Jianfeng Yu

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

32

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Top 1,546

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23,118

SSRN CITATIONS
Rank 860

SSRN RANKINGS

Top 860

in Total Papers Citations

646

CROSSREF CITATIONS

639

Scholarly Papers (32)

1.
Downloads 5,696 ( 1,564)
Citation 274

The Short of It: Investor Sentiment and Anomalies

Journal of Financial Economics (JFE), Vol. 104, pp 288-302, May 2012, AFA 2012 Chicago Meetings Paper
Number of pages: 37 Posted: 15 Mar 2010 Last Revised: 11 Mar 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 5,584 (1,590)
Citation 79

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Investor Sentiment, Anomaly, Short-sale Constraint

The Short of it: Investor Sentiment and Anomalies

NBER Working Paper No. w16898
Number of pages: 32 Posted: 28 Mar 2011 Last Revised: 05 Mar 2021
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 112 (293,128)
Citation 22

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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, Vol 70, pp 1903-1948, 2015, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 02 Sep 2020
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 2,854 (5,060)
Citation 67

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arbitrage risk, idiosyncratic volatility puzzle, short-sale constraints, investor sentiment

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

NBER Working Paper No. w18560
Number of pages: 35 Posted: 22 Nov 2012 Last Revised: 20 Mar 2021
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 28 (578,572)
Citation 44

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3.

Investor Sentiment and the Mean-Variance Relation

Journal of Financial Economics (JFE), Vol. 100, pp. 367-381, 2011
Number of pages: 47 Posted: 19 Nov 2005 Last Revised: 09 Mar 2011
Jianfeng Yu and Yu Yuan
Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 2,276 (7,507)
Citation 28

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investor sentiment, mean-variance relation, volatility

4.

Dissecting the Profitability Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 69 Posted: 21 Nov 2010 Last Revised: 08 Feb 2015
Huijun Wang and Jianfeng Yu
Auburn University and Tsinghua University - PBC School of Finance
Downloads 1,454 (15,342)
Citation 24

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profitability, anomaly, limit of arbitrage, information uncertainty, underreaction

5.

Investor Attention, Psychological Anchors, and Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 104, pp. 401-419, May 2012
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 20 Mar 2012
Jun Li and Jianfeng Yu
University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 1,432 (15,723)
Citation 13

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Under-reaction, Over-reaction, Anchor, Behavioral Finance

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

PBCSF-NIFR Research Paper No. 15-04
Number of pages: 71 Posted: 28 Jul 2015 Last Revised: 31 Jul 2018
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 766 (38,480)
Citation 17

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prospect theory, lottery, reference point, skewness, default, failure probability, capital gains overhang

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

Globalization and Monetary Policy Institute Working Paper No. 259
Number of pages: 52 Posted: 28 Jan 2016
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 94 (330,361)
Citation 4

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7.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 799 (36,925)
Citation 3

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Factor, Beta, Characteristics, Performance Evaluation, Anomalies

8.

Government Investment and the Stock Market

Number of pages: 39 Posted: 19 Nov 2009 Last Revised: 04 Oct 2012
Frederico Belo and Jianfeng Yu
INSEAD and Tsinghua University - PBC School of Finance
Downloads 631 (50,587)
Citation 20

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q-theory, public sector capital, return predictability

9.

Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements

PBCSF-NIFR Research Paper
Number of pages: 81 Posted: 08 Dec 2016 Last Revised: 29 Oct 2020
Bibo Liu, Huijun Wang, Jianfeng Yu and Shen Zhao
Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 620 (51,784)
Citation 2

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speculation, lottery, earnings announcements, skewness

The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Journal of Financial Economics (JFE) 114, December 2014, pp 613-619.
Number of pages: 15 Posted: 11 Jul 2012 Last Revised: 06 Nov 2014
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 591 (54,440)

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investor sentiment, anomalies, spurious regressors

The Long of it: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

NBER Working Paper No. w18231
Number of pages: 13 Posted: 21 Jul 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 18 (650,081)
Citation 10

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11.

An Empirical Assessment of Models of the Value Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 19 Jun 2011 Last Revised: 08 Apr 2014
Huijun Wang and Jianfeng Yu
Auburn University and Tsinghua University - PBC School of Finance
Downloads 595 (54,617)

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value premium, mispricing, limits to arbitrage, financial distress, default risk, profitability, duration, cash flow risk, operating leverage

12.

Investor Sentiment and Economic Forces

Number of pages: 46 Posted: 25 Jan 2012 Last Revised: 18 Jul 2016
Junyan Shen, Jianfeng Yu and Shen Zhao
Iowa State University - Department of Finance, Tsinghua University - PBC School of Finance and Chinese university of Hong Kong (Shenzhen)
Downloads 580 (56,400)
Citation 24

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macro risk, factor, investor sentiment, beta, factor-mimicking portfolio

13.
Downloads 535 ( 62,382)
Citation 3

Uncertainty, Risk, and Incentives: Theory and Evidence

Sixth Singapore International Conference on Finance 2012 Paper
Number of pages: 38 Posted: 07 Nov 2010 Last Revised: 24 Feb 2013
Zhiguo He, Si Li, Bin Wei and Jianfeng Yu
University of Chicago - Finance, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 339 (106,193)

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executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off

Uncertainty, Risk, and Incentives: Theory and Evidence

Number of pages: 38 Posted: 17 Mar 2012 Last Revised: 24 Feb 2013
Zhiguo He, Si Li, Bin Wei and Jianfeng Yu
University of Chicago - Finance, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 116 (285,881)

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executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off

Uncertainty, Risk, and Incentives: Theory and Evidence

FEDS Working Paper No. 2013-18
Number of pages: 39 Posted: 09 Apr 2013
Zhiguo He, Si Li, Bin Wei and Jianfeng Yu
University of Chicago - Finance, Wilfrid Laurier University - School of Business & Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 80 (365,366)
Citation 3

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Executive compensation, optimal contracting, learning, uncertainty, risk-incentive trade-off

Aggregate Expected Investment Growth and Stock Market Returns

Asian Finance Association (AsianFA) 2018 Conference, 29th Annual Conference on Financial Economics & Accounting 2018, PBCSF-NIFR Research Paper, Journal of Monetary Economics, Forthcoming
Number of pages: 61 Posted: 22 May 2017 Last Revised: 29 Oct 2020
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, Auburn University and Tsinghua University - PBC School of Finance
Downloads 426 (81,637)
Citation 4

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investment plan, investment lags, time-varying risk premium, investor sentiment, stock market prediction

15.

Reference-Dependent Preferences and the Risk-Return Trade-Off

Number of pages: 56 Posted: 30 May 2012 Last Revised: 17 Jun 2016
Huijun Wang, Jinghua Yan and Jianfeng Yu
Auburn University, SAC Capital Advisors and Tsinghua University - PBC School of Finance
Downloads 489 (69,747)
Citation 18

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Prospect theory, Risk-return trade-off, Risk, Uncertainty, Capital gains overhang

16.

A Sentiment-Based Explanation of the Forward Premium Puzzle

Journal of Monetary Economics, Vol. 60, 2013
Number of pages: 51 Posted: 21 Dec 2009 Last Revised: 25 Sep 2015
Jianfeng Yu
Tsinghua University - PBC School of Finance
Downloads 412 (85,584)
Citation 14

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investor sentiment, forward premium puzzle, long-run risk, Backus-Smith puzzle

17.

Asset Pricing in Production Economies with Extrapolative Expectations

Journal of Monetary Economics, Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2011 Last Revised: 25 Sep 2015
David A. Hirshleifer, Jun Li and Jianfeng Yu
University of California, Irvine - Paul Merage School of Business, University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 373 (96,049)
Citation 51

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Extrapolation, long-run risk, production-based model, recursive preferences

18.
Downloads 371 ( 96,649)
Citation 25

Technological Growth and Asset Pricing

Journal of Finance, Forthcoming
Number of pages: 43 Posted: 07 Dec 2006 Last Revised: 17 May 2012
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 332 (108,803)
Citation 26

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Production-based asset pricing, continuous-time methods, macro-finance, growth options, irreversible investment, technology adoption, vintage models

Technological Growth and Asset Pricing

NBER Working Paper No. w15340
Number of pages: 58 Posted: 15 Sep 2009 Last Revised: 13 Oct 2009
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 39 (516,954)

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19.
Downloads 334 (108,751)
Citation 17

Optimal Long-Term Contracting with Learning

Chicago Booth Research Paper No. 12-36, Fama-Miller Working Paper
Number of pages: 58 Posted: 25 Jan 2012 Last Revised: 09 Oct 2016
Zhiguo He, Bin Wei, Jianfeng Yu and Feng Gao
University of Chicago - Finance, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 275 (133,111)
Citation 7

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Executive Compensation, Moral Hazard, Bayesian Learning, Hidden Information, Belief Manipulation, Private Savings, Continuous Time, Stock Options

Optimal Long-Term Contracting with Learning

FRB Atlanta Working Paper No. 2016-10
Number of pages: 58 Posted: 10 Nov 2016 Last Revised: 30 Aug 2017
Zhiguo He, Bin Wei, Jianfeng Yu and Feng Gao
University of Chicago - Finance, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University
Downloads 59 (431,994)
Citation 7

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executive compensation, moral hazard, Bayesian learning, hidden information, belief manipulation, private savings, continuous time, stock options

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

Chicago Booth Research Paper No. 15-29, Fama-Miller Working Paper
Number of pages: 69 Posted: 20 Aug 2013 Last Revised: 09 Oct 2015
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 204 (178,586)

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Financial frictions, Market fragmentation, Leverage, Crashes, Contagion

Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

NBER Working Paper No. w19381
Number of pages: 62 Posted: 30 Aug 2013
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 11 (705,548)
Citation 6

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21.

Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models

Review of Economic Dynamics, Forthcoming
Number of pages: 47 Posted: 14 Mar 2009 Last Revised: 17 May 2012
Jianfeng Yu
Tsinghua University - PBC School of Finance
Downloads 207 (176,445)
Citation 7

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Long-run risk, habit-formation, forward-looking, long-run correlation

22.

Time Variation in Extrapolation and Anomalies

PBCSF-NIFR Research Paper
Number of pages: 49 Posted: 23 Apr 2020 Last Revised: 30 Mar 2021
Wei He, Yuehan Wang and Jianfeng Yu
University of International Business and Economics (UIBE), Tsinghua University, PBC School of Finance, Students and Tsinghua University - PBC School of Finance
Downloads 186 (195,449)

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Extrapolation, Overreaction, Underreaction, Mispricing, Factor

23.

Similar Stocks

Number of pages: 46 Posted: 01 Apr 2021
Wei He, Yuehan Wang and Jianfeng Yu
University of International Business and Economics (UIBE), Tsinghua University, PBC School of Finance, Students and Tsinghua University - PBC School of Finance
Downloads 182 (199,215)

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Similarity, Style Investing, Mispricing

24.

Investor Sentiment and the Pricing of Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 65 Posted: 25 Feb 2020 Last Revised: 29 Oct 2020
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 173 (208,176)

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Factor beta, Investor sentiment, Mispricing, Risk

25.

Attention Spillover in Asset Pricing

Number of pages: 49 Posted: 04 Dec 2020 Last Revised: 20 Feb 2021
Xin Chen, Li An, Zhengwei Wang and Jianfeng Yu
Southwestern University of Finance and Economics (SWUFE) - School of Finance, Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 164 (216,757)
Citation 1

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limited attention, overconfidence, attention spillover, price impact, return predictability

26.

Short- and Long-Run Business Conditions and Expected Returns

Number of pages: 46 Posted: 14 Jan 2014 Last Revised: 20 May 2014
Qi Liu, Libin Tao, Weixing Wu and Jianfeng Yu
Peking University - Department of Finance, University of International Business and Economics - School of Banking and Finance, University of International Business and Economics (UIBE) and Tsinghua University - PBC School of Finance
Downloads 164 (216,757)

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business condition, expected stock return, business cycle, long-run, short-run

27.

Priming and Stock Preferences: Evidence From IPO Lotteries

PBCSF-NIFR Research Paper
Number of pages: 51 Posted: 15 Jan 2020
Conghui Hu, Yu-Jane Liu, Xin Xu and Jianfeng Yu
Beijing Normal University, Business School, Peking University - Guanghua School of Management, Guangdong University of Finance and Economics and Tsinghua University - PBC School of Finance
Downloads 130 (261,608)

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priming, preferences, lottery, IPO

28.

Media Coverage and Underreaction-Related Anomalies

PBCSF-NIFR Research Paper
Number of pages: 89 Posted: 26 May 2020 Last Revised: 17 Apr 2021
Xin Chen, Wei He, Libin Tao and Jianfeng Yu
Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of International Business and Economics (UIBE), University of International Business and Economics - School of Banking and Finance and Tsinghua University - PBC School of Finance
Downloads 126 (267,819)

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Factors, Underreaction, Inattention, Mispricing, Risk

29.

Impediments to Financial Trade: Theory and Measurement

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-35
Number of pages: 64 Posted: 15 Aug 2015
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 103 (308,933)

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Financial frictions, Asset Pricing, Inefficient Markets, Performance Evaluation, Crossborder

30.

Extrapolative Market Participation

Number of pages: 69 Posted: 21 Apr 2021
Wanbin Pan, Zhiwei Su and Jianfeng Yu
School of Management, University of Science and Technology of China, Tsinghua University - PBC School of Finance, Students and Tsinghua University - PBC School of Finance
Downloads 49 (471,003)

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Extrapolation, Factor, Momentum, Participation

31.

Lottery-Related Anomalies: The Roles of Reference-Dependent Preferences

Number of pages: 51 Posted: 29 Jul 2015 Last Revised: 13 Feb 2019
Li An, Huijun Wang, Jian Wang and Jianfeng Yu
Tsinghua University - PBC School of Finance, Auburn University, The Chinese University of Hong Kong, Shenzhen and Tsinghua University - PBC School of Finance
Downloads 27 (568,958)

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prospect theory, lottery, reference point, skewness, default, failure probability, capital gains overhang

32.

Impediments to Financial Trade: Theory and Applications

NBER Working Paper No. w22697
Number of pages: 45 Posted: 03 Oct 2016
University of California, Berkeley - Haas School of Business, University of California, Los Angeles (UCLA) - Finance Area and Tsinghua University - PBC School of Finance
Downloads 18 (628,157)
Citation 3

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