Finance

Faculty

LIU Yan

Department of Finance    Chair Professor

Vice Dean of Shenzhen Institute of Economics and Management

Vice Dean of the Institute of Innovation Management at Tsinghua Shenzhen International Graduate School

Phone:(86)(755)33066880

E-mail:liuyan@sem.tsinghua.edu.cn

Educational Background

2008-2014: Ph.D. in Finance, Duke University

2006-2008: Master's in Statistics, University of Minnesota

2002-2006: Bachelor's in Mathematics (graduated with honors), Tsinghua University

Personal Web: https://www.sem.tsinghua.edu.cn/yanliu-homepage/index.html

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Work Experience

2025.06-present: Research and Development Center for Computational Finance, Shenzhen Institute of Economics and Management, Tsinghua University, Director

2024.10- present: Vice Dean, Institute of Innovation Management, Tsinghua Shenzhen International Graduate School

2024.03- present: Vice Dean, Shenzhen Institute of Economics and Management, Tsinghua University

2023.08- present: Chair Professor, Institute of Innovation Management, Tsinghua Shenzhen International Graduate School & Department of Finance, School of Economics and Management, Tsinghua University

2023.04- 2023.08: Professor, Department of Finance, Krannert School of Management, Purdue University

2022.04- 2023.04: Associate Professor, Department of Finance, Krannert School of Management, Purdue University

2019.06- 2022.04: Assistant Professor, Department of Finance, Krannert School of Management, Purdue University

2014.08- 2019.06: Assistant Professor, Department of Finance, Mays Business School, Texas A&MUniversity

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Research Areas

Empirical and theoretical asset pricing, performance evaluation of funds (mutual funds and hedge funds), financial econometrics, financial modelling on big data, machine earning

modelling and applications, construction and application of alternative financial data, financial  security and risk management, business model innovation

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Publications

● “Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach”, with Stefano Cassella, Te-feng Chen, and Huseyin Gulen, 2024. Forthcoming,

Journal of Financial Economics

● “Optimal Cross-Sectional Regression”, with Zhipeng Liao and Zhenzhen Xie, 2024. Management Science

● “Reconstructing the Yield Curve”, with Jing Cynthia Wu, 2021. Journal of Financial Economics, 142, 1395-1425.

● “Luckversus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence”, with Campbell R. Harvey. 2022. Journal of Finance, 77, 1921-1966.

● “Index Option Returns and Generalized Entropy Bounds” (single authored), 2021. Journal of Financial Economics, 139, 1015–1036.

● “False (and Missed) Discoveries in Financial Economics”, with Campbell R. Harvey, 2020. Journal of Finance, 75, 2503–2553.

● “Lucky Factors?”, with Campbell R. Harvey, 2021. Journal of Financial Economics,413–435. , 141,

● “AnEvaluation of Alternative Multiple Testing Methods for Finance Applications”, with Campbell R. Harvey and Alessio Saretto, 2020. Review of Asset Pricing Studies, 10, 199-248.

● “Cross-Sectional Alpha Dispersion and Performance Evaluation”, with Campbell R. Harvey,2019. Journal of Financial Economics, 134, 273–296., 31, 2499–2552.

● “Detecting Repeatable Performance”, with Campbell R. Harvey, 2018. Review of Financial Studies

● “... and the Cross-section of Expected Returns”, with Campbell R. Harvey and Heqing Zhu, 2016. Review of Financial Studies, 29, 5-72

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Honors

2025: Hong Kong Polytechnic University China Accounting and Finance Review (CAFR) special issue conference, keynote speaker;

          Hong Kong City University VIP seminar speaker

2024: Chair Professor in the Changjiang Scholar Program of China’s Ministry of Education

2022: Invited speaker at the SoFiE Summer School of New York University Shanghai

2020: Jay Ross Young Faculty Scholar Award, Purdue University;

Distinguished Teacher Award (Master’s elective), Purdue University

2017: Republic Bank Research Fellow, Texas A&M University

2015: Bernstein Fabozzi/Jacobs Levy Award for the Best Paper in the Journal of Portfolio Management

2014: NASDAQ OMX Awardfor the Best Paper on Asset Pricing at the Western Finance Association Meetings (WFA);

         INQUIRE-Europe-UK Best Paper Award;

         Bernstein Fabozzi/Jacobs Levy Award for the Best Paper in the Journal of

         Portfolio Management

2008-2013: Duke University Fellowship

2006-2008: University of Minnesota Graduate Scholarship (full Ph.D. scholarship, later changed to a master's scholarship

2006: Graduated with honors from Tsinghua University

2002-2005: Academic Excellence Scholarship from Tsinghua University

2001: First Prize in the High School Mathematics League (qualified for direct admission to Peking University), Second Prize in the Physics League, Second Prize in the Chemistry League

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