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Yan Liu

Assistant Professor of Finance, Purdue University

mailing address: Krannert Building, 403 W. State Street, West Lafayette, IN 47907-2056, USA
phone: (919) 428-1118  
email: liu2746@purdue.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 was at Texas A&M University from 2014 to 2019. I moved to Purdue finance in June 2019. 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, financial reporting, and financial institutions.

teaching.   I teach Options and Futures and Financial Risk Management at Purdue University. Previously, I taught Investment Analysis (undergraduate level) at Texas A&M University. See my CV for student evaluations for my class.


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

  Working Papers
  • Distorting Arrow-Debreu Securities: New Entropy Restrictions Implied by the Option Cross Section, with Fousseni Chabi-Yo, 2020. (SSRN)

  • Diversifying Private Equity, with Oleg Gredil and Berk Sensoy, 2020. (SSRN)

  • Crowding: Evidence from Fund Managerial Structure, with Campbell R. Harvey, Eric Tan, and Min Zhu, 2020. (SSRN)

  • Beta Signatures, with Campbell R. Harvey, 2020.

  • Reconstructing the Yield Curve, with Jing Cynthia Wu, 2019. (SSRN)

  • A census of the factor zoo, with Campbell R. Harvey, 2019. (SSRN)

  • Distorted Risk Incentives from Size Threshold-Based Regulations, with Shane A. Johnson, 2018. (SSRN) (Submitted)

  • Asset Pricing with Prior Anchors: Evidence Based on Disclosed Risk Factors, with Sophia Hu and Shane A. Johnson, 2017. (SSRN)
    - Conference presentations: CICF 2017, FMA 2017

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

  • Lucky Factors? with Campbell R. Harvey, 2014. (SSRN) (Revise&Resubmit, Journal of Financial Economics)
    - 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)

  Publications
  • Index Option Returns and Generalized Entropy Bounds, 2020. Forthcoming, Journal of Financial Economics . (Link)

  • An Evaluation of Alternative Multiple Testing Methods for Finance Applications, with Campbell R. Harvey and Alessio Saretto, 2020. Forthcoming, Review of Asset Pricing Studies . (Link)
    - Invited and Refereed

  • False (and Missed) Discoveries in Financial Economics, with Campbell R. Harvey, 2019. Forthcoming, Journal of Finance. (Link)

  • Cross-Sectional Alpha Dispersion and Performance Evaluation, with Campbell R. Harvey, 2018. Journal of Financial Economics, 134, 273-296. (Link)

  • Detecting Repeatable Performance, with Campbell R. Harvey, 2018. Review of Financial Studies, 29, 5-72. (Link) (NBER)

  • Dots 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