Yanbin Wu
Goizueta Business School
Emory University
1300 Clifton Road
Atlanta, GA 30322
Phone: +1 (352) 215-5905
Email: yanbin.wu@emory.edu
Emory University, Atlanta, GA 2015-2020 (Expected)
Ph.D. in Finance
University of Florida, Gainesville, FL 2013-2015
M.Sc. in Finance (Minor in Statistics)
China Pharmaceutical University, Nanjing, China 2010
B.Sc. in Pharmaceutical Engineering
Investment, FinTech, and Empirical Asset Pricing
Closing Auction, Passive Investing, and Stock Prices
(Job Market Paper)
- Abstract: Over the last decade, the volume of market-on-close orders has increased to
more than 10% of the entire day’s trading volume. This paper investigates this rise and
documents four stylized facts: (i) passive investing leads to greater usage of market-on-
close orders, consistent with passive fund’s motivation for minimizing tracking error; (ii)
the price impact from large market-on-close order imbalances is economically large and
transitory, leading to short-term price reversal; (iii) a long/short trading strategy exploit-
ing this reversal results in a significant risk-adjusted return of 13.2 basis points per day,
consistent with the hypothesis that investors are compensated by providing liquidity to
passive funds; and (iv) informed traders also use market-on-close orders, consistent with
Admati and Pfleiderer’s (1988) prediction that liquidity trades attract informed trades.
Overall, the set of findings demonstrates market-on-close order as an important trading
channel through which passive investing affects underlying stocks.
- Presentation: Emory University, 2019
The Effect of Passive Investing on Initial Public Offering Stocks: Evidence from Russell
Quarterly IPO Additions
with Narasimhan Jegadeesh
- Abstract: This study investigates the impact of passive investing on initial public offering
firms by examining the Russell quarterly IPO additions. The findings show that stocks
more likely to be included in the next quarterly additions experience bigger first-day
returns, consistent with the hypothesis that underwriters do not fully incorporate the
effect of potential inclusion in Russell indices on stock prices when they set the IPO prices.
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During quarterly addition periods, included IPOs experience significant abnormal returns
that are subsequently reversed, consistent with the price pressure hypothesis.
- Presentation: Emory University, 2019
Market Capitalization, Reversals, and the Illiquidity Premium
with Jeffrey Busse
- Abstract: We find that the illiquidity premium is mainly attributable to recent loser
stocks, consistent with the possibility that it is driven, in part, by return reversals in
these stocks. Among the illiquid, loser stocks, stocks that were recently sold by mutual
funds subsequently show significantly greater returns than the stocks that were recently
purchased, suggesting that the effect relates to a price rebound following negative price
pressure. We further find that when accounting for the fact that stock liquidity is highly
correlated with market capitalization, there is little evidence to suggest that an illiquidity
premium extends beyond the small cap anomaly.
- Presentations: Emory University, 2019; Clemson University, 2019 (co-author presented)
Learning and Asset Pricing with Jay Shanken and Jonathan Lewellen
Machine Learning and Stock Prices
Bitcoin Trading, Retail Investors, and Lottery-like Stocks
The Decline in Idiosyncratic Values of US Treasury Securities
with Miles Livingston and Lei Zhou, 2019, Journal of Banking and Finance, Vol. 107
- Research prior to joining the Ph.D. program
University of Chicago Summer School in Machine Learning 2018
Master Teacher Program 2018
Goizueta Fellowship 2019
Sheth Fellow 2015
CFA Scholarship 2013, 2014
CLAS Dean’s Scholarship 2011
Empirical Capital Markets Research (Ph.D.) with Prof. Jay Shanken Spring 2019
Empirical Asset Pricing (Ph.D.) with Prof. Narasimhan Jegadeesh Fall 2018
Managerial Finance (MBA) with Prof. Jay Shanken Summer 2018
Investments (Undergraduate) with Prof. Narasimhan Jegadeesh Spring 2017
International Finance (Undergraduate) with Prof. Breno Schmidt Fall 2016
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Chartered Financial Analyst (CFA): Passed Level II
Financial Risk Manager (FRM): Passed both Level I & II
Programming: Python, Tensorflow, SAS, Stata, R, Git
Language: English; Chinese
Citizenship: China (U.S. Permanent Resident)
Narasimhan Jegadeesh (Co-Chair) Jay Shanken (Co-Chair)
Dean’s Distinguished Chair of Finance Goizueta Chair and Professor in Finance
Goizueta Business School Goizueta Business School
Emory University Emory University
Phone: (404) 727-4821 Phone:(404) 727-4772
Email: jegadeesh@emory.edu Email: jay.shanken@emory.edu
Jeffrey Busse
Professor of Finance
Goizueta Business School
Emory University
Phone: (404) 727-1620
Email: jeff.busse@emory.edu
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