Yang Song

Assistant Professor of Finance

Foster School of Business

University of Washington

songy18@uw.edu | (206) 685-7822

CV | Google Scholar

About Me:

I received my Ph.D. from Stanford Graduate School of Business under the supervision of Prof. Darrell Duffie and Prof. Hanno Lustig. My research interests are financial intermediation, asset management, investor behavior, OTC markets, and financial econometrics.


Papers:


Asset Management, Investors Behavior, and Implications on Asset Prices

5. Discretionary Disclosure Complexity: New Predictions and Evidence from Index Funds, with Ed deHaan, Chloe Xie, and Christina Zhu (NEW!).

4. Flow-induced Trades and Asset Pricing Factors, with Shiyang Huang and Hong Xiang

        • ETF.com "Mutual Fund Flows & Factor Premiums," 2019.

3. Fragile Factor Premia, with Shiyang Huang and Hong Xiang

        • ETF.com "Performance Chasing & Factor Returns," 2019.
        • CityWire "How Active Flows Shape Factor Performance," 2019.

2. What Do Mutual Fund Investors Really Care About, with Itzhak Ben-David, Jiacui Li, and Andrea Rossi

1. The Mismatch Between Mutual Fund Scale and Skill (Revise and Resubmit, Journal of Finance)

        • Yahoo Finance "When Manager Skill is Really Factor Exposure," 2017.


Financial Intermediation and OTC Markets

3. The Intermediary Rat Race, with Yu An and Xingtan Zhang.

2. Dealer Funding Costs: Implications for the Term Structure of Dividend Risk Premia.

1. Funding Value Adjustments, with Leif Andersen and Darrell Duffie. Journal of Finance, Volume 74 (2019).

        • Bloomberg "Professor to Wall Street: You're Doing Swaps Accounting Wrong," 2016.
        • Risk "New research shows FVA is not part of P&L," 2016.


Financial Econometrics

1. Performance Evaluation with Latent Factors, with Qingyuan Zhao.