University - Gabelli School of Business
Downloads 556 (36,861)
Citation 4

Abstract:

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, University of California, Davis - Graduate School of Management and Fordham University - Gabelli School of Business
Downloads 421 (52,544)
Citation 4

Abstract:

idiosyncratic volatility shocks, unusual news events, divergence of opinion

4.

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, J. Mack Robinson College of Business - Georgia State University and Fordham University - Gabelli School of Business
Downloads 907 (6,669)

Abstract:

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

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, CUNY 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 685 (27,731)
Citation 15

Abstract:

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 181 (131,877)
Citation 15

Abstract:

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

6.

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 808 (21,452)
Citation 5

Abstract:

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

7.
Downloads 662 ( 29,618)
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, CUNY 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 451 (48,227)
Citation 5

Abstract:

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, CUNY 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 211 (113,778)
Citation 5

Abstract:

8.

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 628 (29,847)

Abstract:

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

9.

Disagreement in Economic Forecasts and Expected Stock Returns

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 53 Posted: 12 Mar 2014 Last Revised: 27 May 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 563 (18,518)

Abstract:

Dispersion in economic forecasts, cross-section of stock returns, return predictability.

10.
Downloads 364 ( 36,815)
Citation 22

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 364 (62,565)
Citation 22

Abstract:

Sharpe ratio, predictability, stock market

11.

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 498 (41,659)
Citation 1

Abstract:

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 288 (82,018)

Abstract:

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 139 (166,205)

Abstract:

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

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 77 (252,822)

Abstract:

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 60 (290,766)

Abstract:

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

14.

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, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance, Federal Reserve Bank of New York and Fordham University - Gabelli School of Business
Downloads 132 (154,729)

Abstract:

Mortgage, MERS, foreclosure

15.

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

Number of pages: 27 Posted: 15 Sep 2014 Last Revised: 13 Jul 2016
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Fordham University - Graduate School of Business and Fordham University - Gabelli School of Business
Downloads 46 (235,765)

Abstract:

Portfolio Theory, Investment, Estimation Error, Multivariate Analysis

16.

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 0 (71,102)

Abstract:

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

17.

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, University of California, Davis - Graduate School of Management and Fordham University - Gabelli School of Business
Downloads 0 (94,100)
Citation 4

Abstract:

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

18.

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 0 (203,723)

Abstract:

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

19.

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 0 (61,601)

Abstract:

Emerging markets, cross-sectional stock returns, market comovements