Yan Liu is an Assistant Professor of Finance at Texas A&M University. He received his PhD in Finance from Duke University. His areas of expertise include: asset pricing, evaluation of trading strategies, hedge funds and mutual funds, estimation of portfolio risk and the application of statistical methods to investment analysis.
His study on the cross-section of expected returns uncovered the myth behind risk/trading factors and reached the stark conclusion that most trading strategies are false. The paper won the NASDAQ OMX award for the best paper in asset pricing at the 2014 Western Finance Association Meetings and the best paper award at the 2014 INQUIRE-Europe-UK conference, and was featured in Vox, Financial Times, Time and Bloomberg. His work on evaluating trading strategies proposed a new way to assess the reliability of a trading strategy. The paper was featured in the Economist and received the 2014 Bernstein Fabozzi/Jacobs Levy Award for the best paper in the Journal of Portfolio Management.
While at the beginning of his academic career, Yan Liu is interested in developing new theories of financial economics and applying theory to practice.