Details about Shu Yan

Access statistics for papers by Shu Yan.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pya169

Working Papers

2012

1. Bank regulation and stability: An examination of the Basel market risk framework
   Discussion Papers, Deutsche Bundesbank View citations (2)

2004

2. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (20)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (20)

2002

3. Relative Pricing of Options with Stochastic Volatility
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (23)

2000

4. Predictive Regressions Revisited
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
5. Transactions Costs in the Foreign Exchange Market
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (4)

Journal Articles

2024

1. Information spillover and cross-predictability of currency returns: An analysis via Machine Learning
   Journal of Banking & Finance, 2024, 169, (C)
2. Nominal price illusion, return skewness, and momentum
   Finance Research Letters, 2024, 67, (PB)

2023

3. A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies
   Journal of Empirical Finance, 2023, 74, (C) View citations (2)
4. CEO incentive compensation and stock price momentum
   Accounting and Finance, 2023, 63, (S1), 975-1028

2021

5. Dispersion in analysts’ target prices and stock returns
   The North American Journal of Economics and Finance, 2021, 56, (C) View citations (1)
6. Higher moments, extreme returns, and cross–section of cryptocurrency returns
   Finance Research Letters, 2021, 39, (C) View citations (16)
7. Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule
   Journal of International Money and Finance, 2021, 119, (C)

2020

8. Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives
   Financial Analysts Journal, 2020, 76, (1), 63-81
9. Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion
   Journal of Banking & Finance, 2020, 110, (C) View citations (1)

2019

10. CEO incentive compensation and stock liquidity
    Review of Quantitative Finance and Accounting, 2019, 53, (4), 1069-1098 View citations (7)

2017

11. Portfolio selection with mental accounts and estimation risk
    Journal of Empirical Finance, 2017, 41, (C), 161-186 View citations (4)

2015

12. On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule
    Financial Markets, Institutions & Instruments, 2015, 24, (2-3), 87-125

2014

13. Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books
    Journal of International Money and Finance, 2014, 43, (C), 107-130 View citations (4)

2013

14. A comparison of the original and revised Basel market risk frameworks for regulating bank capital
    Journal of Economic Behavior & Organization, 2013, 85, (C), 249-268 View citations (7)

2012

15. When more is less: Using multiple constraints to reduce tail risk
    Journal of Banking & Finance, 2012, 36, (10), 2693-2716 View citations (7)

2011

16. Jump risk, stock returns, and slope of implied volatility smile
    Journal of Financial Economics, 2011, 99, (1), 216-233 View citations (119)

2010

17. Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
    The Review of Economics and Statistics, 2010, 92, (2), 435-451 View citations (133)

2009

18. Linear-quadratic term structure models - Toward the understanding of jumps in interest rates
    Journal of Banking & Finance, 2009, 33, (3), 473-485 View citations (23)
19. Reducing estimation risk in optimal portfolio selection when short sales are allowed
    Managerial and Decision Economics, 2009, 30, (5), 281-305 View citations (5)

2007

20. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
    Journal of Banking & Finance, 2007, 31, (12), 3761-3781 View citations (19)

2004

21. On Predicting Stock Returns with Nearly Integrated Explanatory Variables
    The Journal of Business, 2004, 77, (4), 937-966 View citations (154)

2003

22. Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility
    Review of Finance, 2003, 7, (3), 481-510 View citations (44)
    Also in Review of Finance, 2003, 7, (3), 481-510 (2003) View citations (47)

2000

23. An explanation of the forward premium ‘puzzle’
    European Financial Management, 2000, 6, (2), 121-148 View citations (15)