Yu Yuan
Address: Shanghai Advanced Institute of
Finance,
211 West Huaihai Road, Shanghai,
P.R.China, 200030
November 2016
Phone: +86-21-62932114
Fax: +86-21-62933174
Email: [email protected]
HP: http://www.saif.sjtu.edu.cn/facultylist/yyuan/
Education
Ph.D. Finance
University of Pennsylvania
August 2008
Thesis Title: Essays in Behavioral Finance
Committee: Robert Stambaugh (Chair), Joao Gomes, Craig MacKinlay, Geoffrey Tate
M.A. Economics
B.S. Finance
University of Wisconsin-Madison
Shanghai Jiao Tong University
May 2003
July 2001
Positions
Academic Employment
Shanghai Advanced Institute of Finance
Associate Professor (with tenure)
Associate Professor (without tenure)
Assistant Professor
Jul 2015 - present
Mar 2013 - Jun 2015
Sep 2012 - Feb 2013
Visiting Assistant Professor, Wharton School,
Assistant Professor, University of Iowa,
Aug 2010 - Aug 2012
Aug 2008 - Aug 2011
Other Positions
Fellow, Wharton Financial Institutions Center
Research Associate, Federal Reserve Bank of Dallas
Mar 2012 - present
Sep 2009 - present
Research Interests
Asset Pricing, Behavioral Finance, International Finance
Publications (My Citations by Google Scholar)
Mispricing Factors, with Robert Stambaugh, Review of Financial Studies, forthcoming. Marshall
Blume Prize, Honorable Mention.
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, with Robert Stambaugh and
Jianfeng Yu, Journal of Finance 70, October 2015, pp 1903-1948.
Market-Wide Attention, Trading, and Stock Returns, Journal of Financial Economics 116, June
2015, pp 548-564. Xia Yihong Best Paper Awards.
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The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, with Robert
Stambaugh and Jianfeng Yu, Journal of Financial Economics 114, December 2014, pp 613-619.
The Short of It: Investor Sentiment and Anomalies, with Robert Stambaugh and Jianfeng Yu,
Journal of Financial Economics 104, May 2012, pp 288-302. AQR Insight Award, Honorable
Mention; Marshall Blume Prize, Honorable Mention.
Global, Local, and Contagious Investor Sentiment, with Malcolm Baker and Jeffrey Wurgler,
Journal of Financial Economics 104, May 2012, pp 272-287.
Investor Sentiment and the Mean-Variance Relation, with Jianfeng Yu, Journal of Financial
Economics 100, May 2011, pp. 367-381.
Working Papers
Absolving Beta of Volatility’s Effects, with Jianan Liu and Robert Stambaugh.
Grants and Awards
Marshall Blume Prize, Honorable Mention
NSF of China Grant (71522012, Excellent Young Scholar Award)
China Academy of Finance Research Grant
AQR Insight Award, Honorable Mention
Marshall Blume Prize, Honorable Mention
Rodney L. White Center Research Grant (with Robert Stambaugh)
Junior Faculty Research Fund (The University of Iowa)
Xia Yihong Best Paper Awards
Rodney L. White Center Research Grant
Financial Institution Center Research Grant
Weiss Center International Finance Research Grant
Conference Presentations
China International Conference in Finance, 2008, 2009, 2010, 2013
SFS Cavalcade, 2013
Queen's Behavioral Finance Conference, 2012
NBER Behavioral Finance Meeting, 2011
American Financial Association Meeting, 2010
Western Financial Association Meeting, 2006
EFM Behavioral Finance Symposium, 2006
Midwest Finance Association Meeting, 2006
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2016
2016 – 2018
2013, 2014
2012
2012
2009
2009
2008
2007
2006, 2007
2006, 2007
Academic Seminar Presentations
Cheungkong GSB (2011), Chinese University of Hong Kong (2016), City University of Hong
Kong (2011), Hong Kong University (2009, 2010, 2016), Hong Kong University of Science and
Technology (2009, 2011), National University of Singapore (2015), Seoul National University
(2016), Shanghai Advanced Institute of Finance (2011, 2012, 2015), Singapore Management
University (2015), Temple University (2010), University of Arizona (2011), University of
California – Irvine (2008), University of Florida (2008), University of Iowa (2008, 2009),
University of Notre Dame (2008), University of Southern California (2013), University of
Toronto (2012), Wharton (2005, 2006, 2007, 2011), and Yale (2008).
Professional Activities
Session Organizer and Chair, AFA Annual meeting:
Session "Limits to Arbitrage: Empirical Evidence", Jan 2013
Referee Journal of Finance, Journal of Financial Economics, Review of Financial Studies,
Journal of Monetary Economics, Journal of Money, Credit, and Banking, Review of Finance,
European Financial Management, Journal of Empirical Finance, Journal of Applied Econometrics,
Journal of Financial Services Research, Asia-Pacific Journal of Financial Studies, Journal of
Behavioral Finance.
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