Jialin Yu

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Asset price bubbles, that is, asset prices that exceed the assets' fundamental value, have always been a subject of interest to economists. Clear identification of a price bubble is challenging, however, due to the difficulty in measuring an asset's fundamental value. There is an open debate about whether each historical episode constitutes a bubble. For(More)
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks and,(More)
We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained ones) should have lower short-horizon return variance (controlling for fundamental variance) than other firms.(More)
  • Kewei Hou, Chen Xue, Lu Zhang, Roger Loh, René Stulz, Mike Weisbach +2 others
  • 2015
An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few(More)
  • Bruce I Carlin, Francis A Longstaff, Kyle Matoba, Snehal Banerjee, Karen Chaltikian, Anna Cieslak +12 others
  • 2012
How do differences of opinion affect asset prices? Do investors earn a risk premium when disagreement arises in the market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this paper, we use a novel data set that allows us to directly measure the level of disagreement among Wall Street mortgage(More)
In a set of 20 developed countries over the years 1920-2012, bank credit expansion predicts increased crash risk in the bank equity index and equity market index. However, despite the elevated crash risk, bank credit expansion predicts lower rather than higher mean returns of these indices in the subsequent one to eight quarters. Conditional on bank credit(More)
Stocks with better past returns crash more than other stocks on May 6, 2010. I find evidence that this is related to such stocks being unattractive to contrarian buyers. This suggests the importance of contrarian investors in stabilizing price fluctuations. However, the glass is half full-that the contrarian investors shun certain types of stocks limits the(More)
  • Harrison Hong, Marcin Kacperczyk, Murray Carlson, Douglas Diamond, Lorenzo Garlappi, Rob Heinkel +18 others
  • 2007
We provide evidence for the effects of social norms on markets by studying " sin " stocks—publicly traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a societal norm against funding operations that promote vice and that some investors, particularly institutions subject to norms, pay a financial cost in(More)