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Oklahoma State University

SHU YAN

SHU YAN

Department of Finance
Associate Professor and ONEOK Chair

BUS 262
STILLWATER, OK 74078-4011
Phone: 405-744-5089

yanshu@okstate.edu

Education

  • Ph D, Anderson School of Management at UCLA, Finance, 2000
  • Ph D, University of California at San Diego, Mathematics, 1995
  • BS, Nankai University, China, Mathematics, 1990

Publications

  • Xingjian Li, Hongrui Feng, Heng Wang, and Shu Yan. "Dispersion in Analysts' Target Prices and Stock Returns". North American Journal of Economics and Finance (Forthcoming).
  • Yuecheng Jia, Yuzheng Liu, and Shu Yan. (2020). "Higher moments, extreme returns, and cross–section of cryptocurrency returns". Finance Research Letters.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2020). "Portfolio Selection with Mental Accounts: An Equilibrium Model with Endogenous Risk Aversion". Journal of Banking and Finance. (110),
  • Shingo Goto, Zhao Wang, and Shu Yan. (2019). "Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives". Financial Analyst Journal. (76), 1, 63-81.
  • Hongrui Feng and Shu Yan. (2019). "CEO Incentive Compensation and Stock Liquidity". Springer: Review of Quantitative Finance and Accounting. (53), 4, 1069-1098.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2017). "Portfolio Selection with Mental Accounts and Estimation Risk". Journal of Empirical Finance. (41), 161-186.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2015). "On the Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule". Financial Markets, Institutions & Instruments. (24), 87-125.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2014). "Bank Regulation and International Financial Stability: A Case against the 2006 Basel Market Risk Framework". Journal of International Money and Finance. (43), 107-130.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2013). "A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital". Journal of Economic Behavior and Organization. (85), 249-268.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2012). "When More Is Less: Using Multiple Constraints to Reduce Tail Risk". Journal of Banking and Finance. (36), 2693-2716.
  • Shu Yan. (2011). "Jump Risk, Stock Returns, and Slope of Implied Volatility Smile". Journal of Financial Economics. (99), 216-233.
  • Pedro Santa-Clara and Shu Yan. (2010). "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options". Review of Economics and Statistics. (92), 435-451.
  • Jiang George and Shu Yan. (2009). "Linear-Quadratic Term Structure Models - Toward the Understanding of Jumps in Interest Rate". Journal of Banking and Finance. (33), 473-485.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2009). "Reducing Estimation Risk in Portfolio Selection When Short Sales are Allowed". Managerial and Decision Economics. (30), 281-305.
  • Gordon Alexander, Alexandre Baptista, and Shu Yan. (2007). "Mean-Variance Portfolio Selection with ‘at-Risk’ Constraints and Discrete Distributions". Journal of Banking and Finance. (31), 3761-3781.
  • Walter Torous, Rossen Valkanov, and Shu Yan. (2004). "On Predicting Stock Returns with Nearly Integrated Explanatory Variables". Journal of Business. (77), 937-966.
  • Robert Aliber, Bhagwan Chowdhry, and Shu Yan. (2003). "Some Evidence that a Tobin Tax on Foreign Exchange Transactions may Increase Volatility". Review of Finance. (7), 481-510.
  • Richard Roll and Shu Yan. (2000). "An Explanation of the Forward Premium Puzzle". European Financial Management. (6), 121-148.

Awards and Honors

  • Outstanding Referee for Real Estate Economics (2014)
  • Outstanding Paper in Financial Markets, Banking, and Institutions (2013)
  • BankScope Prize (2012)
  • Crowell Prize, second place (2009)
  • Outstanding Paper in Investments (2007)

Academic, Military, and Professional Positions

  • Oklahoma State University, Associate Professor and ONEOK Chair , July 2020
  • Oklahoma State University, Associate Professor and Greg Massey Professorship , July 2017 - May 2020
  • Oklahoma State University, Assistant Professor, July 2014 - June 2017
  • University of South Carolina, Assistant Professor, July 2006 - June 2014
  • University of South Carolina, Visiting Assistant Professor, July 2005 - June 2006
  • University of Arizona, Assistant Professor, July 2000 - June 2005

Courses Taught

  • BADM 6000 (4 Semesters)
  • FIN 6053 (2 Semesters)
  • FIN 6660 (4 Semesters)
  • FIN 3113 (3 Semesters)
  • FIN 4763 (10 Semesters)
  • FIN 5763 (5 Semesters)