Yu Yuan : Citation Profile


Are you Yu Yuan?

7

H index

7

i10 index

698

Citations

RESEARCH PRODUCTION:

8

Articles

7

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 77
   Journals where Yu Yuan has often published
   Relations with other researchers
   Recent citing documents: 315.    Total self citations: 11 (1.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu149
   Updated: 2020-08-01    RAS profile: 2018-12-16    
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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:

Stambaugh, Robert (7)

Lu, Jing (6)

Papapostolou, Nikos (6)

Smales, Lee (6)

De-Losso, Rodrigo (6)

Pouliasis, Panos (6)

Li, Youwei (5)

Ehrmann, Michael (5)

Bollerslev, Tim (5)

GUPTA, RANGAN (5)

Bekaert, Geert (5)

Cites to:

Stambaugh, Robert (25)

Baker, Malcolm (23)

Wurgler, Jeffrey (22)

French, Kenneth (20)

Shleifer, Andrei (18)

Hou, Kewei (17)

Hirshleifer, David (17)

Teoh, Siew Hong (17)

Titman, Sheridan (16)

Campbell, John (14)

Fama, Eugene (12)

Main data


Where Yu Yuan has published?


Journals with more than one article published# docs
Journal of Financial Economics6

Recent works citing Yu Yuan (2018 and 2017)


YearTitle of citing document
2020Does Fear has Stronger Impact than Confidence on Stock Returns?The Case of Asia-Pacific Developed Markets. (2020). Ngoc, Yoshihisa Suzuki. In: Analele Stiintifice ale Universitatii Alexandru Ioan Cuza din Iasi - Stiinte Economice. RePEc:aic:journl:y:2020:v:67-2:p:157-175.

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2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

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2018Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain. (2018). Zhou, Zhongbao ; Jiang, Yong. In: Papers. RePEc:arx:papers:1803.02962.

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2019Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2020Choosing the Right Return Distribution and the Excess Volatility Puzzle. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.08865.

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2020Equity Factors: To Short Or Not To Short, That Is The Question. (2020). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Benaych-Georges, Florent . In: Papers. RePEc:arx:papers:2003.10419.

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2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuess, Roland. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19116.

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2018Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618.

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2020The financial distress pricing puzzle in banking firms. (2020). Lee, Inro ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1351-1384.

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2018PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:74-87.

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2018The profitability effect: Insights from international equity markets. (2018). Chen, Tefeng ; Xie, Feixue ; John, K C ; Sun, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:4:p:545-580.

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2018There are two very different accruals anomalies. (2018). Detzel, Andrew ; Strauss, Jack ; Schaberl, Philipp. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:4:p:581-609.

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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2019Lottery preferences and the idiosyncratic volatility puzzle. (2019). Kassa, Haimanot ; Chichernea, Doina C ; Slezak, Steve L. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:3:p:655-683.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2018School Holidays and Stock Market Seasonality. (2018). Fang, Lily ; Shao, Yuping ; Lin, Chunmei. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:1:p:131-157.

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2019Short Interest and Lottery Stocks. (2019). Tayal, Jitendra ; Bergsma, Kelley . In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:187-227.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2019Investor Pessimism and the German Stock Market: Exploring Google Search Queries. (2019). Kleiman, Vladislav ; Dimpfl, Thomas. In: German Economic Review. RePEc:bla:germec:v:20:y:2019:i:1:p:1-28.

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2017The Validity of Investor Sentiment Proxies. (2017). Smales, Lee ; Khuu, Joyce ; Durand, Robert B ; Chan, Felix. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:473-477.

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2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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2020WHATS IN A NAME? A CAUTIONARY TALE OF PROFITABILITY ANOMALIES AND LIMITS TO ARBITRAGE. (2020). DeLisle, Jared ; Zaynutdinova, Gulnara R ; Yuksel, Zafer H. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:2:p:305-344.

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2018Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns. (2018). So, Eric C ; Johnson, Travis L. In: Journal of Accounting Research. RePEc:bla:joares:v:56:y:2018:i:1:p:217-263.

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2020Unconventional economic policies and sentiment: An international assessment. (2020). Gimet, Celine ; Gagnon, Mariehelene. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:6:p:1544-1591.

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2018“Much Ado about Nothing”? The Effect of Print Media Tone on Stock Indices. (2018). Schreiber, Ben Z ; Saadon, Yossi ; Rosenboim, Mosi. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2018.10.

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2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments. (2019). Ravazzolo, Francesco ; Concetto, Chiara Limongi. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps56.

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2017Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect. (2017). Nartea, Gilbert ; Cheema, Muhammad. In: Working Papers in Economics. RePEc:cbt:econwp:17/13.

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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2017Portfolio Liquidity and Diversification: Theory and Evidence. (2017). Pastor, Lubos ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12195.

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2017Fund Tradeoffs. (2017). Pistor, Luboi ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12513.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2019Do Fundamentals Drive Cryptocurrency Prices?. (2019). Korniotis, George ; Delikouras, Stefanos ; Bhambhwani, Siddharth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13724.

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2019Strategic Trading as a Response to Short Sellers. (2019). Tubaldi, Roberto ; Massa, Massimo ; Franzoni, Francesco ; Dimaggio, Marco ; di Maggio, Marco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13812.

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2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

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2019Global Market Inefficiencies. (2019). Grinblatt, Mark ; Bartram, Sohnke M. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14232.

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2017Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2017). Ceylan, Ozcan. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:ceylan.

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2019The Trend in Short Selling and the Cross Section of Stock Returns. (2019). Duan, Xinrui ; Zhu, Zhaobo ; Tu, Jun. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:zhuduantu.

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2020Stock return comovement when investors are distracted: more, and more homogeneous. (2020). Jansen, David-Jan ; Ehrmann, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20202412.

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2019Global Contagion of Investor Sentiment during the US Subprime Crisis: The Case of the USA and the Region of Latin America. (2019). ben Halima, Amel ; Talbi, Mariem. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-15.

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2019Impact of Consumer Sentiment on Defensive and Aggressive Stock Returns: Indian Evidence. (2019). Yelamanchili, Rama Krishna. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-04-13.

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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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2017How does investor attention affect international crude oil prices?. (2017). Zhang, Yue-Jun ; Ma, Chao-Qun ; Yao, Ting. In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:336-344.

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2019The quality of governance and momentum profits: International evidence. (2019). Chen, Jiaqi ; Sherif, Mohamed. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:5:s0890838919300484.

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2018Volatility and the buyback anomaly. (2018). Vermaelen, Theo ; Nassuphis, Nick ; DE FORTUNY, Enric JUNQUe ; Evgeniou, Theodoros . In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:32-53.

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2019Going public in China: Reverse mergers versus IPOs. (2019). Shen, Tao ; Qu, Yuanyu ; Charles, . In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:92-111.

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2019Momentum and reversal: The role of short selling. (2019). Duan, Xinrui ; Zhu, Zhaobo ; Tu, Jun ; Sun, Licheng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:95-110.

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2020Shadow banks, leverage risks, and asset prices. (2020). Feng, XU ; Xiao, Yajun ; Lu, Lei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302118.

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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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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2019Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals. (2019). Yang, Chunpeng ; Zhou, Liyun. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:130-140.

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2019Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry. (2019). Gao, Ran ; Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:8-16.

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2020The devil in the style: Mutual fund style drift, performance and common risk factors. (2020). Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:264-273.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2020A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China. (2020). Lv, Dayong ; Zhou, Yaping ; Wang, Zilin ; Ruan, Qingsong. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:47-58.

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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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2017Abnormal research and development investments and stock returns. (2017). Songur, Hilmi ; Heavilin, Jason E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:237-249.

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2017Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:285-299.

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2017Ultimate consumption risk and investment-based stock returns. (2017). Kang, Hankil ; Lee, Changjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:473-486.

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2017Investor sentiment, heterogeneous agents and asset pricing model. (2017). Li, Jinfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:504-512.

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2019The role of stock price synchronicity on the return-sentiment relation. (2019). Zhou, Liyun ; Rao, Lanlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:119-131.

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2019Sentiment trading, informed trading and dynamic asset pricing. (2019). Li, Jinfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:210-222.

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2019Investor trading behavior on agricultural future prices. (2019). Huang, Jialiang ; Zhang, Rixin ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379.

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2019Idiosyncratic volatility, the VIX and stock returns. (2019). Chen, Nir ; Kliger, Doron ; Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:431-441.

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2019Information in mispricing factors for future investment opportunities. (2019). Ryu, Doojin ; Kang, Hankil. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:657-668.

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2019The role of sentiment and stock characteristics in the translation of analysts’ forecasts into recommendations. (2019). Santamaria, Rafael ; Ferrer, Elena ; Corredor, Pilar. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:252-272.

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2019Firm-specific investor sentiment and daily stock returns. (2019). Ryu, Doojin ; Cho, Hoon ; Ik, Sang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s106294081830158x.

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2019Chasing investor sentiment in stock market. (2019). Wu, Huihui ; Yang, Chunpeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818303243.

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2019Picking winners to pick your winners: The momentum effect in commodity risk factors. (2019). Osman, Mohamed ; Karathanasopoulos, Andreas ; Mikutowski, Mateusz ; Zaremba, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306053.

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2020States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912.

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2020Effects of the fat-tail distribution on the relationship between prospect theory value and expected return. (2020). Park, Jong Won ; Eom, Cheoljun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300075.

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2020Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303183.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Time-varying lead–lag structure between investor sentiment and stock market. (2020). Li, Hong-Yu ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303973.

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2020Price gap anomaly in the US stock market: The whole story. (2020). Plastun, Alex ; GUPTA, RANGAN ; Wohar, Mark E ; Sibande, Xolani. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300747.

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2018The mean–variance relation and the role of institutional investor sentiment. (2018). Wang, Wenzhao. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:61-64.

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2018Intertemporal risk-return tradeoff in the short-run. (2018). Marks, Joseph M ; Nam, Kiseok. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:81-84.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2019Pricing sin stocks: Ethical preference vs. risk aversion. (2019). Gioffré, Alessandro ; Curatola, Giuliano ; Colonnello, Stefano ; Gioffre, Alessandro. In: European Economic Review. RePEc:eee:eecrev:v:118:y:2019:i:c:p:69-100.

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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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2018Housing market sentiment and intervention effectiveness: Evidence from China. (2018). Zhou, Zhengyi. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:91-110.

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2019The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286.

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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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2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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2018The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”. (2018). Egginton, Jared ; Hur, Jungshik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:229-245.

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2018Smart beta, smart money. (2018). Chen, Qinhua ; Chi, Yeguang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:19-38.

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2019Investor sentiment, SEO market timing, and stock price performance. (2019). Lin, Chu-Bin ; Chou, Robin K ; Chen, Yi-Wen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:28-43.

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2019Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?. (2019). Wang, Yudong ; Ma, Feng ; Zhang, Yaojie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:97-117.

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2020Value at risk, cross-sectional returns and the role of investor sentiment. (2020). Zhu, Yifeng ; Bi, Jia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:1-18.

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2019OPEC in the news. (2019). Plante, Michael. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:163-172.

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2019Oil prices and stock market anomalies. (2019). Scrimgeour, Frank ; Cheema, Muhammad A. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:578-587.

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

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2017Cognitive biases in investors behaviour under stress: Evidence from the London Stock Exchange. (2017). Philippas, Dionisis ; SIRIOPOULOS, COSTAS ; Kariofyllas, Spyridon. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:54-62.

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2018Return dispersion risk in FX and global equity markets: Does it explain currency momentum?. (2018). Grobys, Klaus ; Kolari, James ; Heinonen, Jari-Pekka . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:264-280.

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2018The 52-week high, momentum, and investor sentiment. (2018). Hao, Ying ; Yang, Nien-Tzu ; Ko, Kuan-Cheng ; Chou, Robin K. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:167-183.

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2018Sentiment-based momentum strategy. (2018). Suh, Sangwon ; Kim, Byungoh. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:52-68.

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2018Investor sentiment: Does it augment the performance of asset pricing models?. (2018). Bredin, Don ; Bathia, Deven. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:290-303.

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More than 100 citations found, this list is not complete...

Works by Yu Yuan:


YearTitleTypeCited
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
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article88
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
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This paper has another version. Agregated cites: 88
paper
2011Investor sentiment and the mean-variance relation In: Journal of Financial Economics.
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article116
2012Global, local, and contagious investor sentiment In: Journal of Financial Economics.
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article174
2009Global, local, and contagious investor sentiment.(2009) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 174
paper
2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
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article236
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 236
paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
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article28
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: 28
paper
2015Market-wide attention, trading, and stock returns In: Journal of Financial Economics.
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article32
2018Absolving beta of volatility’s effects In: Journal of Financial Economics.
[Full Text][Citation analysis]
article7
2015Mispricing Factors In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2017Mispricing Factors.(2017) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2017Anomalies Abroad: Beyond Data Mining In: NBER Working Papers.
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paper2
2018Size and Value in China In: NBER Working Papers.
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paper10

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