Jian Yang

University of Colorado, Denver, Colorado, United States

Are you Jian Yang?

Claim your profile

Publications (62)29.5 Total impact

  • Jingping Gu, Qi Li, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: The mean reversion of real exchange rates in G5 countries depends on both countries’ fiscal deficits/surplus in a nonlinear way. When the fiscal policy pushes the real exchange rate to be deviated further away from the equilibrium level, the mean reversion process is faster.
    Economics Letters. 02/2013; 118(2):300–303.
  • Xiangchao Hao, Jing Shi, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: This study investigates the impact of the bank-firm relationship on IPO underpricing in China, an emerging economy with a bank-dominated financial system. With loan data from 902 IPO firms from 2004 to 2011, we document that the bank-firm relationship reduces the degree of IPO underpricing. Both the lender’s and the borrower’s firm characteristics affect the signal quality of the bank-firm relationship, resulting in differential impacts on IPO underpricing. The relationship between firms and banks with high credit quality or the relationship between firms without political connections and banks has a more positive impact on IPO underpricing.
    Pacific-Basin Finance Journal. 01/2013; 30.
  • HUI GUO, ZIJUN WANG, JIAN YANG
    [Show abstract] [Hide abstract]
    ABSTRACT: We uncover a strong comovement of the stock market risk–return trade‐off with the consumption–wealth ratio (CAY). The finding reflects time‐varying investment opportunities rather than countercyclical aggregate relative risk aversion. Specifically, the partial risk–return trade‐off is positive and constant when we control for CAY as a proxy for investment opportunities. Moreover, conditional market variance scaled by CAY is negatively priced in the cross‐section of stock returns. Our results are consistent with a limited stock market participation model, in which shareholders require an illiquidity premium that increases with CAY, in addition to the risk premium that is proportional to conditional market variance.
    Journal of money credit and banking 01/2013; 45(4). · 1.09 Impact Factor
  • Source
    Jian Yang, Yinggang Zhou
    [Show abstract] [Hide abstract]
    ABSTRACT: Using credit default swap data, we propose a novel empirical framework to identify the structure of credit risk networks across international major financial institutions around the recent global credit crisis. Specifically, we identify three groups of players including prime senders, exchange centers and prime receivers of credit risk information. Leverage ratios and particularly the short-term debt ratio appear to be significant determinants of the roles of financial institutions in credit risk transfer, while corporate governance indexes, size, credit risk and liquidity premiums as well as asset write-downs are not significant. Our findings carry important implications for new regulatory standard on capital sub-charge and liquidity coverage ratio.
    SSRN Electronic Journal 07/2012;
  • Hui Guo, Zijun Wang, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: Using a semiparametric estimation technique, we show that the risk-return tradeoff and the Sharpe ratio of the stock market increases monotonically with the consumption wealth ratio (CAY) across time. While early studies have commonly interpreted such a finding as evidence of the countercyclical variation in aggregate relative risk aversion (RRA), we argue that it mainly reflects changes in investment opportunities for two reasons. First, we fail to reject the null hypothesis of constant RRA after controlling for CAY as a proxy for the hedge against changes in the investment opportunity set. Second, by contrast with habit formation models but consistent with ICAPM, we find that loadings on the conditional stock market variance scaled by CAY are negatively priced in the cross-sectional regressions. For illustration, we replicate the countercyclical stock market risk-return tradeoff using simulated data from Guo's (2004) limited stock market participation model, in which RRA is constant and CAY is a proxy for shareholders' liquidity conditions.
    Journal of money credit and banking 04/2012; · 1.09 Impact Factor
  • [Show abstract] [Hide abstract]
    ABSTRACT: We extend Campbell, Medeiros and Viceira (2010) and examine higher moment (beyond the second moment) risk management implications of various currencies for equity investors. We find that the safe haven currencies: US dollar, Swiss franc and Japanese Yen have positive co-skewnenss with equity market while other currencies have negative coskewnesses. This implies that these currencies are good hedge in the volatile market, as they appreciate when the equity volatility increases. Moreover, their cokurtosis with the world equity market are either negative or lower than other currency counterparts, suggesting even higher hedging effectiveness for these currencies during extreme stock market downturns. We find that currency coskewness and cokurtosis with stock markets are priced in the currency market, by providing time series evidence that currency conditional coskewness and cokurtosis (with the equity market) command significant ex ante risk premiums, with the expected negative sign for the price of coskewness and the expected positive sign for the price of cokurtosis. Consistent with some theoretical arguments, we also find a significant negative relation between expected idiosyncratic skewness and average ex ante currency risk premiums.
    03/2012;
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of asymmetries in their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the sample period. There is also evidence that corporate bonds and CMBS may provide diversification benefits for stocks and REITs. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these conditional correlations and that there is a significant structural break in the correlations caused by the recent financial crisis. KeywordsCMBS-REITs-Dynamic conditional correlation-Macroeconomic variables JEL ClassificationsG11-C32
    The Journal of Real Estate Finance and Economics 01/2012; · 0.88 Impact Factor
  • Source
    Chin Man Chui, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: Using daily stock and bond futures data of three developed markets (the U.S., the UK and Germany), this study explores time-varying extreme correlation of stock-bond futures markets. There is evidence of positive extreme correlation between stock and bond futures markets in the U.S. and the UK when both markets are extremely bullish or bearish. By contrast, German stock-bond futures extreme correlation is negative, which suggests most diversification potentials of German bond futures market when German stock index futures market plunges. Macroeconomic news, the business cycle and the stock market uncertainty all significantly affect the median stock-bond futures correlation. By contrast, only the stock market uncertainty (perhaps as a measure of investor sentiment) still significantly affects the extreme stock-bond futures correlation, when the stock market is extremely bearish.
    Financial Review 09/2011;
  • Source
    Pisun Xu, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the impact of U.S. monetary policy surprises on securitized real estate markets in 18 countries. The policy surprises are measured by both the surprise changes to the target federal funds rate (the target factor) and surprises in the future direction of the Federal Reserve monetary policy (the path factor). The results show that most international securitized real estate markets have significantly positive responses to surprise decrease in current or future expected federal funds rates, though such responses vary greatly across countries. Also, while the U.S. securitized real estate market reacts mainly to the target factor, foreign securitized real estate markets react to the path factor. Furthermore, we find that the cross-country variation in the response to the target factor is correlated with the country’s exchange rate regime and its degree of real economic and particularly financial integration, while the cross-country variation in the response to the path factor is mainly related to the country’s degree of financial integration. KeywordsMonetary policy–FOMC statements–Asymmetry–Securitized real estate markets–Two-factor empirical specification
    The Journal of Real Estate Finance and Economics 01/2011; 43(4):459-490. · 0.88 Impact Factor
  • [Show abstract] [Hide abstract]
    ABSTRACT: Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a drastic falling immediately after the stock index futures were introduced, we find that the cash market plays a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market. Based on a newly proposed theoretically-consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets.
    Journal of Futures Markets 10/2010; · 0.46 Impact Factor
  • Jian Yang, Juan Cabrera, Tao Wang
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines daily return predictability for eighteen international stock index ETFs. The out-of-sample tests are conducted, based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison. The main results show evidence of predictability for six of eighteen ETFs. A simple linear autoregression model, and a nonlinear-in-variance GARCH model, but not several popular nonlinear-in-mean models help outperform the martingale model. The allowance of data-snooping bias using White's Reality Check also substantially weakens otherwise apparently strong predictability.
    European Journal of Operational Research 01/2010; 200(2):498-507. · 2.04 Impact Factor
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: In the context of a three-moment Intertemporal Capital Asset Pricing Model specification, we characterize conditional co-skewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock co-skewness (the relation between stock return and bond volatility) and bond co-skewness (the relation between bond return and stock volatility) command statistically and economically significant negative ex ante risk premiums. The impacts of the US stock and bond co-skewness on the conditional stock and bond premium on average is as large as the average of corresponding unconditional premium on these markets. The basic findings are quite robust in another country (U.K.) and in the recent post-WWII period.
    Management Science 01/2010; 56:2031-2049. · 1.86 Impact Factor
  • Source
    Jian Yang, Tao Wang
    [Show abstract] [Hide abstract]
    ABSTRACT: Using high frequency data, this paper first time comprehensively examines the intraday efficiency of four major energy (crude oil, heating oil, gasoline, natural gas) futures markets. In contrast to earlier studies which focus on in-sample evidence and assume linearity, the paper employs various nonlinear models and several model evaluation criteria to examine market efficiency in an out-of-sample forecasting context. Overall, there is evidence for intraday market inefficiency of two of the four energy future markets (heating oil and natural gas), which exists particularly during the bull market condition but not during the bear market condition. The evidence is also robust against the data-snooping bias and the model overfitting problem, and its economic significance can be very substantial.
    SSRN Electronic Journal 01/2010; 32(2):496-503.
  • Source
    Jian Yang, Yinggang Zhou
    [Show abstract] [Hide abstract]
    ABSTRACT: With an international dataset of credit default spreads as a credit risk measure, we propose a novel empirical framework to identify the structure of credit risk network across major financial institutions around the recent 2007-2008 global credit crisis. The findings directly shed light on credit risk transmission in a financial network and indirectly help find systemically important financial institutions from the perspective of interconnectedness. Specifically, we are able to identify three groups of players including primary senders, exchange centers and prime receivers of credit risk information on the credit market. Further analysis shows that leverage ratios and certain aspect of corporate governance (i.e., CEO duality) may be significant determinants of identified different roles of financial institutions in credit risk transfer, while no such evidence is found for other factors including size, liquidity and asset write-downs.
    01/2010;
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: Using monthly stock and bond return data in the past 150 years (1855–2001) for both the US and the UK, this study documents time-varying stock–bond correlation over macroeconomic conditions (the business cycle, the inflation environment and monetary policy stance). There are different patterns of time variation in stock–bond correlations over the business cycle between US and UK, which implies that bonds may be a better hedge against stock market risk and offer more diversification benefits to stock investors in the US than in the UK. Further, there is a general pattern across both the US and the UK during the post-1923 subperiod and during the whole sample period: higher stock–bond correlations tend to follow higher short rates and (to a lesser extent) higher inflation rates.
    SSRN Electronic Journal 04/2009; 33(4):670–680.
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: We uncover a positive stock market risk-return tradeoff after controlling for the covariance of market returns with the value premium. Fama and French (1996) conjecture that the value premium proxies for investment opportunities; therefore, by ignoring it, early specifications suffer from an omitted variable problem that causes a downward bias in the risk-return tradeoff estimation. We also document a positive relation between the value premium and its conditional variance, and the estimated conditional value premium is strongly countercyclical. The latter evidence supports the view that value is riskier than growth in bad times, when the price of risk is high.
    Journal of Financial and Quantitative Analysis 02/2009; 44(01):133-154. · 1.77 Impact Factor
  • Source
    Juan Cabrera, Tao Wang, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137–156, 2009
    Journal of Futures Markets 01/2009; 29(2):137 - 156. · 0.46 Impact Factor
  • Source
    Jian Yang, Xiaojing Su, Tao Wang
    [Show abstract] [Hide abstract]
    ABSTRACT: For 13 major international stock markets, there is much evidence of out-of-sample predictability for growth stocks especially when evaluated with economic criteria, and to a noticeably lesser extent for general stock markets and value stocks. Our results shed light on the recent debate about stock return predictability, using different assets (growth-style indexes), forecasting variables (past returns), forecasting models (nonlinear models), and alternative forecasting evaluation criteria (economic criteria). Our analysis suggests that (growth) stock returns might be predictable. Copyright (c) 2009, The Eastern Finance Association.
    Financial Review 01/2009; 44(4):559-582.
  • Source
    [Show abstract] [Hide abstract]
    ABSTRACT: Intraday currency futures prices react to both surprises in the federal funds target rate (the target factor) and surprises in the anticipated future direction of Federal Reserve monetary policy (the path factor) in similar magnitude, and the reaction is short-lived. Dollar-denominated currency futures prices drop significantly in response to positive surprises (i.e., unexpected increases) in the target and path factors, but have generally little response to negative surprises. A monetary policy tightening during expansionary periods leads to an appreciation of the domestic currency, while a monetary policy loosening during recessionary periods tends to have no significant impact. Copyright (c) 2008, The Eastern Finance Association.
    Financial Review 11/2008; 43(4):509-541.
  • Source
    Tao Wang, Jingtao Wu, Jian Yang
    [Show abstract] [Hide abstract]
    ABSTRACT: Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non-Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) and the (logarithms of) realized standard deviations appear approximately Gaussian. The (logarithms of) standard deviations exhibit long-memory, but the realized correlation between the two futures does not, implying rather weak inter-market linkage in the long run. There is evidence of asymmetric volatility for natural gas but not for crude oil futures. Finally, realized crude oil futures volatility responds with an increase in the weeks immediately before the OPEC events recommending price increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:993–1011, 2008
    Journal of Futures Markets 09/2008; 28(10):993 - 1011. · 0.46 Impact Factor

Publication Stats

690 Citations
29.50 Total Impact Points

Institutions

  • 2008–2013
    • University of Colorado
      • Business School
      Denver, Colorado, United States
  • 2005–2012
    • Sun Yat-Sen University
      Shengcheng, Guangdong, China
  • 2010
    • The Chinese University of Hong Kong
      Hong Kong, Hong Kong
  • 2008–2010
    • CUNY Graduate Center
      New York City, New York, United States
  • 1998–2009
    • Texas A&M University
      • • Private Enterprise Research Center
      • • Department of Finance
      • • Department of Economics
      • • Department of Agricultural Economics
      College Station, TX, United States
  • 2003–2008
    • Prairie View A&M University
      Texas City, Texas, United States