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Yan Liu

Assistant Professor of Finance, Texas A&M University

mailing address: 360 Wehner Building, 4218 TAMU, 400 Bizzell St, College Station, TX 77843, USA
phone: (919) 428-1118  
email: y-liu@mays.tamu.edu


bio.   I received my Ph.D. in finance from Duke University in 2014. My Ph.D. thesis consists of two parts: the first part studies asset market anomalies and proposes new methods to test asset pricing models; the second part develops the concept of generalized entropy and uses it to diagnose macro finance models. Before going to Duke, I obtained my M.A. in statistics (I was a Ph.D. candidate initially) from the University of Minnesota, Twin Cities, and my B.S. in mathematics (with distinction) from Tsinghua University, Beijing. I joined the Finance Department at Texas A&M University in 2014. See my CV for more details.

research.   My current research interests include empirical and theoretical asset pricing, financial econometrics, macro finance, mutual funds and hedge funds, and financial reporting.

teaching.   I teach FIN 351, Investment Analysis (undergraduate level) at Texas A&M. The ratings for my course for the previous two years are 4.75/5.00 (2017) and 4.72/5.00 (2016). For course information, please email me at y-liu@mays.tamu.edu.


  Reasearch Papers (see my CV for more publications and bibliographic details)

  Working Papers
  • Asset Pricing with Prior Anchors: Evidence Based on Disclosed Risk Factors, with Sophia Hu and Shane A. Johnson, 2016. (SSRN)

  • Does Scale Impact Skill?, with Campbell R. Harvey, 2016. (SSRN)
    - Conference presentations: WFA 2017 (scheduled)

  • Rethinking Performance Evaluation, with Campbell R. Harvey, 2015. (SSRN) (NBER) (Revise & Resubmit, Review of Financial Studies)
    - Conference presentations: WFA 2016, AFA 2017, SFS Cavalcade 2016

  • Lucky Factors? with Campbell R. Harvey, 2014. (SSRN) (Revise & Resubmit, Journal of Finance)
    - Conference presentations: AFA 2016, SoFiE 2016, Wharton Jacobs Levy Conference 2015 (New York), Society for Quantitative Analysis 2015 (New York), Man Quant Conference 2015

  • Multiple Testing in Economics, with Campbell R. Harvey, 2014. (SSRN)

  • Diagnosing Dynamic Asset Pricing Models with Generalized Entropy Bounds, 2014. (SSRN)

  • Index Option Returns and Generalized Entropy Bounds, 2014. (SSRN)
    - Conference presentations: AFA 2015, SoFiE 2016, CICF 2015, Lone Star Finance Conference 2015 (UT Dallas)
  Publications
  • … and the Cross-section of Expected Returns, with Campbell R. Harvey and Heqing Zhu, 2016. Review of Financial Studies, 29, 5-72. (Link) (NBER)
    - Lead article
    - NASDAQ OMX Award, 2014, for the best paper in asset pricing at the Western Finance Association Meetings (WFA, 2014)
    - Best Paper Award, 2014, INQUIRE-Europe-UK

  • Luck vs. Skill and Factor Selection, with Campbell R. Harvey, 2015. in The Fama Portfolio, John Cochrane and Tobias J. Moskowitz, ed., Chicago: University of Chicago Press. (Link)

  • Backtesting, with Campbell R. Harvey, 2015. Journal of Portfolio Management, 42(1), 12-38. (Link)
    - Lead article
    - Bernstein Fabozzi/Jacobs Levy Award, 2015, for the best paper in the Journal of Portfolio Management

  • Evaluating Trading Strategies, with Campbell R. Harvey, 2014. Journal of Portfolio Management, 40(5), 108-118. (Link)
    - Bernstein Fabozzi/Jacobs Levy Award, 2014, for the best paper in the Journal of Portfolio Management