Liu Yan

2008-2014, Duke University, Finance, PhD

2006-2008, University of Minnesota, Statistics, Master

2002-2006, Tsinghua University, Mathematics, Bachelor

2023.08-present，Institute of Innovation Management at Tsinghua Shenzhen International Graduate School and School of Economics and Management, Tsinghua University, Chair Professor

2023.04-2023.08， Purdue University Krannert School of Management，full professor

2022.04-2023.04， Purdue University Krannert School of Management，associate professor

2019.06-2022.04， Purdue University Krannert School of Management, assistant professor

2014.08-2019.06， Texas A&M University Department of Finance，assistant professor

Empirical and theoretical asset pricing, investment analysis, factor investment and practice, financial econometrics, big data financial modeling

Empirical and theoretical asset pricing, performance evaluation (mutual funds and hedge funds), financial econometrics, big data financial modeling, machine learning applications, alternative financial data and applications, financial safety and risk management

Refereed publications:

• “Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach”, with Stefano Cassella, Te-feng Chen, and Huseyin Gulen, 2024. Forthcoming, Journal of Financial Economics.

• “Optimal Cross-Sectional Regression”, with Zhipeng Liao and Zhenzhen Xie, 2024. Management Science.

• “Reconstructing the Yield Curve”, with Jing Cynthia Wu, 2021. Journal of Financial Economics, 142, 1395-1425.

•“Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence”, with Campbell R. Harvey. 2022. Journal of Finance，77， 1921-1966.

• “Index Option Returns and Generalized Entropy Bounds” (single authored), 2021. Journal of Financial Economics, 139, 1015–1036.

• “False (and Missed) Discoveries in Financial Economics”, with Campbell R. Harvey, 2020. Journal of Finance, 75, 2503–2553.

• “Lucky Factors?”, with Campbell R. Harvey, 2021. Journal of Financial Economics, 141, 413–435.

• “An Evaluation of Alternative Multiple Testing Methods for Finance Applications”, with Campbell R. Harvey and Alessio Saretto, 2020. Review of Asset Pricing Studies, 10, 199-248.

• “Cross-Sectional Alpha Dispersion and Performance Evaluation”, with Campbell R. Harvey, 2019. Journal of Financial Economics, 134, 273–296.

• “Detecting Repeatable Performance”, with Campbell R. Harvey, 2018. Review of Financial Studies, 31, 2499–2552.

• “... and the Cross-section of Expected Returns”, with Campbell R. Harvey and Heqing Zhu, 2016. Review of Financial Studies, 29, 5-72.

Other publications:

• “Luck vs. Skill and Factor Selection”, with Campbell R. Harvey, 2017. In John Cochrane and Tobias J. Moskowitz, eds.: The Fama Portfolio (University of Chicago Press, Chicago).

• “Backtesting”, with Campbell R. Harvey, 2015. Journal of Portfolio Management, 42(1), 12-38.

• “Evaluating Trading Strategies”, with Campbell R. Harvey, 2014. Journal of Portfolio Management, 40(5), 108-118.