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(203)-931-5753 duanyaxin.yale@gmail.com


   Ph.D. in Economics                                                                                                             2012
   Yale University, Graduate School of Arts and Sciences

   M.Phil. in Economics                                                                                                           2009
   Yale University, Graduate School of Arts and Sciences

   B.Sc. in Economics and Econometrics (first-class with distinction)                                       2005
   The University of York, UK


   Empirical Asset Pricing, Behavioral Finance, Financial Institutions


·         Teaching Assistant, Behavioral and Institutional Economics (MBA/Law/Graduate),           Fall 2009, 2008

·         Teaching Assistant, Financial Markets (Undergraduate),                                                  Spring 2010, 2008

·         Teaching Assistant, Financial Theory (Undergraduate),                                                    Fall 2007


·         Whitebox Doctoral Adviser Fellowship, Yale International Center for Finance, 2007

·         Graduate School Fellowship, Yale University, 2005-2010

·         Yale Economics Departmental Prize, 2005-2009

·         The Head of the Department’s Prize, The University of York, 2005

·         Tassie Medallion Award, 2005

·         GAAPS Prize, GAAPS Specialist Actuarial Recruitment Group (London), 2004

·         Ede and Ravenscroft Awards, 2003


   English (fluent), Chinese (native)


   Prof. Nicholas Barberis (chair)     Phone: (203)-436-0777     Email: nick.barberis [at] yale.edu 
   Prof. William Goetzmann            Phone: (203)-785-1629     Email:
william.goetzmann [at] yale.edu
   Prof. Andrew Metrick                  Phone: (203)-432-3069     Email:
andrew.metrick [at] yale.edu


Fund flow betas and the cross section of stock returns
I document a new and robust empirical fact about the cross-section of stock returns: stocks whose returns co-vary more with flows into the entire mutual fund sector earn significantly higher average returns. In particular, a long-short portfolio formed by high and low fund flow beta stocks earns 55 to 90 basis points per month in risk-adjusted returns. I test three potential explanations for this finding: that it reflects cross-sectional differences in liquidity across stocks; that it reflects the hedging concerns of risk-averse fund managers; and that it stems from the fact that flows into the entire fund sector are a measure of good and bad economic times, so that stocks that co-vary with flows are riskier. I show that the empirical evidence is most consistent with the last interpretation. In short, my results provide support for a basic principle in asset pricing: that stocks that do well in good times and poorly in bad times should earn higher average returns.

Asset illiquidity and financial conditions – an examination of the US corporate bond market
This paper shows that a bond’s liquidity is positively related to the financial conditions of its market maker, using the lead underwriter of a bond issue as a proxy for the market maker of the bond, and the credit default swap (CDS) premium as a measure of the financial condition of the market maker. In particular, the paper shows that controlling for other bond characteristics and market wide liquidity, bonds whose market makers’ CDSs are higher are less liquid. In addition, the difference in bond illiquidity between the most and the least financially-constrained market makers is much larger during the 2008-2009 liquidity crises. The paper also shows that the liquidity of bonds that share the same market maker tend to co-move together, even after controlling for the overall market liquidity. This co-movement is the strongest during the 2008-2009 crises. The empirical evidence highlights the role of a market maker’s financial constraints in an asset’s liquidity, and provides consistent evidence for the link between market liquidity and funding liquidity.

Analyst heterogeneity in optimism and market reactions
This paper examines the role of analyst optimism in the profitability of sell-side recommendations. It also examines whether the market takes into account analyst heterogeneity. I find that, first, analysts do differ in their optimism, with some analysts tending to give more favorable earnings forecasts than others; second, the buy (sell) recommendations issued by optimistic (pessimistic) analysts are less profitable than those issued by others; third, market reactions do not fully take into account these differences. Based on these findings, a trading strategy that goes long stocks recommended as buys by pessimistic analysts, and shorts stocks rated as sells by optimistic analysts, generates positive average returns.

Interaction of repo and sovereign debt market (work in progress)
Using proprietary data on the European inter-bank repo market, this project  examines the link between the short-term repo funding market and the sovereign bond market. In particular, I study the composition of the short-term inter-bank repo market, the impact of margin changes on sovereign bond yields, and the effect of bond liquidity on repo borrowing costs.