Yu Yuan

Contact Information

Financial Institutions Center 
The Wharton School
3620 Locust Walk Suite 2300
Philadelphia, PA 19104
email: yuanyu at wharton.upenn.edu

 

CV

My citations by Google scholar

 

Research Interest

Asset Pricing, Behavioral Finance, International Finance.

 

Publications

Investor Sentiment and the Mean-Variance Relation (joint with Jianfeng Yu), Journal of Financial Economics 100, May 2011, pp. 367-381.

Global, Local, and Contagious Investor Sentiment (joint with Malcolm Baker and Jeff Wurgler), Journal of Financial Economics 104, May 2012, pp 272-287.

The Short of It: Investor Sentiment and Anomalies (joint with Rob Stambaugh and Jianfeng Yu), Journal of Financial Economics 104, May 2012, pp 288-302.

The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns (joint with Rob Stambaugh and Jianfeng Yu), Journal of Financial Economics 114, December 2014, pp 613-619.

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (joint with Rob Stambaugh and Jianfeng Yu), Journal of Finance, forthcoming.

 

Working Paper

Market-Wide Attention, Trading, and Stock Returns, July 2014.  An earlier version circulated under the title "Attention and Trading".  

 

Data

International Investor Sentiment (annual, 1980-2005, Canada, France, Germany, Japan, U.K., and U.S.).