Jianfeng Yu - NUS Business School

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Jianfeng Yu
November 2007
[email protected]
http://assets.wharton.upenn.edu/~jianfeng
Office Contact Information
3620 Locust Walk, Suite 2300
Philadelphia, PA 19104
Phone: (215)-796-8442 (cell)
Home Contact Information
123 S. 39th Street, Apt D5
Philadelphia, PA 19104
Education
University of Pennsylvania
Ph.D. in Finance, May 2008 (Expected)
M.A. in Finance, May 2007
Yale University
Ph.D. program, 2000-2003 (Dissertation proposal approved)
M.A. in Statistics, December 2001
University of Science and Technology of China (USTC)
B.S. in Statistics, July 2000
Working Papers
“The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to
Test Asset Pricing Models”, (Job Market Paper)
“Technological Growth, Asset Pricing, and Consumption Risk”, (joint with Stavros Panageas)
“Investor Sentiment and Mean-Variance Relation”, (joint with Yu Yuan)
Research Interests
Theoretical and Empirical Asset Pricing
Teaching Interests
Derivative Markets and Financial Engineering
Asset Pricing
Empirical Methods in Finance
Fixed Income Securities
Teaching Experience
Teaching Assistant, The Wharton School, University of Pennsylvania, 2004-2007
Monetary Economics and the Global Economy (MBA), Fixed Income Securities (MBA),
Financial Derivatives (Undergraduate), Funding Investments (MBA and Undergraduate),
Investment and Trading (MBA), Corporate Finance (Undergraduate), Empirical Research in
Finance (Ph.D.)
Teaching Assistant, Yale University, 2002~2003
Information Theory (Ph.D.), Theory of Statistics (Ph.D.), Introduction to Statistics
(Undergraduate)
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Jianfeng Yu
November 2007
Honors and Awards
Dissertation Fellowship
Dean’s Fellowship for Distinguished Merit
Sterling Prize Fellowship
University Fellowship
Outstanding Undergraduate Thesis Award
University of Pennsylvania, 2007-2008
University of Pennsylvania, 2003-2007
Yale University, 2000-2002
Yale University, 2000-2003
USTC, 2000
References
Stavros Panageas (Chair)
Finance Department
The Wharton School
University of Pennsylvania
Phone: (215) 746-0496
[email protected]
Andrew Abel
Finance Department
The Wharton School
University of Pennsylvania
Phone: (215) 898-4801
[email protected]
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Amir Yaron
Finance Department
The Wharton School
University of Pennsylvania
Phone: (215) 898-1241
[email protected]
Jianfeng Yu
November 2007
Research Abstract
“The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to
Test Asset Pricing Models”, job market paper
This paper examines a new set of implications of existing asset pricing models for the
correlation between returns and consumption growth over the short and the long run. The findings
suggest that external habit formation models face a challenge in producing two robust facts in
aggregate data, namely, that stock market returns lead consumption growth, and that the
correlation between returns and consumption growth is higher at low frequencies than it is at
high frequencies. To reconcile these facts with a consumption-based model, I show that one needs
to focus on models that contain a "forward looking" consumption component, i.e., models that
allow for both trend and cyclical fluctuations in consumption, and that link expected returns to the
cyclical fluctuations in consumption. The models by Bansal and Yaron (2004) and Panageas and
Yu (2005) provide examples of such models.
“Technological Growth, Asset Pricing, and Consumption Risk”, (joint with Stavros Panageas)
In this paper we develop a theoretical model in order to understand co-movements between
asset returns and consumption over short and long horizons. We present an intertemporal general
equilibrium model featuring two types of shocks: "small", frequent and disembodied shocks to
productivity and "large" technological innovations, which are embodied into new vintages of the
capital stock. The latter types of shocks affect the economy with lags, since firms need to invest
before they can take advantage of the new technologies. The delayed reaction of consumption to a
large technological innovation helps us explain why short run correlations between returns and
consumption growth are weaker than their long run counterparts. Because of this effect, the model
can shed some light into the economic mechanisms that make consumption based asset pricing
more successful at lower frequencies.
“Investor Sentiment and Mean-Variance Relation”, (joint with Yu Yuan)
We find that the stock market's expected excess return is positively related to the market's
conditional variance in the low-sentiment periods but unrelated to variance in the high-sentiment
periods. These findings are consistent with sentiment-driven traders who exit the stock market
when they are pessimistic but enter it more aggressively when they are optimistic. We also find
that the negative correlation between returns and contemporaneous volatility innovations is much
stronger in the low-sentiment periods. The latter result is consistent with the stronger positive ex
ante relation in such periods.
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