People

Dr Cheng Yan

Senior Lecturer
EBS - Finance
Dr Cheng Yan

Research and professional activities

Research interests

Empirical Asset Pricing, International Finance, Mutual Funds

Open to supervise

Teaching and supervision

Current teaching responsibilities

  • Options and Futures (BE332)

  • Portfolio Management (BE354)

  • Research Methods in Finance: Empirical Methods in Finance (BE953)

Previous supervision

Xiaoxi Li
Xiaoxi Li
Degree subject: Finance
Degree type: Master of Science
Awarded date: 4/12/2020

Publications

Journal articles (35)

Yan, C., Phylaktis, K. and Fuertes, A-M., On Cross-Border Bank Credit and the U.S. Subprime Crisis Transmission to Equity Markets. SSRN Electronic Journal

Duan, K., Ren, X., Shi, Y., Mishra, T. and Yan, C., How Interdependent are Energy and Carbon Markets? Evidence from a Quantile-on-Quantile Regression Approach. Energy Economics

Chen, Y., Dai, M., Goncalves-Pinto, L., Xu, J. and Yan, C., Incomplete Information and the Liquidity Premium Puzzle. Management Science

Dong, D., Gozgor, G., Lu, Z. and Yan, C., (2021). Personal consumption in the United States during the COVID-19 crisis. Applied Economics. 53 (11), 1-6

Fang, J., Gozgor, G. and Yan, C., (2021). Does globalisation alleviate polarisation?. The World Economy. 44 (4), 1031-1052

Cheng, T., Yan, C. and Yan, Y., (2021). Improved inference for fund alphas using high-dimensional cross-sectional tests. Journal of Empirical Finance. 61, 57-81

Duan, K., Ren, X., Shi, Y., Mishra, T. and Yan, C., (2021). The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach. Energy Economics. 95, 105131-105131

Gozgor, G., Lau, MCK., Zeng, Y., Yan, C. and Lin, Z., (2021). The Impact of Geopolitical Risks on Tourism Supply in Developing Economies: The Moderating Role of Social Globalization. Journal of Travel Research, 004728752110047-004728752110047

Gu, Y., Ho, K-C., Yan, C. and Gozgor, G., (2021). Public Environmental Concern, CEO Turnover, and Green Investment: Evidence from a Quasi-Natural Experiment in China. Energy Economics. 100, 105379-105379

Jia, Z., Shi, Y., Yan, C. and Duygun, M., (2020). Bankruptcy prediction with financial systemic risk. The European Journal of Finance. 26 (7-8), 666-690

Yan, C. and Wang, X., (2020). Does the Relative Importance of Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?

Yan, C. and Wang, X., (2020). Internet Appendix to Accompany ‘Does the Relative Importance of Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?’

Zhu, Q., Huang, Y., Yan, C. and Zeng, Y., (2020). Your Gender Identity Is Who You Are: Female CEOs and Corporate Debt Structure

Zhang, J., Wang, G. and Yan, C., (2020). Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China. Economic Modelling. 90, 11-20

Cheng, T., Yan, C. and Yan, Y., (2020). Online Supplementary Appendix to 'Benchmarking Mutual Fund Returns'

Fang, J., Gozgor, G., Lau, C-KM., Wu, W. and Yan, C., (2020). Listed zombie firms and top executive gender: Evidence from an emerging market. Pacific-Basin Finance Journal. 62, 101357-101357

Damianov, DS., Wang, X. and Yan, C., (2020). Google Search Queries, Foreclosures, and House Prices. The Journal of Real Estate Finance and Economics

Yan, C. and Yan, J., (2020). Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market. International Journal of Finance & Economics

Yan, C. and Cheng, T., (2019). In search of the optimal number of fund subgroups. Journal of Empirical Finance. 50, 78-92

Yang, B., Xue, F., Su, Y. and Yan, C., (2019). Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. Pacific-Basin Finance Journal. 55, 222-238

Fuertes, A-M., Phylaktis, K. and Yan, C., (2019). Uncovered Equity “Disparity” in Emerging Markets. Journal of International Money and Finance. 98, 102066-102066

Cheng, T., Yan, C. and Yan, Y., (2019). Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation

Cheng, T., Yan, C. and Yan, Y., (2019). Online Appendix to 'Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation'

Jia, Z., Shi, Y., Yan, C. and Duygun, M., (2019). Internet Appendix to Accompany 'Bankruptcy Prediction with Financial Systemic Risk'

Yan, C. and Zhao, B., (2019). A general jump-diffusion process to price volatility derivatives. Journal of Futures Markets. 39 (1), 15-37

Zhao, B., Yan, C. and Hodges, S., (2019). Three One-Factor Processes for Option Pricing with a Mean-Reverting Underlying: The Case of VIX. Financial Review. 54 (1), 165-199

Cai, B., Cheng, T. and Yan, C., (2018). Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. Journal of Empirical Finance. 49, 81-106

Yan, C., (2018). Hot money in disaggregated capital flows. The European Journal of Finance. 24 (14), 1190-1223

Zhang, H. and Yan, C., (2018). A skeptical appraisal of the bootstrap approach in fund performance evaluation. Financial Markets, Institutions and Instruments. 27 (2), 49-86

Yan, C. and Wang, X., (2018). The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. Journal of International Financial Markets, Institutions and Money. 56, 38-54

Zhang, H. and Yan, C., (2018). Modelling fundamental analysis in portfolio selection. Quantitative Finance. 18 (8), 1315-1326

Cheng, T. and Yan, C., (2017). Evaluating the size of the bootstrap method for fund performance evaluation. Economics Letters. 156, 36-41

Yan, C. and Zhang, H., (2017). Mean-variance versus naïve diversification: The role of mispricing. Journal of International Financial Markets, Institutions and Money. 48, 61-81

Fuertes, A-M., Phylaktis, K. and Yan, C., (2016). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance. 60, 29-52

Yan, C., Phylaktis, K. and Fuertes, A-M., (2016). On cross-border bank credit and the U.S. financial crisis transmission to equity markets. Journal of International Money and Finance. 69, 108-134

Reports and Papers (1)

Cheng, T., Yan, C. and Yan, Y., (2019). Benchmarking Mutual Fund Returns

Contact

cheng.yan@essex.ac.uk
+44 (0) 1206 872028

Location:

EBS.3.19, Colchester Campus