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Full-time Faculty

Faculty CV

Jianfeng Yu
CURRENT  EMPLOYMENT

Chair Professor of Finance, PBC School of Finance, Tsinghua University, 2016 ~ present

  

PAST  POSITIONS

  • Piper Jaffray Professor in Finance, Professor of Finance, Associate Professor of Finance, Assistant Professor of Finance, Carlson School of Management, University of Minnesota, 2008 ~ 2017 (on leave, 2015-2017)

  • Professor of Finance, Executive Associate Dean, School of Management and Economics, Chinese University of Hong Kong (Shenzhen), 2015 ~ 2016

  • Visiting Professor of Finance, PBC School of Finance, Tsinghua University, Fall 2014

 

EDUCATION

  • Ph.D. in Finance, The Wharton School, University of Pennsylvania, 2003-2008

  • Doctoral Studies in Statistics, Yale University, 2000-2003 (M.A. obtained in 2001, PhD Dissertation Proposal Passed in 2003)

  • B.Sci. in Probability and Statistics, University of Science and Technology of China (USTC), 1996-2000


RESEARCH  INTERESTS

Asset pricing with frictions, behavioral asset pricing, and international markets


PUBLICATIONS

1.  Investor Sentiment and the Mean-Variance Relation, (with Yu Yuan), Journal of Financial Economics 100, 

     May 2011, pp. 367-281

2.  Investor Attention, Psychological Anchors, and Stock Return Predictability (with Jun Li), 

     Journal of Financial Economics 104, May 2012, pp. 401-419

3.  The Short of It: Investor Sentiment and Anomalies (with Rob Stambaugh, and Yu Yuan), 

     Journal of Financial Economics 104, May 2012, pp. 288-302

 · Inaugural AQR Insight Award, honorable mention, 2012

 · RWC Marshall Blume Prize, honorable mention, 2011

4.  Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models, 

     Review of Economic Dynamics 15, July 2012, pp. 317-335

5.  Technological Growth and Asset Pricing, (with Nicolae Garleanu and Stavros Panageas), Journal of Finance 67, August 2012, pp. 1265-1292

· Smith-Breeden Prize (First Prize), 2012

6.  Government Investment and the Stock Market (with Frederico Belo), Journal of Monetary Economics 60,

      April 2013, pp. 325-339

7.  A Sentiment-based Explanation of the Forward Premium Puzzle, Journal of Monetary Economics 60, 

     May 2013, pp.474-491

8.  Uncertainty, Risk, and Incentives: Theory and Evidence, (with Zhiguo He, Si Li and Bin Wei), 

     Management Science 60, January 2014, pp. 206-226

 · 3rd Annual TCFA Best Paper Award, 2012

9.  The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, (with Rob Stambaugh

      and Yu Yuan), February 2014, Journal of Financial Economics 114, December 2014, pp. 613-619

10. Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion 

      (with Nicolae Garleanu and Stavros Panageas), July 2015, 

      American Economic Review 105, pp. 1979-2010

11.  Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (with Rob Stambaugh and Yu Yuan), 

       October 2015, Journal of Finance 70, pp. 1903-1948

12.  Asset Pricing in Production Economies with Extrapolative Expectations (with David Hirshleifer and Jun Li),

       November 2015, Journal of Monetary Economics 76, pp. 87-106

13.  Short- and Long-Run Business Conditions and Expected Returns (with Qi Liu, Libin Tao and Weixing Wu),  

       December 2017, Management Science 63, pp. 4137-4157.

14.  Reference-Dependent Preferences and the Risk-Return Trade-off (with Huijun Wang and Jinghua Yan), 

       February 2017, Journal of Financial Economics 123, pp. 395-414

· Q-Group Research Award, 2012

· Chicago Quantitative Alliance Academic Competition, Third Prize, 2014

15. Optimal Long-Term Contracting with Learning, (with Zhiguo He, Bin Wei, and Feng Gao), October 2017, 

      Review of Financial Studies 30, pp. 2006-2065

16. Investor Sentiment and Economic Forces (with Junyan Shen and Shen Zhao), April 2017, 

      Journal of Monetary Economics 86, pp. 1-21, Lead Article

 · Chicago Quantitative Alliance Academic Competition, First Prize, 2012

 · Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013

 · TCFA Best Paper Award, 2013

17.  The Role of Reference-Dependent Preferences (with Li  An, Huijun Wang, and Jian Wang),

       2020,  Management Science, 66, pp. 473-501

         a. CQAsia Academic Competition, First Prize, 2016

18.  Impediments to Financial Trade: Theory and Applications (with Nicolae Garleanu and Stavros Panageas), 

       2020, Review of Financial Studies, 33, pp. 2697-2727

19.  Time‐Varying Demand for Lottery: Speculation Ahead of Earning Announcements 

       (with Bibo Liu, Huijun Wang and Shen Zhao), 2020, Journal of Financial Economics, 138, pp. 789-817

20.  Aggregate Expected Investment Growth and Stock Market Returns (joint with Jun Li  and Huijun Wang),

       2021, Journal of  Monetary Economics, 117, pp. 618-638

21. Media Coverage and Underreaction-Related Anomalies (with Xin Chen, Wei He, and  Libin Tao), 

      Management Science, Forthcoming



SELECTED  WORKING  PAPERS

1. Drifting Apart: The Pricing of Assets when the Benefits of Growth are not Shared Equally (with Nicolae Garleanu, Stavros Panageas, and Dimitris Papanikolaou), August 2015

2. Characteristics‐Based Factors (with Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang), January 2020

3. Investor Sentiment and the Pricing of Characteristics‐Based Factors (with Zhuo Chen, Bibo Liu, Huijun Wang and Zhengwei Wang), February 2020

4. Priming and Stock Preferences: Evidence from IPO Lotteries (with Conghui Hu, Yu‐Jane Liu, and Xin Xu), December 2019

5. Time Variation in Extrapolation and Anomalies (with Wei He and Yuehan Wang),  April 2020 

6. Attention Spillover and Asset Prices (with Xin Chen and Li An), October 2020 

7. Similar Stocks (with Wei He and Yuehan Wang), March 2021 

8. Extrapolative Market Participation (with Wanbin Pan, and Zhiwei Su), April 2021


TEACHING  EXPERIENCE

PBC School of Finance, Tsinghua University, China, Instructor

Behavioral Finance (PhD), 2018 ~ 2021

Behavioral Finance (GFD, EMBA, and Various EE Programs), 2016 ~ 2021

Behavioral Finance (Master in Finance), 2014, 2018 ~ 2020

Data Analysis and Investment Decision (FMBA), 2017 ~2021

Principle of Economics (Various EE Programs), 2016 ~

Carlson School of Management, University of Minnesota, Instructor

Behavioral Finance (UG and MBA), 2014 – 2015

Options in Corporate Finance (UG), 2010 – 2013

Corporate Financing Decision (UG), Spring 2009

Theory of Capital Markets (PhD), 2010 – 2015

Empirical Asset Pricing (PhD), Fall 2012

The Wharton School, University of Pennsylvania, Teaching Assistant

Empirical Research in Finance (Ph.D.), 2006 – 2008

Monetary Economics and the Global Economy (MBA) 2006 – 2007

Fixed Income Securities (MBA), 2004

Funding Investments (MBA), 2005 – 2006

Investment and Trading (MBA), 2005


HONORS  AND  AWARDS

  • Keynote Address: The Fifth International Workshop on Futures and Derivatives, 2016

  • CQAsia Academic Competition, First Prize, 2016

  • Keynote Address: The 7th International Workshop on Behavioral Operations Management, 2015

  • Chicago Quantitative Alliance (CQA) Academic Competition, Third Prize, 2014

  • 4th Annual TCFA Best Paper Award, 2013

  • Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013

  • Annual Faculty Research Award, Carlson School of Management, 2012 & 2014 

  • Smith-Breeden Prize (First Prize), 2012

  • Institute for Quantitative Research in Finance (Q-Group) Research Award, 2012

  • Chicago Quantitative Alliance (CQA) Academic Competition, First Prize, 2012

  • 3rd Annual TCFA Best Paper Award, 2012

  • Inaugural AQR Insight Award, honorable mention, 2012

  • RWC Marshall Blume Prize, honorable mention, 2011

  • Dean’s Small Research Grant, Carlson School of Management, 2009-2012

  • Sterling Prize Fellow, Yale University, 2000-2002

  • The Best Senior Thesis Award, Univ. of Science & Technology of China, 2000


SERVICE

Associate Editor, Journal of Financial Economics, 2021~ 

Associate Editor, Journal of Empirical Finance, 2020~ 

Associate Editor, Financial Management, 2019~ 

Associate Editor, Journal of Economic Dynamics and Control, 2018~

Associate Editor, Financial Management, 2019~

Ph.D. Program Coordinator in Finance, 2013-2015, University of Minnesota

Faculty Recruiting Committee, 2013-2014, University of Minnesota

Seminar and Brownbag Organizer, 2009-2010, University of Minnesota