Hongjun Yan

 

Assistant Professor of Finance

Yale School of Management

Tel: (203) 432-6277

Email: hongjun.yan AT yale.edu

Web: http://www.som.yale.edu/faculty/hy92/

Research interest: Asset Pricing: Heterogeneous Beliefs, Learning, Reputation and Bounded Rationality.

Education: PhD in Finance, London Business School, 2005.

Curriculum Vitae: CV

Publication:

·        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:

·        Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices, with Steven Malliaris (October 2008)

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.     

·        Heterogeneous Expectations and Bond Markets, with Wei Xiong (revised Jan. 2008)

The relative wealth fluctuation, induced by heterogeneous expectations, affects the joint behavior of yield curve, bond premium, yield volatility, and trading volume. 

Revise and Resubmit, Review of Financial Studies.

 

·        Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion, with Suleyman Basak (October 2008)

What would happen if investors have money illusion, i.e. they (partially) overlook the impact of inflation? We show that money illusion typically only leads to a negligible welfare loss on investors but has a considerable impact on the equilibrium.

2nd round at Review of Economic Studies.

 

Ø      An earlier version with an alternative preference-based formulation.

 

·        Is Noise Trading Cancelled Out by Aggregation? (July 2008)

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)

 visitors since November 1, 2003