Yu Yuan
Contact
Information
Department of
Finance
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.
Working Paper
Market-Wide Attention, Trading, and Stock Returns, September 2012. An earlier version circulated under
the title "Attention and Trading".
The Long
of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns (joint with Rob Stambaugh
and Jianfeng Yu), July 2012.
Arbitrage
Asymmetry and the Idiosyncratic Volatility Puzzle (joint with Rob
Stambaugh and Jianfeng
Yu), October 2012.
Data
International Investor Sentiment (annual, 1980-2005, Canada, France, Germany, Japan, U.K., and U.S.).