Profiles

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Shu Yan Associate Professor and Greg Massey Professor Department of Finance 330 Business Building Stillwater Campus 405-744-5089 (Phone)

Education

Ph D, Anderson School of Management at UCLAFinance2000
Ph D, University of California at San DiegoMathematics1995
BS, Nankai University, ChinaMathematics1990

Publications

Shu Yan, Gordon Alexander & Alexandre Baptista. "Portfolio Selection with Mental Accounts and Estimation Risk". Journal of Empirical Finance. (Forthcoming).

Gordon Alexander, Alexandre Baptista & Shu Yan. (2015). "On the Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule". Financial Markets, Institutions & Instruments. 24, 87-125.

Gordon Alexander, Alexandre Baptista & Shu Yan. (2014). "Bank Regulation and International Financial Stability: A Case against the 2006 Basel Market Risk Framework". Journal of International Money and Finance. 43, 107-130.

Shu Yan, Gordon Alexander & Alexandre Baptista. (2013). "A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital". Journal of Economic Behavior and Organization. (85), 249-268.

Shu Yan, Gordon Alexander & Alexandre Baptista. (2012). "When More Is Less: Using Multiple Constraints to Reduce Tail Risk". Journal of Banking and Finance, (36), 2693-2716.

Shu Yan. (2011). "Jump Risk, Stock Returns, and Slope of Implied Volatility Smile". Journal of Financial Economics, (99), 216-233.

Shu Yan & Pedro Santa-Clara. (2010). "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options". Review of Economics and Statistics, (92), 435-451.

Shu Yan & Jiang George. (2009). "Linear-Quadratic Term Structure Models - Toward the Understanding of Jumps in Interest Rate". Journal of Banking and Finance, (33), 473-485.

Shu Yan, Gordon Alexander & Alexandre Baptista. (2009). "Reducing Estimation Risk in Portfolio Selection When Short Sales are Allowed". Managerial and Decision Economics. (30), 281-305.

Shu Yan, Gordon Alexander & Alexandre Baptista. (2007). "Mean-Variance Portfolio Selection with ‘at-Risk’ Constraints and Discrete Distributions". Journal of Banking and Finance, (31), 3761-3781.

Shu Yan, Walter Torous & Rossen Valkanov. (2004). "On Predicting Stock Returns with Nearly Integrated Explanatory Variables". Journal of Business. (77), 937-966.

Shu Yan, Robert Aliber & Bhagwan Chowdhry. (2003). "Some Evidence that a Tobin Tax on Foreign Exchange Transactions may Increase Volatility". Review of Finance. (7), 481-510.

Shu Yan & Richard Roll. (2000). "An Explanation of the Forward Premium Puzzle". European Financial Management. (6), 121-148.

Awards and Honors

Outstanding Referee for Real Estate Economics (2014)
Outstanding Paper in Financial Markets, Banking, and Institutions (2013)
BankScope Prize (2012)