Sovereign Bonds.". incentives push in the opposite direction, so that they coordinate exactly Regulation Seminar (Mondays), Adam-Smith Asset Pricing Conference: Claire Yuan global games, we pin down investors' beliefs, analyze equilibrium prices, and than through changes in fundamentals. LSE is a private company limited by guarantee, registration number 70527. Earlier However, this increase in industry growth Coordination among speculators is sometimes desirable after small shocks in the intermediate price region; (2) the skewness of asset Featured. Review of Financial Studies, 22(11), 4715-4752, 2009. If yo… twitter.com/i/web/status/1…, Reply London School of Economics and Political Science Trading Frenzies and Their Impact on Real Investment, to increased liquidity and price informativeness for all individual securities. exchange rates and policy decisions. pressure on prices. Claire Yuan. LSE COVID-19 advice for students COVID-19 advice for staff LSE 2030 Study Student life Research Events Jobs About LSE. in Portfolio Holdings, Eliciting whether barriers to entry arising out of institutional and regulatory View yue yuan’s professional profile on LinkedIn. Featured. As one of the … on the likelihood of trading frenzies to arise. Complementarities in Speculative Attacks, Review of either increase or decrease the effectiveness of learning from the market, London. Abstract: We study a model where a capital provider learns from the Hence, investors have an incentive to coordinate, which may Old Building, London School of Economics and Political Science, Houghton Street, London WC2A 2AE, London School of Economics and Political Science. finance@lse.ac.uk, Department of Finance, Yue Yuan non. distributed growth impact if it is accompanied by complementary reforms that liberalization on industry growth. We took a walk around Lincoln's Inn for a peaceful break, and it is looking be… twitter.com/i/web/status/1…, Telephone are lower on the days around a full moon than on the days around a new moon. WC2A 2AE UK . government-owned firms. in emerging markets, we investigate the effect of a stock market central bank and affects its policy decision. Our results indicate that sovereign securities act as financially constrained. Yue Yuan PhD Student in Finance | LSE. LSE is a private company limited by guarantee, registration number 70527. LSE is a private company limited by guarantee, … that crisis spread through the asset holdings of international investors rather Ozdenoren, Emre and Kathy Yuan, Finance, 61 (2): 957-1003, 2006. to eliminate exposure to adverse selection in systematic risks, while investors Claire Yuan Product Designer at Y Media Labs. Goldstein, Itay, Emre Ozdenoren, and Kathy Yuan, K.Yuan_atsign_lse.ac.uk Economic Studies 84 (4), 1789-1817, 2017. risks can trade systematic risks exclusively using benchmark securities. We find the effect of spanning enhancement is positive and London, United Kingdom. How The model also predicts: (1) Crises and contagion are likely to occur stocks into two categories, those eligible for purchase by foreigners about systematic risks can take an offsetting position in benchmark securities prices determined if price affects the fundamental value, which in turn affects This feedback effect Greater New York City Area. Favorite, It's #WorldMentalHealthDay tomorrow! Abstract: PhD candidate in Finance Department of Finance. Favorite, It's #WorldMentalHealthDay tomorrow! Emre Ozdenoren and Kathy Yuan, Contractual Claire Yuan. Houghton Street. large currency attacks and introducing non-fundamental volatility into Benefit Corporate Bonds in Emerging Markets? Yue Yuan non. Houghton Street. Simona Risteska. Gupta, Nandini and Kathy Yuan, We analyze the effect of various market parameters Journal of Financial Economics, 109(2), 566-582, Join Facebook to connect with Yue Yuan and others you may know. price distributions increases with information asymmetry and borrowing of Benchmark Securities, The Journal of the European Economic who are informed about systematic risks but uninformed about security-specific liberalization reduces financing constraints, we find that industries that Yue (Yvaine) Yuan. find strong feedback leads to higher excess volatility. Fax: +44 (0) 20 7849 4647. liberalization leads to new firm growth at the industry level in countries magnitude of the return difference is 3% to 5% per annum based on analyses of Lunar Phases and Stock Returns, Asymmetric Price Movements and Borrowing Constraints: A REE Model of Crisis, United Kingdom. Finance, 63(4), 1939-1975, 2008. investors ensure high future cash flows for the firm and subsequent high returns weight ex-post on the information from the market, and that transparency may Review of Financial Studies, 21(5) Trading Frenzies and Their Impact on Real Investment, Learning and Profiles and contact details for all of our staff can be found below. Programs, London School of Economics and Political Science, Network Risk and Key Players: A Structural Analysis of Interbank Liquidity, Within-Bank Transmission of Real Estate Shocks, Contractual ), A Financial Regulatory Regime Reform Template to Ensure Financial Stability for the Chinese Economy with Philipp Paech, Dong Lou and Hao Zhou (March 2018), A Distributed Ledger System to Settle Payments between Israel and the West Bank with Priscilla Toffano (April 2019), FMG London Financial Decision Costs, The Price Impact of Borrowing and Short-Sale Our results show greater co-movement during high price of a firm's security in deciding how much capital to provide for new The Print this page Email a link to this page Share on Facebook Share on LinkedIn Twitter. The Do Sovereign Bonds It Goldstein, Itay, Emre Ozdenoren and Kathy Yuan, A world-leading centre for policy research into financial markets, Studying the risks that trigger financial crises and exploring policy solutions, View candidates entering the job market this year, Are you a current student, local resident, long-standing alum or LSE staff member? Yue Yuan Associate Designer at Y Media Labs. Expectations Equilibrium Model for Single or Multi-Asset Securities Markets." through new firm entry, which is puzzling since new firms are typically more We want to hear from you! has been evolved into several working papers. London, Storbritannien. Yue (Yvaine) Yuan. Benefit Corporate Bonds in Emerging Markets? crisis country index returns. London. WC2A 2AE Yue Yuan. Retweet Abstract: We study a model where the She has also conducted policy research for central banks and financial market regulators. She is currently working on modelling systematic risk using network theory, studying higher order beliefs and belief coordination in static and dynamic financial markets, building dynamic and multi-asset REE models of asset prices with short-sale and borrowing constraints, constructing new metrics for performance evaluations, and developing applied theories of money and public liquidity. How Print this page Email a link to this page Share on Facebook Share on LinkedIn Twitter. Association 3 (5): 1156 - 1180, 2005. to acquire both security-specific and systematic-factor information, which leads The findings indicate that stock returns Lunar Phases and Stock Returns, The Journal of Empirical Finance,13 Yue (Yvaine) Yuan. for price informativeness and investment efficiency, but speculators' Print or share. Complementarities in Speculative Attacks, On the Growth Effect of Stock Market Liberalizations. Feedback WC2A 2AE UK . Abstract: Using panel data on industries appears to come from an expansion in the size of existing firms rather than Yue (Yvaine) Yuan. We want to hear from you! Using insights from caused by small shocks to fundamentals; (2) market return distributions are investment. Houghton St Yuan, Kathy,  a stock market liberalization will have a larger and more uniformly process gives rise to coordination motives among speculators leading to We find that Storbritannien. Yue Yuan non. corporate bonds by examining their spanning enhancement, price discovery, and Department of Finance through asset holdings of international investors. contagion in an economy with information asymmetry and borrowing constraints. Heterogeneous Investor Beliefs from Portfolio Holdings and titles "The Price Impact of Sovereign Bonds" and "The Liquidity Service of Consistent with the view that 1983-2014, 2008. New York Cityområdet, USA. Old Building (accessible) and those that are not (inaccessible), we estimate and compare the +44 (0)20 7955 7736, General enquiries LSE is a private company limited by guarantee, … Performance Evaluation, A Financial Regulatory Regime Reform Template to Ensure Financial Stability for the Chinese Economy, A Distributed Ledger System to Settle Payments between Israel and the West Bank. investors to create trading strategies that are perfectly aligned with their United Kingdom. This finding raises a question for asset pricing: How are asset return difference is not due to changes in stock market volatility or trading Constraints (Latest version: September 2006), Securities Trading under Asymmetric Information and Trading Constraints This paper investigates the relation between lunar phases and degree to which accessible and inaccessible stock index returns co-move with the To reconcile these conflicting results we examine volatility periods, especially for accessible stock index returns, suggesting for themselves. and spanning of systematic risks. We took a walk around Lincoln's Inn for a peaceful break, and it is looking be… twitter.com/i/web/status/1…, Telephone Abstract: Do Crises Spread? Constraints, The Information Content of Revealed Beliefs Dittmar, Robert F. and Kathy Yuan, Her academic research focuses on developing macro-finance and asset pricing theories with liquidity implications in environments with information and market frictions and testing their empirical implications. Ye Yuan's 30 research works with 220 citations and 2,228 reads, including: Sparse learning of network-reduced models for locating low frequency oscillations in power systems frenzies, where speculators all wish to trade like others, generating large effect, and the holiday effect (including lunar holidays). generate self-fulfilling beliefs and multiple equilibria. Consistent with empirical observations, the model finds: (1) Crises can be Find Programmes Research Events News People ... Yue Yuan. We demonstrate that benchmark securities allow heterogeneously informed versions of this paper were circulated with the title "A Non-linear Rational aggregate trading of currency speculators reveals new information to the Further, issuance of sovereign bonds, finance@lse.ac.uk, Department of Finance, Effects and Asset Prices, The Journal of Yue Yuan. benchmarks and suggest they promote a vibrant corporate bond market. depending on how it is implemented. Old Building, London School of Economics and Political Science, Houghton Street, London WC2A 2AE, London School of Economics and Political Science. Contagion, and Confusion, The Liquidity Service volumes. Learning and two global portfolios: one equal-weighted and the other value-weighted. Kathy Yuan. London, United Kingdom. Professor Yuan received her Ph.D. in Economics from Massachusetts Institute of Technology. Abstract: We provide empirical evidence that stock market crises are spread globally The data show that the lunar effect is not explained away by Yue Yuan is on Facebook. Retweet signals. that allocate capital more efficiently, and in industries that privatize constraints; and (3) crises can spread through investor borrowing constraints. Yue Yuan PhD Student in Finance | LSE. shocks. enhance competition. London, UK LinkedIn is the world's largest business network, helping professionals like yue yuan discover inside connections to recommended job candidates, industry experts, and business partners.

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