Liyan Yang

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

29

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13,724

CITATIONS
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Top 11,499

in Total Papers Citations

35

Scholarly Papers (29)

1.

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

Rotman School of Management Working Paper No. 2583915
Number of pages: 63 Posted: 24 Mar 2015 Last Revised: 24 Jul 2018
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,412 (11,664)

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

2.

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 1,071 (17,904)
Citation 4

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

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 931 (22,073)

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Disclosure, price informativeness, learning, real efficiency

4.

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 855 (24,959)
Citation 3

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

5.

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 751 (29,931)
Citation 1

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

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 663 (35,071)

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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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7.

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 620 (38,763)
Citation 1

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Opaque trading, asset prices, welfare, regulation

8.

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 618 (38,938)
Citation 1

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

9.

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 617 (39,027)

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information diversity, uncertainty reduction effect, price informativeness, complementarity

10.

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 609 (39,687)
Citation 6

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

11.

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 558 (44,538)

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

12.

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 495 (51,859)
Citation 5

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

13.

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 472 (55,057)

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

14.

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 437 (60,476)
Citation 2

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Information leakage, insider trading, securities regulations

15.

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
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 427 (62,248)

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

16.

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 419 (63,641)
Citation 11

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CARA-normal, supply information, complementarities, multiplicity

17.

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 397 (67,934)

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equity-based compensation, competition, employee bargaining power

18.

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 381 (71,320)

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

19.

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 374 (72,849)

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20.

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 351 (78,404)
Citation 1

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Market Efficiency, Real Efficiency, Feedback Effects, Externality

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 307 (91,216)

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state-owned enterprises, mixed markets, competition, disclosure

22.
Downloads 243 (116,932)

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 243 (116,467)

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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: 67 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
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asset prices, Information Acquisition, Investor sophistication, multiplicity, noise trading, welfare

23.

Disclosure, Competition, and Learning from Asset Prices

Rotman School of Management Working Paper No. 3095970
Number of pages: 45 Posted: 08 Jan 2018 Last Revised: 26 Jul 2018
Liyan Yang
University of Toronto - Rotman School of Management
Downloads 191 (147,514)

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disclosure, proprietary cost, learning from prices, multiplicity, welfare

24.

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 131 (203,220)

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Information sales, skill acquisition, information quality, price informativeness

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
The Chinese University of Hong Kong, University of Queensland - Business School, University of Toronto and University of Toronto - Rotman School of Management
Downloads 99 (251,074)

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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
The Chinese University of Hong Kong, University of Queensland - Business School, University of Toronto and University of Toronto - Rotman School of Management
Downloads 23 (487,193)

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

26.

Institutionalization, Delegation, and Asset Prices

Number of pages: 44 Posted: 08 Aug 2018 Last Revised: 30 Aug 2018
Shiyang Huang, Zhigang Qiu and Liyan Yang
The University of Hong Kong - School of Economics and Finance, Hanqing Advanced Institute of Economics and Finance, Renmin University of China and University of Toronto - Rotman School of Management
Downloads 100 (247,658)

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Institutionalization, Optimal Linear Contracts, Information Acquisition, Agency Problem, Volatility, Cost of Capital

27.

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 89 (267,033)

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

Clientele, Information Sales, and Asset Prices

Number of pages: 72 Posted: 01 Oct 2017 Last Revised: 18 Feb 2018
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 45 (386,410)

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Clientele formation, information sales, complementarity, market quality

Clientele, Information Sales, and Asset Prices

Number of pages: 72 Posted: 05 Sep 2017 Last Revised: 18 Feb 2018
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 15 (536,019)

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Clientele formation, information sales, complementarity, market quality

29.

The Economics of Data

Number of pages: 48 Posted: 11 Oct 2018
Cornell University - Department of Economics, The University of Hong Kong - School of Economics and Finance, University of Toronto - Rotman School of Management and The University of Melbourne - Department of Finance
Downloads 23 (483,412)

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Data, Industry organization, Welfare, Prisoners' dilemma, Ownership

Other Papers (1)

Total Downloads: 596    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 596 (188,164)
Citation 6

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Prospect theory, Disposition effect, Momentum, Reversal