|
|
Hongjun Yan Assistant
Professor of Finance Yale
School of Management Tel:
(203) 432-6277 Email:
hongjun.yan @ yale.edu |
Research interest: Asset Pricing: Heterogeneous Beliefs, Learning,
Reputation and Bounded Rationality.
Education: PhD in Finance, London
Business School
Curriculum Vitae: CV
Publication and forthcoming:
· Equilibrium Asset Prices and
Investor Behavior in the Presence of Money Illusion, with Suleyman Basak, forthcoming, Review of Economic Studies.
Money illusion, where investors
(partially) overlook the impact of inflation, typically only leads to a negligible welfare loss on
investors but has a considerable impact on the equilibrium.
Ø
An
earlier version with an alternative
preference-based formulation.
·
Heterogeneous
Expectations and Bond Markets, with Wei Xiong, forthcoming, Review
of Financial Studies.
The relative wealth fluctuation,
induced by heterogeneous expectations, affects the joint behavior of yield
curve, bond premium, yield volatility, and trading volume.
·
Natural
Selection in Financial Markets: Does It
Work? Management Science, 2008, 54 (11), 1935-1950.
Selection is excessively slow.
Even slightly different preference parameters can make a “very wrong”
investor dominate
the market.
Working paper:
·
Uncertainty and Valuations, with
Martijn Cremers (November 2009)
A litmus test
for the idea that uncertainty about a firm’s profitability increases its stock
valuation (e.g., tech stock during late 1990’s). This idea implies that uncertainty
increases stock valuations but decreases
corporate bond valuations. We test this using a number of uncertainty measures,
only one of which appears to work.
·
The Impact of Earnings Surprises on
Stock Returns: Theory and Evidence, with Panos Patatoukas (August 2009)
·
Nickels versus Black Swans: Reputation, Trading
Strategies and Asset Prices, with Steven
Malliaris (Jan 2009)
Fund managers’
reputation concerns make them prefer “Nickel strategies”, strategies that earn
small positive returns most of the time but occasionally lead to dramatic
losses. The interaction between mangers’ reputation concerns and investors’
perceptions can lead to multiple self-fulfilling equilibira, shedding lights on
fads in hedge fund strategies, slow-moving capital, drastic price changes with
little news on fundamentals.
·
Is Noise Trading Cancelled Out by Aggregation? (Jan 2009)
Individual
biases often have a significant impact on the equilibrium at the aggregate
level even if the biases are independent across investors.
·
The Behavior
of Individual and Aggregate Stock Prices (Feb. 2007)
News of an individual stock normally
has a trivial impact on the whole economy. News of the aggregate stock market, however, may have a
significant impact on the prospects of the economy, and so a large impact on the pricing
kernel. This leads to the different behavior of individual and aggregate stock
prices.
Teaching: MGT 543 Financial Instruments and
Contracts (MBA)