Yu Yuan

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

University of Pennsylvania - Wharton Financial Institutions Center

Fellow

3733 Spruce Street

Philadelphia, PA 19104-6374

United States

SCHOLARLY PAPERS

10

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18,864

CITATIONS
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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 (10)

1.
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Citation 37

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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 4,906 (1,281)
Citation 37

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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
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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Citation 37

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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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 4,055 (1,761)
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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 21 (482,701)
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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,862 (6,810)
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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 387 (66,271)
Citation 22

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Sentiment, Return predictability

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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,761 (7,527)
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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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Citation 2

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5.

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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,723 (6,076)
Citation 18

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investor sentiment, mean-variance relation, volatility

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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,122 (10,305)
Citation 3

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Attention, Individual investor, Trading

7.
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Anomalies Abroad: Beyond Data Mining

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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 513 (46,738)
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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 11 (542,282)
Citation 1

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9.
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Size and Value in China

Number of pages: 51 Posted: 24 Jan 2018 Last Revised: 24 Mar 2018
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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Size; Value; China; Factors; Anomalies

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 Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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10.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 25 Dec 2017
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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beta anomaly, IVOL anomaly, investor sentiment