Hongjun Yan (炎宏军)



Professor of Finance 

Richard H. Driehaus Chair in Behavioral Finance 

DePaul University

Email: hongjun.yan.2011@gmail.com








Curriculum Vitae



几个人问过我是不是某新浪微博作者。 我从来没有新浪微博账户。


Research interest: Asset Pricing with frictions: Heterogeneous Beliefs, Liquidity, Reputation and Bounded Rationality.

Education: PhD in Finance, London Business School, 2005.

Publication and forthcoming:
  • Heterogeneous Expectations and Bond Markets, with Wei Xiong, Review of Financial Studies, 2010, 23 1405-1432.
    • The relative wealth fluctuation, induced by heterogeneous expectations, affects the joint behavior of yield curve, bond premium, yield volatility, and trading volume.
  • Is Noise Trading Cancelled Out by Aggregation?Management Science, 2010, 56 (7), 1047–1059.
    • Individual biases often have a significant impact on the equilibrium at the aggregate level even if the biases are independent across investors.
    • Lead article
  • The Behavior of Individual and Aggregate Stock PricesMathematics and Financial Economics, 2011, 4 (2), 135–159.
    • News of the aggregate stock market has a significant impact on the pricing kernel, leading to the different behavior of individual and aggregate stock prices.
  • What Does Stock Ownership Breadth Measure?, with James Choi and Li Jin, Review of Finance 2013 17 (4) 1239-1278.
    • When you see lots of people piling their money into a stock.... Run away!
    • Lead article
  • Anticipated and Repeated Shocks in Liquid Markets, with Dong Lou and Jinfan Zhang, Review of Financial Studies, 2013, 26 (8), 1891–1912.
    • Treasury prices in the secondary market decrease significantly before auctions and recover shortly after, i.e., prices are low when the Treasury Department sells. This implies a billion dollar hidden issuance cost.
    • Winner of NASDAQ OMX Award for the Best Paper on Asset Pricing at WFA, 2011.
  • Collateral-motivated Financial Innovation, with Ji Shen and Jinfan Zhang, Review of Financial Studies2014, 27 (10): 2961-2997.
    • Collateral frictions have a profound effect on our economic landscape, ranging from the design of financial securities, laws, institutions, to various rules and regulations.
  • Uncertainty and Valuations, with Martijn Cremers, Critical Finance Review, 2016, 5: 85–128.
    • A litmus test for the idea that uncertainty about a firm’s profitability increases its stock valuation (e.g., tech stock during late 1990’s). This idea implies that uncertainty increases stock valuations but decreases corporate bond valuations. We test this using a number of uncertainty measures, and the evidence is generally not supportive of this idea.

Working paper:
  • Investment Under Fast-thinking, with L. Liao, J. Xiang, Z. Wang, J. Yang (June 2018)
    • Under time pressure, investors rush to loans with high interest rates without paying sufficient attention to credit ratings.
    • First-hand experience matters for learning: "participants" learn more than "observers".
  • What Can We Learn from Sovereign CDS Spreads?, with Y. Xiao and J. Zhang (April 2018).
    • The sovereign CDS market can predict future stock index returns, bond yields, and real economic activities such as GDP and PMI.
    • The predictive power is almost entirely from the systematic, rather than country-specific, component of sovereign CDS spreads.
  • In the Shadows of Government: Political Turnovers and Firm Perk Expenses, with H. Fang, Z. Li, N. Xu (February 2018)
    • Following the turnover of the party secretary or mayor of a city in China, firms headquartered in that city significantly increase their “perk spending” 
  • Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang, with X. Wang, Y. Wu, and K. Zhong (December 2017)
    • R&R at Review of Financial Studies.
    • The CDS Big Bang increased the funding requirement for CDSs, especially for those with credit spreads further away from 100 b.p. and 500 b.p.
    • This natural experiment provides direct evidence on the effects of funding liquidity on limits of arbitrage and market liquidity.  
  • Financial Intermediation Chains in an OTC Market, with Ji Shen and Bin Wei (May 2018).
    • Modern financial markets have long intermediation chains (many layers of intermediaries). This paper offers a theory and its empirical assessment.
    • Multiplicity and stability of the search equilibrium.
  • Disagreement Beta, with G. Gao, X. Lu, and Z. Song (March 2017)
    • Belief dispersion is a proxy for perceived investment opportunity: when two investors agree to disagree, both expect to profit from their trade at the expense of their trading partners.
    • High disagreement beta high return for stocks, corporate bonds, and MBS.
  • A Model of Anomaly Discovery, with Qi Liu, Lei Lu, and Bo Sun (June 2015)
    • After an anomaly is discovered, the correlation between its deciles 1 and 10 decreases and becomes correlated with hedge funds’ wealth volatility. 
    • Here is an example for momentum.
  • Financial Innovation, Investor Behavior, and Arbitrage: Evidence from the ETF Market, with W. Jiang, (March 2016)
    • Regular ETFs improve liquidity; levered ETFs reduce liquidity.
    • Levered ETF investors pay 10% of the market cap (over $2 billion) each year to play this short-term speculation game.  
  • A Search Model of Aggregate Demand for Liquidity and Safety, with Ji Shen, (May 2015)
    • An increase in the supply of Treasury securities decreases the credit spread of investment-grade bonds, but increases the spread between investment-grade and junk bonds. Contrast the reduced form “money-in-the-utility-function” approach with the approach that explicitly models trading friction.
    • Appendix with detailed proofs
  • Informed Trading and Expected Returns, with James Choi and Li Jin (January 2016)
    • “Big Data” approach to measure information asymmetry: We infer the degree of information asymmetry at the stock level from the transaction data of all investors in the market. Information asymmetry increases expected returns.
    • Featured at the NBER Digest
    • VOX Column
  • Reputation Concerns and Slow-Moving Capital, with Steven Malliaris (March 2015)
    • Reputation concerns lead to extremely slow-moving capital. After poor performances, it takes a long time for a manager to rebuild his reputation.
  • Multiplicity and Stability of OCT Market Equilibrium, with Ji Shen (coming soon)
    • There are usually 3 equilibria in an OTC market model, only one of them is “stable.” 

Courses taught:
  • Asset Pricing and Portfolio Analysis (Undergraduate)
  • Options and Futures (MBA) 
  • Fixed-income Security Analysis (MBA) 
  • International Study Trip to China (MBA) 
  • Accounting/Finance Workshop (PhD) 
  • Behavioral Finance (Undergraduate)