Liyan Yang

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

  • University of Toronto - Rotman School of Management

SCHOLARLY PAPERS

44

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131

Scholarly Papers (44)

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1.

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

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 24 Mar 2015 Last Revised: 02 Jun 2019
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,439 (10,296)
Citation 80

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back-running, order flow, order anticipation, high-frequency trading, price discovery, market liquidity, payment for order flow

2.

Information Disclosure in Financial Markets

Downloads 1,630 (19,471)

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 1,630 (19,136)
Citation 57

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

Information Disclosure in Financial Markets

Annual Review of Financial Economics, Vol. 9, pp. 101-125, 2017
Posted: 03 Jan 2018
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management

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3.

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 1,539 (21,270)
Citation 44

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Disclosure, price informativeness, learning, real efficiency

4.

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 1,322 (26,641)
Citation 28

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

5.

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 1,248 (29,066)
Citation 20

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

6.

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 1,032 (38,154)
Citation 4

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

7.

Commodity Financialization and Information Transmission

AFA 2016 Annual Meeting, NBER 2015 Commodity Meeting, Rotman School of Management Working Paper No. 2555996, The Wharton School Research Paper, 28th Annual Conference on Financial Economics and Accounting, Journal of Finance, Forthcoming
Number of pages: 66 Posted: 27 Jan 2015 Last Revised: 17 Aug 2021
Itay Goldstein and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department and University of Toronto - Rotman School of Management
Downloads 967 (41,809)
Citation 30

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Commodity financialization, supply channel, price informativeness, feedback effect

8.

Loss Aversion in Financial Markets

Journal of Mechanism and Institution Design, 2019, 4(1), 119 –137.
Number of pages: 24 Posted: 25 Feb 2020
Liyan Yang
University of Toronto - Rotman School of Management
Downloads 919 (45,101)

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loss aversion, risk attitude, non-participation puzzle, disposition effect, equity premium puzzle, excess volatility, anomalies

9.

Information Sharing in Financial Markets

Number of pages: 55 Posted: 14 Jul 2020 Last Revised: 24 Jan 2023
Itay Goldstein, Yan Xiong and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department, The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 871 (48,529)
Citation 4

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Information sharing, communication, sentiment, asset pricing

10.

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 858 (49,326)
Citation 52

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information diversity, uncertainty reduction effect, price informativeness, complementarity

11.

Secret and Overt Information Acquisition in Financial Markets

Number of pages: 87 Posted: 07 May 2020 Last Revised: 26 Jan 2023
Yan Xiong and Liyan Yang
The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 842 (50,708)
Citation 3

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Information acquisition, observability, prisoner's dilemma, regulations, digital footprints

12.

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
The Chinese University of Hong Kong, Hong Kong Polytechnic University and University of Toronto - Rotman School of Management
Downloads 832 (51,482)
Citation 7

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

13.

Disclosure, Competition and Learning from Asset Prices

Rotman School of Management Working Paper No. 3095970, Journal of Economic Theory, Forthcoming
Number of pages: 63 Posted: 08 Jan 2018 Last Revised: 09 Aug 2021
Liyan Yang and Yan Xiong
University of Toronto - Rotman School of Management and The Hong Kong University of Science and Technology
Downloads 825 (52,108)
Citation 4

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disclosure, product market competition, feedback effect, complementarity, total surplus, price informativeness

14.

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
The Chinese University of Hong Kong, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 811 (53,286)
Citation 5

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

15.

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 750 (59,192)
Citation 21

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Opaque trading, asset prices, welfare, regulation

16.

Understanding Big Data: Data Calculus in the Digital Era

Rotman School of Management Working Paper No. 3791018, Columbia Business School Research Paper Forthcoming
Number of pages: 86 Posted: 25 Feb 2021
Long Chen, Long Chen, Patrick Bolton, Bengt R. Holmström, Eric Maskin, Christopher A. Pissarides, A. Michael Spence, Tao Sun, Tianshu Sun, Wei Xiong, Liyan Yang, Yadong Huang, Yong Li, Xuan Luo, Yingju Ma, Shumiao Ouyang and Feng Zhu
Cheung Kong Graduate School of BusinessLuohan Academy, Imperial College London, Massachusetts Institute of Technology (MIT) - Department of Economics, Princeton University - Department of Economics, London School of Economics & Political Science (LSE), Stanford Graduate School of Business, International Monetary Fund (IMF), Cheung Kong Graduate School of Business, Princeton University - Department of Economics, University of Toronto - Rotman School of Management, Luohan Academy, Luohan Academy, Luohan Academy, Luohan Academy, Princeton University - Department of Economics and Bendheim Center for Finance and Ant Financial
Downloads 692 (65,916)
Citation 4

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big data, data economics, information economics, privacy, market competition

17.

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 688 (66,296)
Citation 4

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

18.

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 672 (68,305)
Citation 33

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

19.

Skill Acquisition and Data Sales

Rotman School of Management Working Paper No. 2870190
Number of pages: 65 Posted: 16 Nov 2016 Last Revised: 29 Apr 2021
Shiyang Huang, Yan Xiong and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 667 (68,947)
Citation 1

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Data sales, skill acquisition, alternative data, asset prices

20.

Market Feedback: Evidence from the Horse’s Mouth

Rotman School of Management Working Paper No. 3874756
Number of pages: 63 Posted: 08 Jul 2021 Last Revised: 07 Feb 2023
Itay Goldstein, Bibo Liu and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department, Tsinghua University - PBC School of Finance and University of Toronto - Rotman School of Management
Downloads 666 (69,077)
Citation 6

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Market feedback, corporate investment, learning, financing

21.

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 593 (79,859)
Citation 14

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

22.

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 585 (81,198)

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23.

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 580 (82,088)
Citation 7

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Information leakage, insider trading, securities regulations

24.

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 572 (83,735)
Citation 5

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equity-based compensation, competition, employee bargaining power

25.

Financialization and Commodity Markets Serial Dependence

Management Science, forthcoming
Number of pages: 83 Posted: 06 Dec 2018 Last Revised: 24 Aug 2022
Zhi Da, Ke Tang, Yubo Tao and Liyan Yang
University of Notre Dame - Mendoza College of Business, Institute of Economics, School of Social Sciences, Tsinghua University, University of Macau - Department of Economics and University of Toronto - Rotman School of Management
Downloads 539 (90,039)
Citation 4

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Financialization, Return autocorrelation, Index trading, News sentiment, ETF arbitrage, Price discovery

26.

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 517 (94,820)
Citation 27

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CARA-normal, supply information, complementarities, multiplicity

27.

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 508 (96,876)
Citation 4

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state-owned enterprises, mixed markets, competition, disclosure

28.

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 483 (102,995)
Citation 9

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Market Efficiency, Real Efficiency, Feedback Effects, Externality

29.

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 482 (103,278)
Citation 4

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

30.

Costly Interpretation of Asset Prices

Downloads 385 (134,175)
Citation 7

Costly Interpretation of Asset Prices

Number of pages: 64 Posted: 14 Apr 2016 Last Revised: 22 Sep 2018
Xavier Vives and Liyan Yang
University of Navarra - IESE Business School and University of Toronto - Rotman School of Management
Downloads 385 (133,020)
Citation 9

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Investor sophistication, asset prices, noise trading, multiplicity, welfare, information acquisition

Costly Interpretation of Asset Prices

CEPR Discussion Paper No. DP12360
Number of pages: 52 Posted: 16 Oct 2017 Last Revised: 02 Oct 2018
Xavier Vives and Liyan Yang
University of Navarra - IESE Business School and University of Toronto - Rotman School of Management
Downloads 0
Citation 1
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31.

The Dynamics of Information Production and Diffusion: Evidence from Buy-Side Participation in Earnings Conference Calls

Downloads 336 (156,111)

The Dynamics of Information Production and Diffusion: Evidence from Buy-Side Participation in Earnings Conference Calls

Rotman School of Management Working Paper No. 3130197
Number of pages: 43 Posted: 06 Mar 2018 Last Revised: 21 Jun 2018
Ling Cen, Vanitha Ragunathan, Yan Xiong and Liyan Yang
The Chinese University of Hong Kong, University of Queensland - Business School, The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 221 (238,122)

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Information Production, Information Diffusion, Information Complementarity, Earnings Conference Calls

The Dynamics of Information Production and Diffusion: Evidence from Buy-Side Participation in Earnings Conference Calls

Number of pages: 43 Posted: 01 Aug 2018
Ling Cen, Vanitha Ragunathan, Yan Xiong and Liyan Yang
The Chinese University of Hong Kong, University of Queensland - Business School, The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 115 (411,616)

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Information Production; Information Diffusion; Information Complementarity; Earnings Conference Calls

32.

Closing Pressure, Predatory Trading, and the Negative Price of Oil

Number of pages: 58 Posted: 20 Apr 2022
Yiqing Ge, Wenjin Kang, Ke Tang and Liyan Yang
Tsinghua University - Institute of Economics, Faculty of Business Administration, University of Macau, Institute of Economics, School of Social Sciences, Tsinghua University and University of Toronto - Rotman School of Management
Downloads 325 (161,307)

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Closing pressure, TAS market, predatory trading, negative oil price

33.

Personalized Pricing, Network Effects, and Corporate Social Responsibility

Number of pages: 62 Posted: 15 Sep 2022 Last Revised: 20 Jun 2023
Yan Xiong and Liyan Yang
The Hong Kong University of Science and Technology and University of Toronto - Rotman School of Management
Downloads 306 (174,237)

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Corporate social responsibility, network effect, personalized pricing

34.

Institutionalization, Delegation, and Asset Prices

Journal of Economic Theory, Forthcoming
Number of pages: 69 Posted: 08 Aug 2018 Last Revised: 05 Feb 2020
Shiyang Huang, Zhigang Qiu and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, School of Finance, Renmin University of China and University of Toronto - Rotman School of Management
Downloads 288 (183,193)
Citation 3

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Institutionalization; delegation; information acquisition; agency problem; asset prices

35.

Securities Markets Where Some Investors Receive Information About Cash Flow Betas

Number of pages: 123 Posted: 01 Oct 2020 Last Revised: 30 Aug 2023
Shiyang Huang, Jan Schneemeier, Avanidhar Subrahmanyam and Liyan Yang
The University of Hong Kong - Faculty of Business and Economics, Indiana University - Kelley School of Business, University of California, Los Angeles (UCLA) - Finance Area and University of Toronto - Rotman School of Management
Downloads 242 (217,911)

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Beta information, price impact, asset prices

36.

Strategic Trading When Central Bank Intervention Is Predictable

Forthcoming in Review of Asset Pricing Studies
Number of pages: 31 Posted: 09 Jun 2020 Last Revised: 19 Mar 2021
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 228 (230,925)
Citation 4

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central bank intervention, strategic trading, price reversal, price volatility

37.

Does Digitalization Widen Labor Income Inequality?

Number of pages: 46 Posted: 07 Jun 2023 Last Revised: 03 Jul 2023
Jilei Huang, Yi Sun and Liyan Yang
Shandong University, Management and Economics School，University of Chinese Academy of Sciences and University of Toronto - Rotman School of Management
Downloads 212 (249,422)
Citation 1

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digitalization, income inequality, human capital, digital externality, worker ability, learning cost

38.

Disclosing and Cooling-Off: An Analysis of Insider Trading Rules

Rotman School of Management Working Paper No. 4249189
Number of pages: 52 Posted: 20 Oct 2022 Last Revised: 10 Apr 2023
Jun Deng, Huifeng Pan, Hongjun Yan and Liyan Yang
University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE), DePaul University and University of Toronto - Rotman School of Management
Downloads 156 (323,646)

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Insider trading, Rule 10b5-1, Sunshine trading, Disclosure, Cooling-off period.

39.

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 155 (325,438)

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

40.

The Asset Pricing and Real Implications of Relationship Disclosure

Number of pages: 39 Posted: 06 May 2022
Xu Jiang, Jordi Mondria and Liyan Yang
Duke University, University of Toronto - Department of Economics and University of Toronto - Rotman School of Management
Downloads 134 (365,394)

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firm relationships, asset prices, disclosure, matching quality, collaboration intensity

41.

Whence LASSO? A Rational Interpretation

Rotman School of Management Working Paper No. 4279679, George Mason University School of Business Research Paper No. 4279679
Number of pages: 65 Posted: 22 Nov 2022 Last Revised: 30 Jul 2023
Wen Chen, Bo Hu and Liyan Yang
The Chinese University of Hong Kong, Shenzhen, George Mason University and University of Toronto - Rotman School of Management
Downloads 129 (376,117)

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LASSO, Fat Tails, Model Risk, Robust Optimization, Limits to Arbitrage

42.

Hospital Run

Number of pages: 40 Posted: 04 Oct 2021
Ke Tang, Danxia Xie, Liyan Yang and Jiaqing Zeng
Institute of Economics, School of Social Sciences, Tsinghua University, Tsinghua University - Institute of Economics, University of Toronto - Rotman School of Management and School of Social Sciences, Tsinghua University
Downloads 128 (378,329)

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COVID-19, pandemic, hospital run, testing, quarantine

43.

Firm Relationships and Valuation

Number of pages: 30 Posted: 29 Oct 2019
Jordi Mondria and Liyan Yang
University of Toronto - Department of Economics and University of Toronto - Rotman School of Management
Downloads 72 (552,936)

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firm relationships, asset prices, disclosure, matching quality, collaboration intensity

44.

Open Banking under Maturity Transformation

Posted: 23 Sep 2022
Itay Goldstein, Chong Huang and Liyan Yang
University of Pennsylvania - The Wharton School - Finance Department, University of California, Irvine - Paul Merage School of Business and University of Toronto - Rotman School of Management

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Open banking, borrower data, lending market competition, maturity transformation, informational monopoly, winner's curse, economic efficiency

Other Papers (2)

Total Downloads: 868
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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 823 (188,164)

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Prospect theory, Disposition effect, Momentum, Reversal

2.

Trading Constraint, Disclosure and Welfare: Implications for SEC Rule 10b5-1

Number of pages: 45 Posted: 16 Sep 2020
Liyan Yang, Huifeng Pan and Jun Deng
University of Toronto - Rotman School of Management, University of International Business and Economics (UIBE) and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 45

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Rule 10b5-1, trading, disclosure, market efficiency