Yu Yuan : Citation Profile


Are you Yu Yuan?

Shanghai Jiao Tong University

6

H index

5

i10 index

265

Citations

RESEARCH PRODUCTION:

6

Articles

6

Papers

RESEARCH ACTIVITY:

   8 years (2009 - 2017). See details.
   Cites by year: 33
   Journals where Yu Yuan has often published
   Relations with other researchers
   Recent citing documents: 90.    Total self citations: 9 (3.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu149
   Updated: 2017-10-21    RAS profile: 2016-10-02    
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Relations with other researchers


Works with:

Stambaugh, Robert (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yu Yuan.

Is cited by:

Bekaert, Geert (5)

Stambaugh, Robert (5)

Mehl, Arnaud (4)

Subrahmanyam, Avanidhar (4)

De-Losso, Rodrigo (4)

Ehrmann, Michael (4)

Fratzscher, Marcel (4)

Smales, Lee (3)

Pastor, Lubos (3)

Papapostolou, Nikos (3)

Nagel, Stefan (2)

Cites to:

Baker, Malcolm (22)

Stambaugh, Robert (22)

Wurgler, Jeffrey (22)

Shleifer, Andrei (18)

French, Kenneth (18)

Titman, Sheridan (15)

Campbell, John (14)

Hou, Kewei (14)

Teoh, Siew Hong (14)

Hirshleifer, David (14)

Summers, Lawrence (11)

Main data


Where Yu Yuan has published?


Journals with more than one article published# docs
Journal of Financial Economics5

Recent works citing Yu Yuan (2017 and 2016)


YearTitle of citing document
2016Financial Integration into EU: The Romanian Case. (2016). Bozkurt, Ibrahim ; Akman, Engin . In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:42:y:2016:i:18:p:269.

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2016The impact of sentiment on price discovery. (2016). Coulton, Jeffrey J ; Smith, Tom ; Dinh, Tami ; Jackson, Andrew B. In: Accounting and Finance. RePEc:bla:acctfi:v:56:y:2016:i:3:p:669-694.

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2016Cash Flow Duration and the Term Structure of Equity Returns. (2016). Weber, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6043.

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2016Public Goods with Punishment & Payment for Relative Rank. (2016). Baker, Malcolm ; Taliaferro, Ryan ; Burnham, Terence C. In: Working Papers. RePEc:chu:wpaper:16-33.

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2016Expected skewness and momentum. (2016). Weber, Martin ; Jacobs, Heiko ; Regele, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11455.

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2017The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. (2017). Zhang, Yuejun ; Ding, Zhihua ; Long, Ruyin ; Liu, Zhenhua . In: Applied Energy. RePEc:eee:appene:v:187:y:2017:i:c:p:27-36.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Beauty contest, bounded rationality, and sentiment pricing dynamics. (2017). Liang, Hanchao ; Cai, Chuangqun ; Yang, Chunpeng . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:71-80.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2016Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225.

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2016Location of trade, return comovements, and diversification benefits: Evidence from Asian country ETFs. (2016). Lee, Hsiu-Chuan ; Hsu, Chih-Hsiang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:279-296.

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2016Wealth effect and investor sentiment. (2016). I-Chun Tsai, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:111-123.

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2016Individual stock crowded trades, individual stock investor sentiment and excess returns. (2016). Yang, Chunpeng ; Zhou, Liyun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:39-53.

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2017Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations. (2017). Filzen, Joshua J ; Schutte, Maria Gabriela . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:19-37.

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2017Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing. (2017). Liang, Hanchao ; Cai, Chuangqun ; Zhang, Rengui ; Yang, Chunpeng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:85-102.

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2016Investor attention and market microstructure. (2016). Ruan, Xinfeng ; Zhang, Jin E. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:125-130.

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2016Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. (2016). Yang, Ann Shawing . In: Emerging Markets Review. RePEc:eee:ememar:v:28:y:2016:i:c:p:140-154.

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2017Digesting anomalies in emerging European markets: A comparison of factor pricing models. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15.

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2016Inflation illusion and stock returns. (2016). Brown, William O ; Wang, Fang ; Huang, Dayong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:14-24.

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2016Local bias in investor attention: Evidence from Chinas Internet stock message boards. (2016). huang, yuqin ; Wu, Zhiguo ; Qiu, Huiyan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:338-354.

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2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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2016Managerial sentiment, consumer confidence and sector returns. (2016). Salhin, Ahmed ; Jones, Edward ; Sherif, Mohamed . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:24-38.

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2016Does investor sentiment really matter?. (2016). Koutmos, Dimitrios ; Deesomsak, Rataporn ; Chau, Frankie . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:221-232.

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2017Effects of changes in stock index compositions: A literature survey. (2017). Afego, Pyemo N. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:228-239.

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2017Impacts of the mass media effect on investor sentiment. (2017). Yang, Wen ; Yi, Zelong ; Lin, Dongtong . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:1-4.

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2016Dissecting the bond profitability premium. (2016). Campbell, Colin T ; Petkevich, Alex ; Chichernea, Doina C. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:102-131.

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2016What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?. (2016). Shen, Carl Hsin-Han . In: Journal of Financial Markets. RePEc:eee:finmar:v:29:y:2016:i:c:p:47-65.

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2016Cross-sectional return dispersion and the equity premium. (2016). Maio, Paulo . In: Journal of Financial Markets. RePEc:eee:finmar:v:29:y:2016:i:c:p:87-109.

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2017Short selling and the pricing of closed-end funds. (2017). Alexander, Gordon ; Peterson, Mark A. In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:124-142.

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2017Short selling around the 52-week and historical highs. (2017). Piqueira, Natalia ; Lee, Eunju . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:75-101.

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2017The world price of sentiment risk. (2017). Keiber, Karl Ludwig ; Samyschew, Helene . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:62-82.

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2017Global portfolio investment network and stock market comovement. (2017). Chuluun, Tuugi . In: Global Finance Journal. RePEc:eee:glofin:v:33:y:2017:i:c:p:51-68.

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2017Excess stock return comovements and the role of investor sentiment. (2017). Frijns, Bart. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:74-87.

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2016The information content of the sentiment index. (2016). Xing, Yuhang ; Zhang, Xiaoyan ; Wang, Yanchu ; Sibley, Steven E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:164-179.

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2016Estimating the risk-return trade-off with overlapping data inference. (2016). Hodrick, Robert ; Hedegaard, Esben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:135-145.

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2016Long-term industry reversals. (2016). Mazouz, Khelifa ; Wu, Yuliang . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:236-250.

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2016Sensitivity to investor sentiment and stock performance of open market share repurchases. (2016). Liang, Woan-Lih . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:75-94.

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2016Valuation uncertainty, market sentiment and the informativeness of institutional trades. (2016). Yang, Lisa ; Chiyachantana, Chiraphol ; Goh, Jeremy . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:81-98.

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2016Momentum and downside risk. (2016). Min, Byoung-Kyu ; Kim, Tong Suk . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s104-s118.

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2016Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns. (2016). Han, Bing ; Cao, Jie . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:1-15.

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2016Stock return predictability and investor sentiment: A high-frequency perspective. (2016). Shen, Jiancheng ; Sun, Licheng ; Najand, Mohammad . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:147-164.

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2016Institutional investors and stock return anomalies. (2016). Edelen, Roger M ; Kadlec, Gregory B ; Ince, Ozgur S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:3:p:472-488.

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2016Accruals, cash flows, and operating profitability in the cross section of stock returns. (2016). Ball, Ray ; Nikolaev, Valeri ; Linnainmaa, Juhani T ; Gerakos, Joseph . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:28-45.

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2016Clouded judgment: The role of sentiment in credit origination. (2016). Cortes, Kristle ; Sosyura, Denis ; Duchin, Ran . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:2:p:392-413.

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2016Gambling preference and individual equity option returns. (2016). Kim, Da-Hea ; Byun, Suk-Joon . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:1:p:155-174.

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2016Are Friday announcements special? Overcoming selection bias. (2016). michaely, roni ; Vedrashko, Alexander ; Rubin, Amir . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:1:p:65-85.

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2016Market maturity and mispricing. (2016). Jacobs, Heiko . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:2:p:270-287.

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2017Reference-dependent preferences and the risk–return trade-off. (2017). Wang, Huijun ; Yu, Jianfeng ; Yan, Jinghua . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:395-414.

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2017Well-connected short-sellers pay lower loan fees: A market-wide analysis. (2017). Giovannetti, Bruno ; Chague, Fernando ; De-Losso, Rodrigo ; Bueno, Rodrigo ; de Genaro, Alan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:3:p:646-670.

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2016Quantitative easing and the post-crisis surge in financial flows to developing countries. (2016). Mohapatra, Sanket ; Lim, Jamus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:331-357.

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2017Investor sentiment and economic forces. (2017). Shen, Junyan ; Zhao, Shen ; Yu, Jianfeng . In: Journal of Monetary Economics. RePEc:eee:moneco:v:86:y:2017:i:c:p:1-21.

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2016Investor sentiment, accounting information and stock price: Evidence from China. (2016). Niu, Feng ; Zhu, BO. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:38:y:2016:i:c:p:125-134.

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2016Market dynamics and momentum in the Taiwan stock market. (2016). Lin, Chaonan ; Yang, Nien-Tzu ; Feng, Zhi-Xiang ; Ko, Kuan-Cheng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:38:y:2016:i:c:p:59-75.

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2016Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange. (2016). Hung, Pi-Hsia . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:124-140.

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2016Buy-sell imbalance and the mean-variance relation. (2016). Jia, Yun ; Yang, Chunpeng . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pa:p:49-58.

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2016Melancholia and Japanese stock returns – 2003 to 2012. (2016). Smales, Lee ; Khuu, Joyce ; Durand, Robert B. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:424-437.

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2017Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs. (2017). Desantis, Mark ; Caginalp, Gunduz . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:436-452.

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2016Sin stock returns and investor sentiment. (2016). Liston, Daniel Perez . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:63-70.

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2016Home and foreign investor sentiment and the stock returns. (2016). ben Aissia, Dorsaf . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:71-77.

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2016Momentum profits, market cycles, and rebounds: Evidence from Germany. (2016). Kaufmann, Philipp ; Bohl, Martin T ; Czaja, Marc-Gregor . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:139-159.

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2016Does systematic distress risk drive the investment growth anomaly?. (2016). Su, Xuan-Qi . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:240-248.

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2016Analysts’ preference for growth investing and vulnerability to market-wide sentiment. (2016). Ueda, Kazuhiro ; Miwa, Kotaro . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:40-52.

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2016Investor sentiment and aggregate volatility pricing. (2016). Labidi, Chiraz ; Yaakoubi, Soumaya . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:53-63.

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2016Ticker fluency, sentiment, and asset valuation. (2016). Santhanakrishnan, Mukunthan ; Durham, Greg . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:89-96.

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2017Examining return predictability of industry style portfolios with prior return relative to a benchmark. (2017). Noman, Abdullah ; Zirek, Duygu ; Naka, Atsuyuki . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:193-203.

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2017Analysts and sentiment: A causality study. (2017). Kaplanski, Guy ; Levy, Haim . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:315-327.

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2016Another explanation of the mutual fund fee puzzle. (2016). Hu, May ; Lim, Jin Hao ; Chao, Chi-Chur . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:134-152.

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2017Diffusion of optimistic and pessimistic investor sentiment: An empirical study of an emerging market. (2017). I-Chun Tsai, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:22-34.

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2017Forecasting stock index futures returns with mixed-frequency sentiment. (2017). Gao, Bin ; Yang, Chunpeng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:69-83.

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2016Returns, volatility and investor sentiment: Evidence from European stock markets. (2016). Frugier, Alain . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:45-55.

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2016Shipping investor sentiment and international stock return predictability. (2016). Papapostolou, Nikos ; Nomikos, Nikos K ; Pouliasis, Panos K ; Kyriakou, Ioannis . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:96:y:2016:i:c:p:81-94.

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2016Diversification, gambling and market forces. (2016). ROGER, Patrick ; Broihanne, Marie-Hélène. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:1:d:10.1007_s11156-015-0497-1.

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2017Credit spreads and investment opportunities. (2017). Shen, Tao . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0545-x.

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2017Financial investor sentiment and the boom/bust in oil prices during 2003–2008. (2017). Du, Ding ; Zhao, Xiaobing . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0553-5.

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2017Relative equity market valuation conditions and acquirers’ gains. (2017). Andriosopoulos, Dimitris ; Barbopoulos, Leonidas G. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0610-0.

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2016Crash Beliefs From Investor Surveys. (2016). Shiller, Robert ; Goetzmann, William ; Kim, Dasol . In: NBER Working Papers. RePEc:nbr:nberwo:22143.

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2016Cash Flow Duration and the Term Structure of Equity Returns. (2016). Weber, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:22520.

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2017Demand for Information and Asset Pricing. (2017). Ben-Rephael, Azi ; Israelsen, Ryan D ; Da, Zhi ; Carlin, Bruce I. In: NBER Working Papers. RePEc:nbr:nberwo:23274.

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2017Portfolio Liquidity and Diversification: Theory and Evidence. (2017). Stambaugh, Robert ; Pastor, Lubos ; Taylor, Lucian A. In: NBER Working Papers. RePEc:nbr:nberwo:23670.

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2017Mispricing Factors. (2017). Stambaugh, Robert F ; Yuan, YU. In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:4:p:1270-1315..

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2016Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange. (2016). Gizelis, Demetrios ; Chowdhury, Shah . In: MPRA Paper. RePEc:pra:mprapa:71243.

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2016Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2016). Ceylan, Ozcan. In: MPRA Paper. RePEc:pra:mprapa:71320.

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2017Sport Sentiments and Stock Returns: Example of FIFA World Cups. (2017). Chiu, Ching-Wei ; Lee, Jen-Sin . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:44-56.

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2016Measuring Systemic Risk Contribution of International Mutual Funds. (2016). Jinjarak, Yothin ; Aizenman, Joshua ; Zheng, Huanhuan . In: ADBI Working Papers. RePEc:ris:adbiwp:0594.

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2016Does investor sentiment impact the returns and volatility of Islamic equities?. (2016). Haq, Sanzid ; Perez-Liston, Daniel ; Huerta, Daniel . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:3:d:10.1007_s12197-014-9290-6.

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2017Liquidity, overpricing, and the tactics of informed traders. (2017). Borghesi, Richard . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-016-9375-5.

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2016Investor Sentiment and ETF Liquidity - Evidence from Asia Markets. (2016). Lee, Wo-Chiang ; Tseng, Yung-Ching . In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:6:y:2016:i:1:f:6_1_5.

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2017Investor Attention and Sentiment: Risk or Anomaly?. (2017). Bucher, Melk C. In: Working Papers on Finance. RePEc:usg:sfwpfi:2017:12.

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2016International Sentiment Spillovers in Equity Returns. (2016). Bredin, Don ; Bathia, Deven ; Nitzsche, Dirk . In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:21:y:2016:i:4:p:332-359.

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2016The pricing of sentiment risk in European stock markets. (2016). Keiber, Karl Ludwig ; Samyschew, Helene . In: Discussion Papers. RePEc:zbw:euvwdp:384.

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Works by Yu Yuan:


YearTitleTypeCited
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
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article13
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
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This paper has another version. Agregated cites: 13
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2011Investor sentiment and the mean-variance relation In: Journal of Financial Economics.
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article55
2012Global, local, and contagious investor sentiment In: Journal of Financial Economics.
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article89
2009Global, local, and contagious investor sentiment.(2009) In: Globalization and Monetary Policy Institute Working Paper.
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This paper has another version. Agregated cites: 89
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2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
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article91
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 91
paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
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article10
2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
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