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全职师资

教师简历

余剑峰

教育背景

2003-2008        宾夕法尼亚大学,沃顿商学院,金融学,博士学位

2000-2003        耶鲁大学,统计学,2001 年获得硕士学位, 2003 年博士论文开题通过

1996-2000        中国科技大学,概率与统计学,学士学位

 

工作经历

2016 至今         清华大学五道口金融学院,建树讲席教授

2019 至今         清华大学金融科技研究院副院长

2017 至今         清华大学国家金融研究院资产管理研究中心主任

2015-2016       香港中文大学(深圳),经管学院,金融学教授,执行副院长

2014 秋            清华大学五道口金融学院,访问教授

2008-2017       明尼苏达大学,卡尔森管理学院,金融学,助理教授, 副教授(终身教授),

                        正教授,Piper Jaffray 讲席教授 


其他职位 

2011.10 至今     美国联邦储蓄银行,研究员


主要研究领域

行为金融学

量化投资策略

市场摩擦中的资产定价

国际市场

基于经济周期模型的资产定价


发表成果  

1.   Investor Sentiment and the Mean-Variance Relation, (with Yu Yuan), Journal of Financial Economics 100, May  2011, pp. 367-281

2.   Investor Attention, Psychological Anchors, and Stock Return Predictability (with Jun Li), Journal of Financial  

      Economics 104, May 2012, pp. 401-419

3.  The Short of It: Investor Sentiment and Anomalies (with Rob Stambaugh, and Yu Yuan), Journal of Financial  Economics 104, May 2012, pp. 288-302

· Inaugural AQR Insight Award, honorable mention, 2012

· RWC Marshall Blume Prize, honorable mention, 2011

4.   Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models, Review of  

      Economic Dynamics 15, July 2012, pp. 317-335

5.   Technological Growth and Asset Pricing, (with Nicolae Garleanu and Stavros Panageas), Journal of Finance 67, 

      August 2012, pp. 1265-1292

      · Smith-Breeden Prize (First Prize), 2012

6.   Government Investment and the Stock Market (with Frederico Belo), Journal of Monetary Economics 60, April 

      2013, pp. 325-339

7.   A Sentiment-based Explanation of the Forward Premium Puzzle, Journal of Monetary Economics 60, May
      2013, pp.474-491

8.   Uncertainty, Risk, and Incentives: Theory and Evidence, (with Zhiguo He, Si Li and Bin Wei), Management

      Science 60, January 2014, pp. 206-226

      · 3rd Annual TCFA Best Paper Award, 2012

9.   The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, (with Rob Stambaugh and Yu

      Yuan), February 2014, Journal of Financial Economics 114, December 2014, pp. 613-619

10. Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion (with Nicolae

      Garleanu and Stavros Panageas), July 2015, American Economic Review 105, pp. 1979-2010

11. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (with Rob Stambaugh and Yu Yuan), October 2015,

      Journal of Finance 70, pp. 1903-1948

12. Asset Pricing in Production Economies with Extrapolative Expectations (with David Hirshleifer and Jun Li),

      November 2015, Journal of Monetary Economics 76, pp. 87-106

13. Short- and Long-Run Business Conditions and Expected Returns (with Qi Liu, Libin Tao and Weixing 

      Wu), December 2017, Management Science 63, pp. 4137-4157.

14. Reference-Dependent Preferences and the Risk-Return Trade-off (with Huijun Wang and Jinghua Yan), February

      2017, Journal of Financial Economics 123, pp.395-414

      · Q-Group Research Award, 2012

      · Chicago Quantitative Alliance Academic Competition, Third Prize, 2014

15. Optimal Long-Term Contracting with Learning, (with Zhiguo He, Bin Wei, and Feng Gao), October 2017, Review

      of Financial Studies 30, pp. 2006-2065

16. Investor Sentiment and Economic Forces (with Junyan Shen and Shen Zhao), April 2017, Journal of Monetary 

      Economics 86, pp.1-21, Lead Article

     · Chicago Quantitative Alliance Academic Competition, First Prize, 2012

     · Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013

     · TCFA Best Paper Award, 2013

17. Lottery-Related Anomalies: The Role of Reference-Dependent Preferences (with Li An, Huijun Wang, and Jian 

      Wang), Management Science, Forthcoming

      a. CQAsia Academic Competition, First Prize, 2016

18. Impediments to Financial Trade: Theory and Applications (with Nicolae Garleanu and Stavros Panageas),

      May 2019, Review of Financial Studies, Forthcoming

19. Time‐Varying Demand for Lottery: Speculation Ahead of Earning Announcements (with Bibo Liu, Huijun

      Wang and Shen Zhao), November 2019, Journal of Financial Economics, Forthcoming


工作论文

1.  Drifting Apart: The Pricing of Assets when the Benefits of Growth are not Shared Equally (with Nicolae

     Garleanu, Stavros Panageas, and Dimitris Papanikolaou), August 2015

2.  Aggregate Expected Investment Growth and Stock Market Returns (joint with Jun Li and Huijun Wang),

     December 2019

3.  Characteristics‐Based Factors (with Zhuo Chen, Bibo Liu, Huijun Wang, Zhengwei Wang), January 2020

4.  Investor Sentiment and the Pricing of Characteristics‐Based Factors (with Zhuo Chen, Bibo Liu, Huijun Wang

     and Zhengwei Wang), February 2020

5.  Priming and Stock Preferences: Evidence from IPO Lotteries (with Conghui Hu, Yu‐Jane Liu, and Xin Xu),

     December 2019


授课程  

清华大学五道口金融学院, 指导教师

       行为金融学(金融PhD), 2018

       行为金融学(金融GFD, 和各种高管教育项目), 2016~2018

       行为金融学(金融硕士), 2014, 2018

       数据分析与创业抉择I (金融MBA), 2018

       数据分析与创业抉择II (金融MBA), 2017, 2018

明尼苏达大学,卡尔森管理学院,指导教师

       行为金融学(本科和MBA), 2014, 2015

       公司财务中的期权(本科), 2010 – 2013

       企业金融决策(本科), 2009

       资本市场理论(博士), 2010 – 2013

       实证资产定价(博士), 2012

宾夕法尼亚大学,沃顿商学院,助教

       金融学实证研究(博士), 2006 – 2008

       货币经济学与全球经济(MBA) 2006 – 2007

       固定收益证券(MBA), 2004

       基金投资(MBA), 2005 – 2006

       投资与交易(MBA), 2005


荣誉与奖项

Keynote Address: The Fifth International Workshop on Futures and Derivatives, 2016

CQAsia Academic Competition, First Prize, 2016

Keynote Address: The 7th International Workshop on Behavioral Operations Management,

Chicago Quantitative Alliance (CQA) Academic Competition, Third Prize, 2014

4th Annual TCFA Best Paper Award, 2013

Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013

Annual Faculty Research Award, Carlson School of Management, 2012 & 2014

Smith‐Breeden Prize (First Prize), 2012

Institute for Quantitative Research in Finance (Q‐Group) Research Award, 2012

Chicago Quantitative Alliance (CQA) Academic Competition, First Prize, 2012

3rd Annual TCFA Best Paper Award, 2012

Inaugural AQR Insight Award, honorable mention, 2012

RWC Marshall Blume Prize, honorable mention, 2011

Dean’s Small Research Grant, Carlson School of Management, 2009‐2012

Sterling Prize Fellow, Yale University, 2000‐2002

The Best Senior Thesis Award, Univ. of Science & Technology of China, 2000

 

其他服务

Associate Editor, Journal of Economic Dynamics and Control, 2018~

Associate Editor, Financial Management, 2019~

Ph.D. Program Coordinator in Finance, 2013‐2015, University of Minnesota

Faculty Recruiting Committee, 2013‐2014, University of Minnesota

Seminar and Brownbag Organizer, 2009‐2010, University of Minnesota