Jialin YU
余家林
PhD in Economics
Princeton University, 2005

Associate Professor
Department of Finance



(852) 2358 8318
jialin@ust.hk
Room LSK5002
Personal Web

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Google Scholar
gBlHRhwAAAAJ

ORCID
0000-0001-9349-1766

Scopus ID
55624422600




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Investments
Behavioral finance
Market efficiency anomalies



Publications

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All Years 15 2022 0 2021 0 2020 0 2019 1 2018 2 2017 1 2016 11

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2019 1

How to Beat the Historical Average?
2019 Greater Bay Area Summer Finance Conference, HKUST, Hong Kong, 15-16 August 2019
Li, Kai; Yu, Jialin; Li, Yingying Conference paper

2018 2

Dividend-Price Dynamics and Structural Estimation of Market Return
金融高端论坛, Beijing, China, 17 October 2018
Yu, Jialin; Li, Kai; Li, Yingying Conference paper
Monthly “Earnings Announcements” and Stock Returns
Best paper award
Yu, Jialin; Hong, Yurong Conference paper

2017 1

Inflation Bets on the Long Bond
Review of Financial Studies, v. 30, (3), March 2017, p. 900-947
Hong, Harrison; Sraer, David; Yu, Jialin Article

2015 1

Are the Equity Premium and the Value Premium Expected? Evidence from the Calendar of Cash-Flow News
The 28th Australasian Finance and Banking Conference, Shangri-la hotel, Sydney, 15-18 December 2015
Hong, Claire Yurong; Yu, Jialin Conference paper

2011 2

Disagreement and return predictability of stock portfolios
Journal of financial economics, v. 99, (1), 2011, Jan, p. 162-183
Yu, Jialin Article
The Chinese Warrants Bubble
The American economic review, v. 101, (6), 2011, Oct, p. 2723-2753
Xiong, Wei; Yu, Jialin Article

2009 2

Gone fishin': Seasonality in trading activity and asset prices
Journal of financial markets, v. 12, (4), 2009, Nov, p. 672-702
Hong, Harrison; Yu, Jialin Article
High frequency market microstructure noise estimates and liquidity measures
Annals of applied statistics, v. 3, (1), March 2009, p. 422-457
Ait-Sahalia, Yacine; Yu, Jialin Article

2008 1

Firms as buyers of last resort
Journal of financial economics, v. 88, (1), 2008, Apr, p. 119-145
Hong, Harrison; Wang, Jiang; Yu, Jialin Article

2007 3

Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
Journal of econometrics, v. 141, (2), 2007, Dec, p. 1245-1280
Yu, Jialin Article
Simple forecasts and paradigm shifts
The journal of finance, v. 62, (3), 2007, Jun, p. 1207-1242
Hong, Harrison; Stein, Jeremy C.; Yu, Jialin Article
Comment on ‘China's Exchange Rate Regime: The Long and Short of It’ (by Barry Eichengreen)
China’s Financial Transition at a Crossroads / Edited by Charles W. Calomiris. Columbia University Press, 2007, July
Yu, Jialin Book chapter

2006 1

Saddlepoint approximations for continuous-time Markov processes
Journal of econometrics, v. 134, (2), October 2006, p. 507-551
Ait-Sahalia, Yacine; Yu, Jialin Article

2004 1

Lack-of-Recall and Centralized Monetary Trade
International Economic Review, v. 45, (4), November 2004, p. 1221-1228
Yu, Jialin; Temzelides, Ted Article


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Conference paper 1

How to Beat the Historical Average?
2019 Greater Bay Area Summer Finance Conference, HKUST, Hong Kong, 15-16 August 2019
Li, Kai; Yu, Jialin; Li, Yingying


Expand All Collapse All


Conference paper 2

Dividend-Price Dynamics and Structural Estimation of Market Return
金融高端论坛, Beijing, China, 17 October 2018
Yu, Jialin; Li, Kai; Li, Yingying
Monthly “Earnings Announcements” and Stock Returns
Best paper award
Yu, Jialin; Hong, Yurong


Expand All Collapse All


Article 1

Inflation Bets on the Long Bond
Review of Financial Studies, v. 30, (3), March 2017, p. 900-947
Hong, Harrison; Sraer, David; Yu, Jialin


Expand All Collapse All


Conference paper 1

Are the Equity Premium and the Value Premium Expected? Evidence from the Calendar of Cash-Flow News
The 28th Australasian Finance and Banking Conference, Shangri-la hotel, Sydney, 15-18 December 2015
Hong, Claire Yurong; Yu, Jialin


Expand All Collapse All


Article 2

Disagreement and return predictability of stock portfolios
Journal of financial economics, v. 99, (1), 2011, Jan, p. 162-183
Yu, Jialin
The Chinese Warrants Bubble
The American economic review, v. 101, (6), 2011, Oct, p. 2723-2753
Xiong, Wei; Yu, Jialin


Expand All Collapse All


Article 2

Gone fishin': Seasonality in trading activity and asset prices
Journal of financial markets, v. 12, (4), 2009, Nov, p. 672-702
Hong, Harrison; Yu, Jialin
High frequency market microstructure noise estimates and liquidity measures
Annals of applied statistics, v. 3, (1), March 2009, p. 422-457
Ait-Sahalia, Yacine; Yu, Jialin


Expand All Collapse All


Article 1

Firms as buyers of last resort
Journal of financial economics, v. 88, (1), 2008, Apr, p. 119-145
Hong, Harrison; Wang, Jiang; Yu, Jialin


Expand All Collapse All


Article 2

Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
Journal of econometrics, v. 141, (2), 2007, Dec, p. 1245-1280
Yu, Jialin
Simple forecasts and paradigm shifts
The journal of finance, v. 62, (3), 2007, Jun, p. 1207-1242
Hong, Harrison; Stein, Jeremy C.; Yu, Jialin

Book chapter 1

Comment on ‘China's Exchange Rate Regime: The Long and Short of It’ (by Barry Eichengreen)
China’s Financial Transition at a Crossroads / Edited by Charles W. Calomiris. Columbia University Press, 2007, July
Yu, Jialin


Expand All Collapse All


Article 1

Saddlepoint approximations for continuous-time Markov processes
Journal of econometrics, v. 134, (2), October 2006, p. 507-551
Ait-Sahalia, Yacine; Yu, Jialin


Expand All Collapse All


Article 1

Lack-of-Recall and Centralized Monetary Trade
International Economic Review, v. 45, (4), November 2004, p. 1221-1228
Yu, Jialin; Temzelides, Ted


Expand All Collapse All


2015 1

Are the Equity Premium and the Value Premium Expected? Evidence from the Calendar of Cash-Flow News
The 28th Australasian Finance and Banking Conference, Shangri-la hotel, Sydney, 15-18 December 2015
Hong, Claire Yurong; Yu, Jialin Conference paper

2011 2

Disagreement and return predictability of stock portfolios
Journal of financial economics, v. 99, (1), 2011, Jan, p. 162-183
Yu, Jialin Article
The Chinese Warrants Bubble
The American economic review, v. 101, (6), 2011, Oct, p. 2723-2753
Xiong, Wei; Yu, Jialin Article

2009 2

Gone fishin': Seasonality in trading activity and asset prices
Journal of financial markets, v. 12, (4), 2009, Nov, p. 672-702
Hong, Harrison; Yu, Jialin Article
High frequency market microstructure noise estimates and liquidity measures
Annals of applied statistics, v. 3, (1), March 2009, p. 422-457
Ait-Sahalia, Yacine; Yu, Jialin Article

2008 1

Firms as buyers of last resort
Journal of financial economics, v. 88, (1), 2008, Apr, p. 119-145
Hong, Harrison; Wang, Jiang; Yu, Jialin Article

2007 3

Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
Journal of econometrics, v. 141, (2), 2007, Dec, p. 1245-1280
Yu, Jialin Article
Simple forecasts and paradigm shifts
The journal of finance, v. 62, (3), 2007, Jun, p. 1207-1242
Hong, Harrison; Stein, Jeremy C.; Yu, Jialin Article
Comment on ‘China's Exchange Rate Regime: The Long and Short of It’ (by Barry Eichengreen)
China’s Financial Transition at a Crossroads / Edited by Charles W. Calomiris. Columbia University Press, 2007, July
Yu, Jialin Book chapter

2006 1

Saddlepoint approximations for continuous-time Markov processes
Journal of econometrics, v. 134, (2), October 2006, p. 507-551
Ait-Sahalia, Yacine; Yu, Jialin Article

2004 1

Lack-of-Recall and Centralized Monetary Trade
International Economic Review, v. 45, (4), November 2004, p. 1221-1228
Yu, Jialin; Temzelides, Ted Article


No Publications


No Publications


No Publications






Teaching Assignment

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2021-22 Winter 1 2021-22 Fall 3 2020-21 Summer 0 2020-21 Spring 2 2020-21 Winter 1 2020-21 Fall 0

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GFIN5010 Foundations of Investments


FINA3103 Intermediate Investments
FINA5210 Investment Analysis
FINA5220 Equity Investment Management


FINA3103 Intermediate Investments
FINA5220 Equity Investment Management


GFIN5010 Foundations of Investments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy LYU, Changlei (co-supervision)
Financial Technology( 2021 - )

ZHAO, Xiao
Finance( 2020 - )

YAN, Jingda
Finance( 2019 - )

WANG, Beichen
Finance( 2017 - )

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Graduated RPGs

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Master of Philosophy ZHAO, Xiao
Finance( Completed in 2020 )

YAN, Jingda
Finance( Completed in 2019 )









ProjectsFrom January 2020 to December 2022

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All Projects 1

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No Projects.
Asset Pricing in the Knowledge Economy


知識經濟中的資產定價 Leading


RGC - General Research Fund


Project Team (HKUST)
YU Jialin (Lead)


2020 -