Yu Yuan

Shanghai Mingshi Investment Company

488 M Yincheng Road

Shanghai

China

University of Pennsylvania - Wharton Financial Institutions Center

Fellow

3733 Spruce Street

Philadelphia, PA 19104-6374

United States

SCHOLARLY PAPERS

11

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19,850

CITATIONS
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Top 6,059

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83

Ideas:
“  Size and Value in China We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, which leaves a 17% annual alpha on the earnings-price factor, our model explains most reported Chinese anomalies, including profitability and volatility anomalies. *  ”

Scholarly Papers (11)

1.
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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
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 4,999 (1,310)
Citation 35

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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: 11 Apr 2011
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 89 (267,303)
Citation 35

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2.
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Citation 1

Mispricing Factors

Review of Financial Studies 30, April 2017, pp 1270-1315.
Number of pages: 93 Posted: 05 Jul 2015 Last Revised: 16 Apr 2017
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 4,331 (1,673)
Citation 1

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Factor Models, Anomalies, Mispricing, Investor Sentiment

Mispricing Factors

NBER Working Paper No. w21533
Number of pages: 64 Posted: 08 Sep 2015
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 24 (478,321)
Citation 1

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3.
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Citation 22

Global, Local, and Contagious Investor Sentiment

Journal of Financial Economics (JFE), Vol. 104, pp 272-287, May 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 11 Mar 2012
Harvard Business School, NYU Stern School of Business and Shanghai Mingshi Investment Company
Downloads 1,878 (7,058)
Citation 22

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Sentiment, Return predictability

Global, Local, and Contagious Investor Sentiment

Journal of Financial Economics (JFE), Vol. 104, No. 2, 2012, NYU Working Paper No. FIN-09-002
Number of pages: 47 Posted: 08 Jun 2009 Last Revised: 11 Mar 2012
Harvard Business School, NYU Stern School of Business and Shanghai Mingshi Investment Company
Downloads 396 (66,923)
Citation 22

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Sentiment, Return predictability

4.

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 2,038 (6,243)
Citation 18

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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
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 1,870 (7,123)
Citation 2

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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
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 11 (557,603)
Citation 2

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6.

Market-Wide Attention, Trading, and Stock Returns

Journal of Financial Economics (JFE), Volume 116, Issue 3, June 2015, Pages 548–564.
Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 20 May 2015
Yu Yuan
Shanghai Mingshi Investment Company
Downloads 1,504 (10,416)
Citation 3

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Attention, Individual investor, Trading

7.
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Anomalies Abroad: Beyond Data Mining

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper
Number of pages: 62 Posted: 03 Aug 2017 Last Revised: 23 Jan 2018
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 649 (35,763)

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Anomalies, Data Mining, Idiosyncratic Volatility, Mispricing

Anomalies Abroad: Beyond Data Mining

NBER Working Paper No. w23809
Number of pages: 48 Posted: 18 Sep 2017
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 18 (514,531)
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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
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 525 (47,076)
Citation 1

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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
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 12 (551,474)
Citation 1

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9.

Size and Value in China

NBER Working Paper No. w24458
Number of pages: 52 Posted: 02 Apr 2018
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 13 (59,614)
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10.

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 24 Jan 2018
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
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Size; Value; China; Factors; Anomalies

11.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Volume 128, Issue 1, April 2018, Pages 1-15
Posted: 07 Sep 2016
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,066

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beta anomaly, IVOL anomaly, investor sentiment