Yufeng Han

University of North Carolina (UNC) at Charlotte - Finance

Associate Professor in Finance

9201 University City Boulevard

Charlotte, NC 28223

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 692

SSRN RANKINGS

Top 692

in Total Papers Downloads

43,985

SSRN CITATIONS
Rank 6,396

SSRN RANKINGS

Top 6,396

in Total Papers Citations

134

CROSSREF CITATIONS

75

Scholarly Papers (27)

1.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Yufeng Han, Ke Yang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 9,949 (644)
Citation 16

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Technical Analysis, Moving Average, Anomaly, Market Timing

2.
Downloads 8,225 ( 897)
Citation 24

Market Intraday Momentum

Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 Jan 2020
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 7,395 (1,087)
Citation 14

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Predictability, Intraday, Momentum, Economic Value

Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

Number of pages: 49 Posted: 12 Mar 2015 Last Revised: 16 Dec 2017
George Mason University, University of North Carolina (UNC) at Charlotte - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 830 (36,931)
Citation 10

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Predictability, Intraday, Momentum, Economic Value

3.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 7,730 (1,004)
Citation 3

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Momentum, crashes, downside risk, stop-loss orders

4.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 7,561 (1,052)
Citation 22

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Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

5.

Expected Stock Returns and Firm Characteristics: E-LASSO, Assessment, and Implications

Number of pages: 68 Posted: 13 Jun 2018 Last Revised: 11 Sep 2021
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Washington University in St. LouisSaint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,919 (10,717)
Citation 41

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Cross-sectional expected stock returns, Characteristic premia, Shrinkage, LASSO, Forecast combination, Forecast encompassing

6.

Anomalies Enhanced: A Portfolio Rebalancing Approach

Number of pages: 53 Posted: 01 Jul 2015 Last Revised: 22 Mar 2019
Yufeng Han, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,345 (18,680)

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Anomaly, low frequency information, volatility timing, technical analysis

7.

On the Relation between the Market Risk Premium and Market Volatility

Number of pages: 51 Posted: 06 Mar 2002
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 1,090 (25,515)
Citation 1

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Market Risk Premium, Market Risk-Return Relation, Volatility Risk Premium, Stochastic Volatility, EMM

8.

Expected Return, Volume, and Mispricing

Number of pages: 81 Posted: 16 May 2018 Last Revised: 20 May 2021
University of North Carolina (UNC) at Charlotte - Finance, Singapore Management University - Lee Kong Chian School of Business, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,029 (27,781)
Citation 3

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 59 Posted: 08 Mar 2008
University of North Carolina (UNC) at Charlotte - Finance, University of Oxford - Said Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 236 (165,067)
Citation 3

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Horses for Courses: Fund Managers and Organizational Structures

Second Singapore International Conference on Finance 2008
Number of pages: 59 Posted: 04 Mar 2008
University of North Carolina (UNC) at Charlotte - Finance, University of Texas at Dallas - Naveen Jindal School of Management and University of Oxford - Said Business School
Downloads 182 (210,502)
Citation 2

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Team Management, Fund Performance, Self Selection

Horses for Courses: Fund Managers and Organizational Structures

Number of pages: 58 Posted: 20 Mar 2012
University of North Carolina (UNC) at Charlotte - Finance, University of Oxford - Said Business School and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 182 (210,502)
Citation 4

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Team Management, Fund Performance, Fund Holdings, Self Selection

Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model

Number of pages: 41 Posted: 17 Oct 2002
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 528 (67,059)
Citation 34

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Asset Allocation With a High Dimensional Latent Factor Stochastic Volatility Model

Review of Financial Studies, Vol. 19, No. 1, pp. 237-271, 2006
Posted: 29 Feb 2008
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance

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fetus, heart rate, prenatal environment, prenatal drug exposure, cigarette smoking

11.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility Around the World

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 19 Mar 2011 Last Revised: 29 Aug 2014
Yufeng Han, Ting Hu and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance, Wuhan University - School of Economics and Management and Tulane University - A.B. Freeman School of Business
Downloads 464 (79,311)
Citation 24

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Cross-Sectional Return, International Markets, Idiosyncratic Volatility, Bid-Ask Spread

12.

Technical Analysis in the Stock Market: A Review

Number of pages: 35 Posted: 24 May 2021
Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Tsinghua University - School of Economics & Management, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 429 (87,549)

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Technical Analysis, Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

13.

Momentum, Reversal, and the Firm Fundamental Cycle

Number of pages: 54 Posted: 12 Nov 2018 Last Revised: 20 Nov 2018
University of North Carolina (UNC) at Charlotte - Finance, Utica College, University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Washington University in St. Louis - John M. Olin Business School
Downloads 362 (106,449)

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Momentum, Reversal, Firm Fundamental Cycles, PLS, PCA

14.

Are There Exploitable Trends in Commodity Future Prices?

Number of pages: 51 Posted: 16 Feb 2015
Yufeng Han and Ting Hu
University of North Carolina (UNC) at Charlotte - Finance and Wuhan University - School of Economics and Management
Downloads 353 (108,777)
Citation 3

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Commodity Futures, Moving Average, Timing, Predictability

Idiosyncratic Volatility and Liquidity Costs

Number of pages: 45 Posted: 22 Mar 2009
David A. Lesmond and Yufeng Han
Tulane University - A.B. Freeman School of Business and University of North Carolina (UNC) at Charlotte - Finance
Downloads 226 (172,198)

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Cross-Sectional Return, Idiosyncratic Volatility, Asset Pricing Model, Zero Returns, Bid-Ask Spread, Liquidity Costs

16.

The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps?

Number of pages: 62 Posted: 24 Sep 2019 Last Revised: 10 Feb 2020
Yufeng Han, Fang Liu and Xiaoxiao Tang
University of North Carolina (UNC) at Charlotte - Finance, Cornell University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 314 (123,645)

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Options, Implied Volatility, Jumps, PLS, Predictability

17.

Idiosyncratic Skewness of Commodity Futures Returns

Number of pages: 36 Posted: 07 Jun 2019 Last Revised: 28 May 2020
Yufeng Han, Xuan Mo, Zhi Su and Yifeng Zhu
University of North Carolina (UNC) at Charlotte - Finance, Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and School of Finance, Central University of Finance and Economics
Downloads 303 (128,473)
Citation 2

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Idiosyncratic skewness; Cross section; Commodity futures returns; IE

18.

Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA

Number of pages: 82 Posted: 07 Dec 2020 Last Revised: 27 Aug 2021
University of North Carolina (UNC) at Charlotte - Finance, University of North Carolina (UNC) at Charlotte - Finance, Clemson University - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 270 (144,905)
Citation 1

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Exogenous Short-Selling Shock; Mispricing; Anomalies; Market Efficiency; Dividend Taxation; Difference-in-Differences

Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?

Number of pages: 46 Posted: 23 Mar 2007
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 143 (258,311)
Citation 1

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return predictability, economic value, model mis-specification, VAR, GARCH, seminonparametric model, model selection criteria

Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?

Number of pages: 49 Posted: 02 Mar 2007
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 106 (322,826)
Citation 1

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return predictability, economic value, model mis-specification, VAR, GARCH, seminonparametric model, model selection criteria

20.

Can an Investor Profit from Return Predictability in Real Time?

Number of pages: 36 Posted: 01 Dec 2004
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 231 (168,896)
Citation 2

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Return predictability, Economic value, Portfolio performance, nonlinearity

21.

A Trend Factor in Commodity Futures Markets: Any Economic Gains From Using Information Over Investment Horizons?

Number of pages: 35 Posted: 02 Nov 2021 Last Revised: 04 Nov 2021
Yufeng Han and Lingfei Kong
University of North Carolina (UNC) at Charlotte - Finance and affiliation not provided to SSRN
Downloads 203 (193,419)

Abstract:

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Commodity futures; Moving average; Predictability; Trend; Momentum; Multifactor model

22.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility

Number of pages: 50 Posted: 18 Mar 2010
Yufeng Han and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance and Tulane University - A.B. Freeman School of Business
Downloads 182 (210,417)

Abstract:

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Cross-Sectional Return, Idiosyncratic Volatility, Zero Returns, Bid-Ask Spread

23.

The Serial Dependence of the Commodity Futures Returns: A Machine Learning Approach

Number of pages: 53 Posted: 08 Mar 2020 Last Revised: 17 Aug 2020
Yufeng Han and Lingfei Kong
University of North Carolina (UNC) at Charlotte - Finance and affiliation not provided to SSRN
Downloads 176 (216,540)

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Commodity Futures, LASSO, Machine Learning, Predictability, Serial Dependence, Financialization, Comovement

24.

Cost of Equity and State Uncertainty

Number of pages: 47 Posted: 16 Jun 2003
Yufeng Han
University of North Carolina (UNC) at Charlotte - Finance
Downloads 128 (280,321)

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25.

The Information Role of Liquidity Shock, Firm Fundamentals, and Long-Term Stock Value

Number of pages: 44 Posted: 05 Dec 2018
Yufeng Han and Zhaodan Huang
University of North Carolina (UNC) at Charlotte - Finance and Utica College
Downloads 60 (446,284)
Citation 1

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Liquidity Shock, Unanticipated changes in fundamentals, information uncertainty, short-run predictability, long-run predictability

U.S. Monetary Policy Surprises and Mortgage Rates

46th Annual AREUEA Conference Paper
Number of pages: 61 Posted: 01 Dec 2010 Last Revised: 15 Apr 2011
Tracy Xu, Yufeng Han and Jian Yang
University of Denver, University of North Carolina (UNC) at Charlotte - Finance and University of Colorado at Denver - Business School
Downloads 59 (456,730)

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U.S. Monetary Policy Surprises and Mortgage Rates

Real Estate Economics, Forthcoming
Posted: 11 Aug 2011
Tracy Xu, Yufeng Han and Yang Jiang
University of Denver, University of North Carolina (UNC) at Charlotte - Finance and University of Groningen - Faculty of Economics and Business

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monetary policy, FOMC statements, asymmetry, mortgage rates, two-factor empirical specification

27.

U.S. Monetary Policy Surprises and Mortgage Rates

Real Estate Economics, Vol. 40, Issue 3, pp. 461-507, 2012
Number of pages: 47 Posted: 25 Aug 2012
Pisun Xu, Yufeng Han and Jian Yang
affiliation not provided to SSRN, University of North Carolina (UNC) at Charlotte - Finance and University of Colorado at Denver - Business School
Downloads 0 (818,047)
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