Hongjun Yan

DePaul University

Richard H. Driehaus Chair in Behavioral Finance

1 East Jackson Blvd.

Chicago, IL 60604

United States

http://sites.google.com/view/hongjunyan

SCHOLARLY PAPERS

24

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12,367

CITATIONS
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Top 3,901

in Total Papers Citations

139

Scholarly Papers (24)

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion: A Preference-Based Formulation

EFA Meetings, WFA Meetings
Number of pages: 35 Posted: 29 Nov 2004 Last Revised: 15 Aug 2008
Suleyman Basak and Hongjun Yan
London Business School and DePaul University
Downloads 1,285 (14,074)
Citation 13

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Money Illusion, Asset Pricing, New Keynesian, Bounded Rationality, Equilibrium, Expected Inflation

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Yale ICF Working Paper No. 08-23
Number of pages: 32 Posted: 08 Oct 2008 Last Revised: 05 Aug 2009
Suleyman Basak and Hongjun Yan
London Business School and DePaul University
Downloads 976 (21,436)
Citation 13

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Money Illusion, Asset Pricing, New Keynesian, Bounded Rationality, Equilibrium, Expected Inflation

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

CEPR Discussion Paper No. DP7398
Number of pages: 34 Posted: 08 Sep 2009
Suleyman Basak and Hongjun Yan
London Business School and DePaul University
Downloads 2 (651,446)
Citation 13
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Asset Pricing, Bounded Rationality, Equilibrium, Expected Inflation, Money Illusion, New Keynesian

2.

Reputation Concerns and Slow-Moving Capital

AFA 2011 Denver Meetings Paper, Yale ICF Working Paper No. 08-26
Number of pages: 36 Posted: 30 Oct 2008 Last Revised: 15 Aug 2018
Steven G. Malliaris and Hongjun Yan
University of Georgia - Department of Banking and Finance and DePaul University
Downloads 1,297 (14,181)
Citation 9

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Reputation, Slow-moving capital, Career concern

3.

Uncertainty and Valuations

Yale ICF Working Paper No. 09-06
Number of pages: 41 Posted: 23 Mar 2009 Last Revised: 06 Sep 2012
Martijn Cremers and Hongjun Yan
University of Notre Dame and DePaul University
Downloads 1,147 (17,130)
Citation 5

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Uncertainty, convexity, valuation, technology bubble

4.

Financial Innovation, Investor Behavior, and Arbitrage: Implications from the ETF Market

Number of pages: 26 Posted: 16 Mar 2012 Last Revised: 01 Apr 2016
Wenxi Jiang and Hongjun Yan
CUHK Business School, The Chinese University of Hong Kong and DePaul University
Downloads 893 (24,888)

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Financial Innovation, Leverage, Investor behavior, Index

5.

Natural Selection in Financial Markets: Does it Work?

Yale ICF Working Paper No. 08-01
Number of pages: 38 Posted: 15 Jan 2008
Hongjun Yan
DePaul University
Downloads 847 (26,820)
Citation 40

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Market selection, asset pricing, general equilibrium, heterogeneous beliefs

6.
Downloads 755 ( 31,436)
Citation 43

Heterogeneous Expectations and Bond Markets

Review of Financial Studies, Forthcoming, Yale ICF Working Paper No. 06-35
Number of pages: 40 Posted: 03 Jan 2007 Last Revised: 11 Nov 2010
Hongjun Yan and Wei Xiong
DePaul University and Princeton University - Department of Economics
Downloads 719 (33,070)
Citation 43

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bond markets, heterogeneous expectations, yield curve, bond yield volatility

Heterogeneous Expectations and Bond Markets

NBER Working Paper No. w12781
Number of pages: 52 Posted: 23 Dec 2006 Last Revised: 18 May 2007
Hongjun Yan and Wei Xiong
DePaul University and Princeton University - Department of Economics
Downloads 36 (440,736)
Citation 43

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7.

Is Noise Trading Cancelled Out by Aggregation?

Yale ICF Working Paper No. 08-10, AFA 2009 San Francisco Meetings Paper
Number of pages: 38 Posted: 25 Mar 2008 Last Revised: 08 Feb 2010
Hongjun Yan
DePaul University
Downloads 662 (37,581)
Citation 9

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Aggregation, bias, noise trading, behavioral finance

8.

The Behavior of Individual and Aggregate Stock Prices

Number of pages: 39 Posted: 12 Jan 2004
Hongjun Yan
DePaul University
Downloads 575 (45,249)
Citation 6

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Learning, Information Quality, Earnings Surprises

9.

Anticipated and Repeated Shocks in Liquid Markets

Number of pages: 38 Posted: 15 Aug 2010 Last Revised: 03 May 2013
Dong Lou, Hongjun Yan and Jinfan Zhang
London School of Economics & Political Science (LSE), DePaul University and International Monetary Fund
Downloads 527 (50,581)
Citation 8

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Liquidity, Capital mobility, Supply shocks, Treasury auctions

10.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School and DePaul University
Downloads 444 (62,644)

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Disagreement, heterogeneous beliefs, speculation, asset pricing

11.

Anomaly Discovery and Arbitrage Trading

Number of pages: 48 Posted: 02 May 2014 Last Revised: 05 Oct 2018
Xi Dong, Qi Liu, Lei Lu, Bo Sun and Hongjun Yan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Peking University - Department of Finance, Asper School of Business, University of Manitoba, Board of Governors of the Federal Reserve System - Division of International Finance and DePaul University
Downloads 429 (65,323)

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Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing.

12.
Downloads 414 ( 68,158)
Citation 3

What Does Stock Ownership Breadth Measure?

Number of pages: 48 Posted: 18 Mar 2010 Last Revised: 04 Jul 2012
James J. Choi, Li Jin and Hongjun Yan
Yale School of Management, Harvard Business School - Finance Unit and DePaul University
Downloads 389 (72,706)
Citation 2

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Ownership breadth, short-sales constraints, heterogeneous beliefs, China

What Does Stock Ownership Breadth Measure?

NBER Working Paper No. w16591
Number of pages: 49 Posted: 13 Dec 2010
James J. Choi, Li Jin and Hongjun Yan
Yale School of Management, Harvard Business School - Finance Unit and DePaul University
Downloads 25 (496,512)
Citation 3

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13.

Collateral-Motivated Financial Innovation

Number of pages: 50 Posted: 08 Mar 2012 Last Revised: 16 Aug 2014
Ji Shen, Hongjun Yan and Jinfan Zhang
London School of Economics & Political Science (LSE), DePaul University and International Monetary Fund
Downloads 397 (71,676)
Citation 2

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Financial Innovation, Collateral, Financial Intermediation, Leverage

14.

Financial Intermediation Chains in an OTC Market

Number of pages: 67 Posted: 14 Mar 2015 Last Revised: 06 May 2018
Ji Shen, Bin Wei and Hongjun Yan
London School of Economics & Political Science (LSE), Federal Reserve Bank of Atlanta and DePaul University
Downloads 324 (90,626)

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Search, Chain, Financial Intermediation, Multiplicity, Stability.

15.
Downloads 292 (101,413)
Citation 1

Informed Trading and Expected Returns

Number of pages: 46 Posted: 17 Jan 2013 Last Revised: 25 Jan 2016
James J. Choi, Li Jin and Hongjun Yan
Yale School of Management, Peking University - Department of Finance and DePaul University
Downloads 276 (107,220)
Citation 1

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Information asymmetry, Adverse selection, Cost of capital

Informed Trading and Expected Returns

NBER Working Paper No. w18680
Number of pages: 47 Posted: 05 Jan 2013 Last Revised: 17 Jan 2013
James J. Choi, Li Jin, Li Jin and Hongjun Yan
Yale School of Management, University of Oxford - Said Business School, Peking University - Department of Finance and DePaul University
Downloads 16 (552,641)
Citation 1

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16.

Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang

29th Australasian Finance and Banking Conference 2016
Number of pages: 57 Posted: 12 Feb 2016 Last Revised: 26 Oct 2018
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics, DePaul University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 262 (113,790)

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funding liquidity, arbitrage, basis, CDS Big Bang, standardization, central clearing

17.

A Model of Anomaly Discovery

FRB International Finance Discussion Paper No. 1128
Number of pages: 52 Posted: 10 May 2015
Liu Qu, Lei Lu, Bo Sun and Hongjun Yan
Independent, Asper School of Business, University of Manitoba, Board of Governors of the Federal Reserve System - Division of International Finance and DePaul University
Downloads 252 (118,521)

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Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing

18.

Global Perspective or Local Knowledge: The Macro-Information in the Sovereign CDS Market

Number of pages: 57 Posted: 13 Feb 2017 Last Revised: 29 Apr 2019
Yaqing Xiao, Hongjun Yan and Jinfan Zhang
Rutgers University, DePaul University and International Monetary Fund
Downloads 210 (141,807)

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Macro Information, Sovereign CDS, Predictability, Limits to Arbitrage

19.

A Search Model of the Aggregate Demand for Safe and Liquid Assets

Number of pages: 38 Posted: 26 Jan 2014 Last Revised: 11 May 2015
Ji Shen and Hongjun Yan
London School of Economics & Political Science (LSE) and DePaul University
Downloads 161 (180,122)

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Convenience Yield, Safe and Liquid Asset, Search

20.

Investing with Fast Thinking

Kelley School of Business Research Paper No. 18-54
Number of pages: 57 Posted: 20 Jun 2018 Last Revised: 17 Apr 2019
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, DePaul University and Indiana University - Kelley School of Business - Department of Finance
Downloads 140 (202,184)

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Rule of thumb, nudge, firsthand experience, P2P, fast thinking

21.

The Indirect Effects of Trading Restrictions: Evidence from a Quasi-Natural Experiment

Number of pages: 50 Posted: 04 Mar 2019
Tongji University, DePaul University, Tong Ji University - School of Economics and Management and Tongji University
Downloads 25 (482,079)

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Trading Restrictions, Margin Trading, Short Selling, Corporate Bond Spread, Information Asymmetry, Quasi-Natural Experiment, Chinese Financial Markets

In the Shadows of the Government: Relationship Building during Political Turnovers

Number of pages: 56 Posted: 15 Dec 2018
Hanming Fang, Zhe Li, Nianhang Xu and Hongjun Yan
University of Pennsylvania - Department of Economics, Renmin University of China, Renmin University of China - School of Business and DePaul University
Downloads 16 (552,641)

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Government, Relationship, Political turnover, Perk, Personnel changes

23.

Financial Intermediation Chains in an OTC Market

FRB Atlanta Working Paper No. 2018-15
Number of pages: 66 Posted: 04 Feb 2019 Last Revised: 21 Feb 2019
Ji Shen, Bin Wei and Hongjun Yan
Peking University, Federal Reserve Bank of Atlanta and DePaul University
Downloads 21 (504,200)

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search, chain, financial intermediation, multiplicity, stability

24.

Under-reaction in the Sovereign CDS Market

Number of pages: 37 Posted: 14 May 2019
Yaqing Xiao, Hongjun Yan and Jinfan Zhang
Rutgers University, DePaul University and International Monetary Fund
Downloads 14 (550,062)

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Underreaction, Macro information, Sovereign CDS, Predictability, Limits to arbitrage