Liyan Yang

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

25

DOWNLOADS
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11,265

CITATIONS
Rank 11,857

SSRN RANKINGS

Top 11,857

in Total Papers Citations

34

Scholarly Papers (25)

1.

Differential Access to Price Information in Financial Markets

Journal of Financial and Quantitative Analysis (JFQA), 2016, 51(4), 1071–1110, Johnson School Research Paper Series No. 11-2011,
Number of pages: 59 Posted: 18 Mar 2011 Last Revised: 21 Nov 2017
David Easley, Maureen O'Hara and Liyan Yang
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 1,003 (17,834)

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Price Data Selling, Cost of Capital, Liquidity, Volatility, Information Acquisition, Complementarities

2.

Social Networks, Information Acquisition, and Asset Prices

Management Science, 2013, 59(6), 1444-1457
Number of pages: 43 Posted: 18 Mar 2011 Last Revised: 21 Jun 2016
Bing Han and Liyan Yang
University of Toronto, Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 598 (25,953)
Citation 3

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social communication, price informativeness, information acquisition, asset prices, liquidity, volume, welfare

3.

Short-Term Momentum and Reversals in Large Stocks

Number of pages: 43 Posted: 27 Mar 2012 Last Revised: 11 May 2012
Jason Zhanshun Wei and Liyan Yang
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 537 (30,464)
Citation 1

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momentum, reversals, return predictability, firm size, volatility, moderated confidence, underreaction, overreaction

4.

Testing Conditional Factor Models: A Nonparametric Approach

Journal of Empirical Finance, 2011, 18(5): 972-992
Number of pages: 39 Posted: 13 Apr 2009 Last Revised: 21 Apr 2014
Yan Li and Liyan Yang
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 514 (38,119)
Citation 6

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Asset Pricing, Conditional CAPM, Conditional Fama-French Three-Factor Model, Size, Value, Momentum, Nonparametric Method

5.

Opaque Trading, Disclosure and Asset Prices: Implications for Hedge Fund Regulation

Review of Financial Studies, 2014, 27(4): 1190-1237, AFA 2013 San Diego Meetings Paper, Rotman School of Management Working Paper No. 1945347, Johnson School Research Paper Series No. 53-2011
Number of pages: 60 Posted: 17 Oct 2011 Last Revised: 26 Feb 2016
David Easley, Maureen O'Hara and Liyan Yang
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 474 (38,036)
Citation 1

Abstract:

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Opaque trading, asset prices, welfare, regulation

6.

Investor Sentiment, Disagreement, and Breadth-Return Relationship

Management Science, 2013, 59(5), 1076-1091
Number of pages: 58 Posted: 22 Jan 2011 Last Revised: 06 Jun 2013
Ling Cen, Hai Lu and Liyan Yang
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 441 (39,110)
Citation 1

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investor sentiment, disagreement, breadth of ownership, cross-sectional stock returns

7.

Information Diversity and Complementarities in Trading and Information Acquisition

Journal of Finance, 2015, 70(4): 1723-1765, Rotman School of Management Working Paper No. 1909501
Number of pages: 98 Posted: 16 Aug 2011 Last Revised: 26 Feb 2016
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management
Downloads 322 (41,755)

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information diversity, uncertainty reduction effect, price informativeness, complementarity

8.

Loss Aversion, Survival and Asset Prices

Journal of Economic Theory, 2015, 160(12): 494-516
Number of pages: 55 Posted: 14 Mar 2011 Last Revised: 26 Feb 2016
David Easley and Liyan Yang
Cornell University - Department of Economics and University of Toronto - Rotman School of Management
Downloads 316 (54,195)

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loss aversion; narrow framing; Epstein-Zin preferences; market selection; asset prices

9.

Complementarities, Multiplicity, and Supply Information

Journal of the European Economic Association, Vol. 7, No. 1, pp. 90-115, 2009
Number of pages: 46 Posted: 13 Jul 2006 Last Revised: 13 Aug 2011
Liyan Yang and Jayant V. Ganguli
University of Toronto - Rotman School of Management and University of Essex - Department of Economics
Downloads 313 (63,061)
Citation 12

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CARA-normal, supply information, complementarities, multiplicity

10.

Speculation and Hedging in Segmented Markets

Review of Financial Studies, 2014, 27(3): 881-922
Number of pages: 50 Posted: 21 Nov 2010 Last Revised: 26 Feb 2016
Itay Goldstein, Yan Li and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department, Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 308 (55,135)
Citation 5

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Speculation, Hedging, Market Segmentation, Price Informativeness, Information Acquisition, Asset Prices

11.

Good Disclosure, Bad Disclosure

Journal of Financial Economics (JFE), Forthcoming, Rotman School of Management Working Paper No. 2388976, AFA 2016 Annual Meetings
Number of pages: 66 Posted: 02 Feb 2014 Last Revised: 21 Nov 2017
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management
Downloads 306 (34,326)

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Disclosure, price informativeness, learning, real efficiency

12.

Rational Information Leakage

Management Science, 2014, 60(11): 2762-2775
Number of pages: 34 Posted: 25 Aug 2011 Last Revised: 26 Feb 2016
Raffi Indjejikian, Hai Lu and Liyan Yang
University of Michigan at Ann Arbor - Accounting, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 289 (63,061)
Citation 2

Abstract:

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Information leakage, insider trading, securities regulations

13.

The Asset Pricing Implications of Dividend Volatility

Management Science, 2013, 59(9): 2036-2055
Number of pages: 35 Posted: 13 May 2011 Last Revised: 26 Feb 2016
Yan Li and Liyan Yang
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 284 (70,984)

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asset pricing, dividend volatility, loss aversion, narrow framing, return predictability, volatility clustering

14.

Disagreement, Underreaction, and Stock Returns

Management Science, 2017, 63(4), 1214–1231,
Number of pages: 51 Posted: 15 Nov 2012 Last Revised: 21 Nov 2017
Ling Cen, K.C. John Wei and Liyan Yang
University of Toronto - Rotman School of Management, Hong Kong Polytechnic University and University of Toronto - Rotman School of Management
Downloads 260 (49,124)

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Disagreement, short-sale constraints, underreaction, cross-section of stock returns

15.
Downloads 211 (124,151)

Costly Interpretation of Asset Prices

Number of pages: 70 Posted: 14 Apr 2016 Last Revised: 25 Sep 2017
Xavier Vives and Liyan Yang
University of Navarra - IESE Business School and University of Toronto - Rotman School of Management
Downloads 211 (123,766)

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Investor sophistication, asset prices, disagreement, trading volume, welfare, multiplicity

Costly Interpretation of Asset Prices

CEPR Discussion Paper No. DP12360
Number of pages: 73 Posted: 16 Oct 2017
Xavier Vives and Liyan Yang
University of Navarra - IESE Business School and University of Toronto - Rotman School of Management
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asset prices, disagreement, Investor sophistication, multiplicity, noise trading, trading volume, welfare

16.

Market Efficiency and Real Efficiency: The Connect and Disconnect via Feedback Effects

American Finance Association 2015 Annual Meeting, ASSA Econometric Society 2014 Meetings, Society for Economic Dynamics 2014 Annual Meeting, 2014 China International Conference in Finance, Rotman School of Management Working Paper No. 2378120
Number of pages: 47 Posted: 13 Jan 2014 Last Revised: 26 Feb 2016
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management
Downloads 203 (78,107)
Citation 1

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Market Efficiency, Real Efficiency, Feedback Effects, Externality

17.

Back-Running: Seeking and Hiding Fundamental Information in Order Flows

Rotman School of Management Working Paper No. 2583915
Number of pages: 49 Posted: 24 Mar 2015 Last Revised: 05 Jul 2017
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 173 (15,402)

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order flow, information, order anticipation, price discovery, market liquidity, payment for order flow

18.

Employee Bargaining Power, Inter-Firm Competition, and Equity-Based Compensation

Journal of Financial Economics (JFE), Vol. 126, No. 2, 2017, Rotman School of Management Working Paper No. 2457305
Number of pages: 75 Posted: 22 Jun 2014 Last Revised: 21 Nov 2017
Francesco Bova and Liyan Yang
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 89 (77,803)

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equity-based compensation, competition, employee bargaining power

19.

Balanced Growth: A Potential Resolution to the Easterlin Paradox

Number of pages: 39 Posted: 25 Jan 2008 Last Revised: 14 Jul 2013
Guoqiang Tian, Xinli Wang and Liyan Yang
Texas A&M University - Department of Economics, University of Toronto at Scarborough and University of Toronto - Rotman School of Management
Downloads 70 (263,197)

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Easterlin Paradox, income vs. non-income factors, happiness, social comparison

20.

Skill Acquisition and Information Sales

Rotman School of Management Working Paper No. 2870190
Number of pages: 53 Posted: 16 Nov 2016 Last Revised: 12 Oct 2017
Shiyang Huang, Yan Xiong and Liyan Yang
The University of Hong Kong - School of Economics and Finance, University of Toronto and University of Toronto - Rotman School of Management
Downloads 66 (297,931)

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Information sales, skill acquisition, information quality, price informativeness

21.

State-Owned Enterprises, Competition, and Disclosure

Number of pages: 53 Posted: 13 May 2015 Last Revised: 04 Aug 2016
Francesco Bova and Liyan Yang
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 60 (121,934)

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state-owned enterprises, mixed markets, competition, disclosure

Two Sellers of Information in Financial Markets

Number of pages: 43 Posted: 01 Oct 2017
Shiyang Huang, Liyan Yang and Yan Xiong
The University of Hong Kong - School of Economics and Finance, University of Toronto - Rotman School of Management and University of Toronto
Downloads 17 (491,463)

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Information sales, complementarity, substitutability, bargaining power, market quality

Two Sellers of Information in Financial Markets

Number of pages: 43 Posted: 05 Sep 2017
Shiyang Huang, Yan Xiong and Liyan Yang
The University of Hong Kong - School of Economics and Finance, University of Toronto and University of Toronto - Rotman School of Management
Downloads 5 (559,015)

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Information sales, complementarity, substitutability, bargaining power, market quality

23.

Information Disclosure in Financial Markets

Annual Review of Financial Economics, 2017, 9, 101–125, Rotman School of Management Working Paper No. 2927013,
Number of pages: 38 Posted: 04 Mar 2017 Last Revised: 21 Nov 2017
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management
Downloads 0 (54,496)

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disclosure, market quality, crowding-out effect, learning from prices, real efficiency, welfare

24.

Non-Fundamental Speculation Revisited

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2922855
Number of pages: 15 Posted: 24 Feb 2017
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 0 (112,071)

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25.

Commodity Financialization and Information Transmission

AFA 2016 Annual Meeting, NBER 2015 Commodity Meeting, Rotman School of Management Working Paper No. 2555996, 28th Annual Conference on Financial Economics and Accounting, The Wharton School Research Paper
Number of pages: 42 Posted: 27 Jan 2015 Last Revised: 18 Aug 2017
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management
Downloads 0 (83,510)

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Commodity financialization, supply channel, price informativeness, futures price bias, liquidity, comovement

Other Papers (1)

Total Downloads: 532    Citations: 6
1.

Prospect Theory, the Disposition Effect, and Asset Prices

Journal of Financial Economics, 2013, 107(3): 715-739
Number of pages: 70 Posted: 08 Mar 2011 Last Revised: 26 Feb 2016
Yan Li and Liyan Yang
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 425 (188,164)
Citation 6

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Prospect theory, Disposition effect, Momentum, Reversal