Peixuan Yuan

Peixuan Yuan

Assistant Professor of Finance

School of Business

Hong Kong Baptist University

About Me

I am an Assistant Professor of Finance at the School of Business, Hong Kong Baptist University.

Interests

  • Empirical Asset Pricing
  • Derivatives Pricing
  • Machine Learning
  • Big Data

Education

  • Ph.D. in Finance, 2021

    Rutgers University

  • MS in Quantitative Finance, 2016

    Rutgers University

  • BS in Remote Sensing and Information Engineering, 2015

    Wuhan University

Publications

Hao Jiang, Sophia Zhengzi Li, Peixuan Yuan (2024). Granular Information and Sectoral Movements. Journal of Economic Dynamics and Control, Forthcoming.

DOI

Peixuan Yuan (2024). A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis. Management Science, Forthcoming.

DOI

Peixuan Yuan (2022). Time-Varying Skew in VIX Derivatives Pricing. Management Science, 68(10), 7761-7791.

DOI

Xinjie Wang, Zhiqiang Xiang, Weike Xu, Peixuan Yuan (2022). The Causal Relationship between Social Media Sentiment and Stock Return: Experimental Evidence from an Online Message Forum. Economics Letters, 216, 110598.

DOI

Working Papers

Momentum and Factor Momentum: A Re-examination

Cheng Gao, Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
PDF
Momentum and Factor Momentum: A Re-examination

On the Nature of Size Effect: Biased Beliefs Behind Bad News Drift

Cheng Gao, Peixuan Yuan
PDF
On the Nature of Size Effect: Biased Beliefs Behind Bad News Drift

Information Transmission from Corporate Bonds to the Aggregate Stock Market

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
PDF
Information Transmission from Corporate Bonds to the Aggregate Stock Market

Risk Momentum: A New Class of Price Patterns

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
PDF
Risk Momentum: A New Class of Price Patterns

Pockets of Factor Pricing

Sophia Zhengzi Li, Peixuan Yuan, Guofu Zhou
PDF
Pockets of Factor Pricing