JianFeng Yu

Piper Jaffray Professor in Finance
Professor of Finance

University of Minnesota
Carlson School of Management
321 19th Ave S
Minneapolis, MN, 55455 USA
Phone: (612) 625-5498  (Office)
Email: jianfeng at umn.edu
 

My Curriculum Vitae

My SSRN Page


Data:


Publications:

  1. Reference-Dependent Preferences and the Risk-Return Tradeoff, (joint with Huijun Wang and Jinghua Yan), February 2016, Journal of Financial Economics, forthcoming
  2. 2012 Q-Group Research Award

    2014 Chicago Quantitative Alliance Academic Competition (Third Prize)

  3. Short- and Long-Run Business Conditions and Expected Returns, (joint with Qi Liu, Libin Tao, and Weixing Wu), March 2016, Management Science, forthcoming
  4. Asset Pricing in Production Economies with Extrapolative Expectations (joint with David Hirshleifer and Jun Li), Journal of Monetary Economics 76, November 2015, pp. 87-106 Extended Appendix
  5. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, (joint with Robert Stambaugh and Yu Yuan), Journal of Finance 70, October 2015, pp. 1903-1948
  6. Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion , (joint with Nicolae Garleanu and Stavros Panageas), American Economic Review 105, June 2015, pp. 1979-2010
  7. The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, (joint with Robert Stambaugh and Yu Yuan), Journal of Financial Economics 114, December 2014, pp. 613-619
  8. Uncertainty, Risk, and Incentives: Theory and Evidence, (joint with Zhiguo He, Si Li and Bin Wei), Management Science 60, January 2014, pp.206-226
  9. Winner of The Chinese Finance Association 2012 Best Paper Award

  10. A Sentiment-based Explanation of the Forward Premium Puzzle, Journal of Monetary Economics 60, May 2013, pp. 474-491 Extended Appendix
  11. Government Investment and the Stock Market (joint with Frederico Belo), Journal of Monetary Economics 60, April 2013, pp. 325-339, Extended Appendix
  12. Technological Growth and Asset Pricing, (joint with Nicolae Garleanu and Stavros Panageas), Journal of Finance 67, August 2012, pp. 1265-1292, Extended Appendix
  13. Winner of the 2012 Smith Breeden Prize (First Prize)

  14. Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models, Review of Economic Dynamics 15, July 2012, pp. 317-335 Extended Appendix
  15. The Short of It: Investor Sentiment and Anomalies, (joint with Robert Stambaugh and Yu Yuan), Journal of Financial Economics 104, May 2012, pp. 288-302
  16. 2012 AQR Insigtht Award (Honorable mention)

    2011 RWC Marshall Blume Prize (Honorable mention)

  17. Investor Attention, Psychological Anchors, and Stock Return Predictability, (joint with Jun Li), Journal of Financial Economics 104, May 2012, pp. 401-419
  18. Investor Sentiment and the Mean-Variance Relation, (joint with Yu Yuan), Journal of Financial Economics 100, May 2011, pp. 367-381

Selected Working Papers:

  1. Impediments to Financial Trade: Theory and Measurement, (joint with Nicolae Garleanu and Stavros Panageas), January 2015
  2. Investor Sentiment and Economic Forces, (joint with Junyan Shen and Shen Zhao), July 2016
  3. 2012 Chicago Quantitative Alliance Academic Competition (First Prize)

    2013 Crowell Memorial Prize (Third Prize), PanAgora Asset Management

    2013 The Chinese Finance Association (TCFA) Best Paper Award

  4. Optimal Long-term Contracting with Learning, (joint with Zhiguo He, Bin Wei, and Feng Gao), October 2014
  5. Drifiting Apart: The Pricing of Assets when the Benefits of Growth are not Shared Equally, (joint with Nicolae Garleanu, Stavros Panageas, and Dimitris Papanikolau), September 2015
  6. Lottery-Related Anomalies: The Role of Reference-Dependent Preferences, (joint with Li An, Huijun Wang, and Jian Wang), July 2016