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Oklahoma State University

SHU YAN

SHU YAN

Department of Finance
Associate Professor and Greg Massey Professorship

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

  • Hongrui Feng and Shu Yan. "CEO Incentive Compensation and Stock Liquidity". Springer: Review of Quantitative Finance and Accounting (Forthcoming).
  • 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.
  • Shu Yan, Gordon Alexander, and Alexandre Baptista. (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.
  • Shu Yan, Gordon Alexander, and Alexandre Baptista. (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.
  • Shu Yan and Pedro Santa-Clara. (2010). "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options". Review of Economics and Statistics. 92, 435-451.
  • Shu Yan and Jiang George. (2009). "Linear-Quadratic Term Structure Models - Toward the Understanding of Jumps in Interest Rate". Journal of Banking and Finance. 33, 473-485.
  • Shu Yan, Gordon Alexander, and Alexandre Baptista. (2009). "Reducing Estimation Risk in Portfolio Selection When Short Sales are Allowed". Managerial and Decision Economics. 30, 281-305.
  • Shu Yan, Gordon Alexander, and Alexandre Baptista. (2007). "Mean-Variance Portfolio Selection with ‘at-Risk’ Constraints and Discrete Distributions". Journal of Banking and Finance. 31, 3761-3781.
  • Shu Yan, Walter Torous, and Rossen Valkanov. (2004). "On Predicting Stock Returns with Nearly Integrated Explanatory Variables". Journal of Business. 77, 937-966.
  • Shu Yan, Robert Aliber, and Bhagwan Chowdhry. (2003). "Some Evidence that a Tobin Tax on Foreign Exchange Transactions may Increase Volatility". Review of Finance. 7, 481-510.
  • Shu Yan and Richard Roll. (2000). "An Explanation of the Forward Premium Puzzle". European Financial Management. 6, 121-148.

Presentations

  • Portfolio Selection with Mental Accounts: An Equilibrium Model with Endogenous Risk Aversion
    Financial Management Association Annual Meetings
    Financial Management Association
    San Diego, CA - October 2018
  • There is A Growth Premium After All
    Financial Management Association Annual Meetings
    Financial Management Association
    San Diego, CA - October 2018
  • Dispersion in Analysts' Target Prices and Stock Returns
    26th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management
    Rutgers University
    Rutgers University, NJ - September 2018
  • There is A Growth Premium After All
    2018 China International Conference in Finance
    Qinghua University and MIT Sloan School of Business
    Tianjin, China - July 2018
  • CEO Compensations Incentives and Stock Liquidity
    2017 Southern Finance Association Meeting
    Southern Finance Association
    Key West, FL - November 2017
  • Skewness and Momentum
    Financial Management Association Annual Meetings
    Financial Management Association
    Boston, MA - October 2017
  • Skewness and Momentum
    IFABS 2017 Oxford Conference
    International Finance and Banking Society
    Oxford, UK - August 2017
  • What Does Skewness of Firm Fundamentals Tell Us about Firm Growth, Profitability, and Stock Return
    European Financial Management 2017 Symposium on Finance and Real Economy
    Xiamen University
    Xiamen, China - April 2017
  • CEO Compensation Incentives and Stock Liquidity
    Financial Management Association Annual Meeting
    Financial Management Association
    October 2016
  • Dispersion in Analysts' Target Prices and Stock Returns
    Financial Management Association Annual Meeting
    26th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management
    Las Vegas, NV - October 2016
  • What Does Skewness of Firm Fundamentals Tell Us about Firm Growth, Profitability, and Stock Return
    Financial Management Association Annual Meeting
    Financial Management Association
    Las Vegas, NV - October 2016
  • What Does Skewness of Firm Fundamentals Tell Us about Firm Growth, Profitability, and Stock Return
    China International Conference in Finance
    Qinghua University and MIT Sloan School of Business
    Xiamen, China - July 2016
  • Incentives Matter!: The Impact of CEO Compensations on Stock Return Anomalies and Risks
    Financial Management Association Annual Meeting
    Financial Management Association
    Orlando, FL - 2015
  • Earnings Announcement Season, Information Diffusion, and Return Predictability
    China International Conference in Finance
    Qinghua University and MIT Sloan School of Business
    Chengdu, China - July 2014
  • Seasonality in Predictive Regressions
    China International Conference in Finance
    Qinghua University and MIT Sloan School of Business
    Chengdu, China - 2013
  • Predictability of Stock Market Return Around Earnings Announcement Season
    Oklahoma State University
    Stillwater, OK - 2013

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 Greg Massey Professorship , July 2017
  • 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 (1 Semester)
  • FIN 5763 (5 Semesters)
  • FIN 4763 (9 Semesters)
  • FIN 6660 (3 Semesters)