Hongjun Yan

Driehaus College of Business, DePaul University

Richard H. Driehaus Chair in Behavioral Finance

1 East Jackson Blvd.

Chicago, IL 60604

United States

http://sites.google.com/site/hongjunyanhomepage/

SCHOLARLY PAPERS

18

DOWNLOADS
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10,268

CITATIONS
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Top 4,033

in Total Papers Citations

133

Scholarly Papers (18)

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 Driehaus College of Business, DePaul University
Downloads 1,228 (11,573)
Citation 14

Abstract:

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 Driehaus College of Business, DePaul University
Downloads 923 (17,976)
Citation 14

Abstract:

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 Driehaus College of Business, DePaul University
Downloads 2 (540,468)
Citation 14

Abstract:

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: 34 Posted: 30 Oct 2008 Last Revised: 19 Mar 2015
Steven G. Malliaris and Hongjun Yan
Yale University - International Center for Finance and Driehaus College of Business, DePaul University
Downloads 1,131 (12,092)
Citation 8

Abstract:

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 Driehaus College of Business, DePaul University
Downloads 1,040 (14,261)
Citation 4

Abstract:

Uncertainty, convexity, valuation, technology bubble

4.

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
Driehaus College of Business, DePaul University
Downloads 762 (22,370)
Citation 39

Abstract:

Market selection, asset pricing, general equilibrium, heterogeneous beliefs

5.
Downloads 704 ( 27,143)
Citation 42

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
Driehaus College of Business, DePaul University and Princeton University - Department of Economics
Downloads 673 (28,443)
Citation 42

Abstract:

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
Hongjun Yan and Wei Xiong
Driehaus College of Business, DePaul University and Princeton University - Department of Economics
Downloads 31 (384,033)
Citation 42

Abstract:

6.

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
Driehaus College of Business, DePaul University
Downloads 620 (30,571)
Citation 8

Abstract:

Aggregation, bias, noise trading, behavioral finance

7.

The Behavior of Individual and Aggregate Stock Prices

Number of pages: 39 Posted: 12 Jan 2004
Hongjun Yan
Driehaus College of Business, DePaul University
Downloads 549 (36,911)
Citation 6

Abstract:

Learning, Information Quality, Earnings Surprises

8.

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), Driehaus College of Business, DePaul University and International Monetary Fund
Downloads 440 (44,855)
Citation 6

Abstract:

Liquidity, Capital mobility, Supply shocks, Treasury auctions

9.
Downloads 378 ( 60,391)
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 Driehaus College of Business, DePaul University
Downloads 359 (63,599)
Citation 2

Abstract:

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 Driehaus College of Business, DePaul University
Downloads 19 (446,149)
Citation 3

Abstract:

10.

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 Schoold and Driehaus College of Business, DePaul University
Downloads 354 (33,537)

Abstract:

Financial Innovation, Leverage, Investor behavior, Index

11.

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), Driehaus College of Business, DePaul University and International Monetary Fund
Downloads 292 (68,020)
Citation 1

Abstract:

Financial Innovation, Collateral, Financial Intermediation, Leverage

12.

A Model of Anomaly Discovery

Number of pages: 43 Posted: 02 May 2014 Last Revised: 26 Jun 2015
Qi Liu, Lei Lu, Bo Sun and Hongjun Yan
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 Driehaus College of Business, DePaul University
Downloads 239 (68,946)

Abstract:

Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing

13.
Downloads 238 (101,171)
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 Driehaus College of Business, DePaul University
Downloads 227 (105,766)
Citation 1

Abstract:

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
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 Driehaus College of Business, DePaul University
Downloads 11 (491,620)
Citation 1

Abstract:

14.

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 Driehaus College of Business, DePaul University
Downloads 194 (101,171)

Abstract:

Anomaly, Arbitrage, Discovery, Arbitrageur-based asset pricing

15.

Financial Intermediation Chains in an OTC Market

Number of pages: 66 Posted: 14 Mar 2015 Last Revised: 30 Oct 2016
Ji Shen, Bin Wei and Hongjun Yan
London School of Economics & Political Science (LSE), Federal Reserve Bank of Atlanta and Driehaus College of Business, DePaul University
Downloads 97 (114,698)

Abstract:

Search, Chain, Financial Intermediation

16.

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 Driehaus College of Business, DePaul University
Downloads 88 (180,216)

Abstract:

Convenience Yield, Safe and Liquid Asset, Search

17.

The Macro-Informational Role of Derivatives: Evidence from the Sovereign CDS Market

Number of pages: 36 Posted: 13 Feb 2017 Last Revised: 19 Feb 2017
Yaqing Xiao, Hongjun Yan and Jinfan Zhang
Rutgers University, Driehaus College of Business, DePaul University and International Monetary Fund
Downloads 0 (367,171)

Abstract:

Information, limits to arbitrage, CDS, predictability, financial innovation

18.

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

Number of pages: 35 Posted: 12 Feb 2016 Last Revised: 02 Sep 2016
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics, Driehaus College of Business, DePaul University and Rutgers University
Downloads 0 (197,034)

Abstract:

funding liquidity, credit default swaps, basis, CDS Big Bang, standardization